Morningstar International Correlations

MSTFX Fund

USD 11.48 0.03 0.26%

The current 90-days correlation between Morningstar International and Morningstar Defensive Bond is 0.11 (i.e., Average diversification). The correlation of Morningstar International is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Morningstar International Correlation With Market

Very weak diversification

The correlation between Morningstar International Equi and DJI is 0.58 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Morningstar International Equi and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Morningstar International Equity. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Morningstar Mutual Fund

0.82	MSTBX	Morningstar Defensive	Pair Corr
0.97	MSTGX	Morningstar Global Income	Pair Corr
0.82	MSTPX	Morningstar Municipal	Pair Corr
0.65	MSTMX	Morningstar Multisector	Pair Corr
0.99	MSTSX	Morningstar Unconstrained	Pair Corr
0.62	MSTRX	Morningstar Total Return	Pair Corr
0.96	MSTQX	Morningstar Equity	Pair Corr
0.68	MSTVX	Morningstar Alternatives	Pair Corr
1.0	VGTSX	Vanguard Total Inter	Pair Corr
1.0	VTIAX	Vanguard Total Inter	Pair Corr
1.0	VTSNX	Vanguard Total Inter	Pair Corr
1.0	VTPSX	Vanguard Total Inter	Pair Corr
1.0	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.99	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.99	VDIPX	Vanguard Developed	Pair Corr
0.99	FSPSX	Fidelity International	Pair Corr
0.93	PFN	Pimco Income Strategy	Pair Corr
0.95	CIF	Mfs Intermediate High	Pair Corr
0.64	NXJ	Nuveen New Jersey	Pair Corr
0.95	PCF	Putnam High Income	Pair Corr
0.79	PFCXX	Putnam Money Market	Pair Corr
0.79	PCSXX	Principal Fds Money	Pair Corr
0.92	RPEIX	T Rowe Price	Pair Corr
0.87	QRPNX	Aqr Alternative Risk	Pair Corr
0.93	SEMRX	Semper Short Duration	Pair Corr
0.79	SBLTX	Western Asset Interm	Pair Corr
0.96	JAFSX	John Hancock Variable	Pair Corr
0.63	EMXCX	Ashmore Emerging Markets	Pair Corr
0.97	HERSX	Hartford Emerging Markets	Pair Corr
0.64	DSHZX	Brinker Capital Dest	Pair Corr
0.75	PMTXX	Pioneer Money Market	Pair Corr

Moving against Morningstar Mutual Fund

0.49	XNBHX	Neuberger Berman Int	Pair Corr
0.42	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	MSTBX	MSTFX	MSTGX	MSTPX	MSTMX	MSTSX	MSTRX	MSTQX
MSTBX		0.82	0.9	0.81	0.73	0.85	0.88	0.8	MSTBX
MSTFX	0.82		0.97	0.82	0.65	0.99	0.62	0.96	MSTFX
MSTGX	0.9	0.97		0.83	0.74	0.98	0.73	0.95	MSTGX
MSTPX	0.81	0.82	0.83		0.55	0.84	0.77	0.82	MSTPX
MSTMX	0.73	0.65	0.74	0.55		0.73	0.57	0.75	MSTMX
MSTSX	0.85	0.99	0.98	0.84	0.73		0.66	0.98	MSTSX
MSTRX	0.88	0.62	0.73	0.77	0.57	0.66		0.61	MSTRX
MSTQX	0.8	0.96	0.95	0.82	0.75	0.98	0.61		MSTQX
	MSTBX	MSTFX	MSTGX	MSTPX	MSTMX	MSTSX	MSTRX	MSTQX

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Risk-Adjusted Indicators

There is a big difference between Morningstar Mutual Fund performing well and Morningstar International Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Morningstar International's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MSTBX	0.10	0.01	(0.82)	1.34	0.00	(0.14)	0.21	(0.21)	0.41
MSTFX	0.51	0.13	0.08	0.44	0.25	(0.63)	1.29	(0.81)	3.37
MSTGX	0.25	0.06	(0.09)	0.39	0.00	(0.32)	0.65	(0.54)	1.55
MSTPX	0.11	0.00	(0.64)	0.11	0.04	(0.16)	0.21	(0.21)	0.73
MSTMX	0.15	0.06	(0.27)	2.01	0.00	(0.20)	0.44	(0.33)	0.80
MSTSX	0.49	0.10	0.07	0.28	0.32	(0.57)	1.45	(1.17)	3.51
MSTRX	0.25	0.02	(0.36)	(2.98)	0.21	(0.29)	0.46	(0.46)	1.27
MSTQX	0.62	0.21	0.08	(2.19)	0.60	(0.70)	1.78	(1.22)	4.84

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