International Equity Correlations

Mutual Funds . USA . 
Fund . International Equity Fund
TIEUX Fund  USD 15.39  0.04  0.26%   
The current 90-days correlation between International Equity and Emerging Markets Equity is 0.61 (i.e., Poor diversification). The correlation of International Equity 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.

International Equity Correlation With Market

Poor diversification

The correlation between International Equity Fund and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Equity Fund and DJI in the same portfolio, assuming nothing else is changed.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in International Equity Fund. 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 employment.

Moving together with International Mutual Fund

  0.97TEMUX Emerging Markets EquityPairCorr
  0.85DINDX Global Fixed IncomePairCorr
  0.83DINCX Global Fixed IncomePairCorr
  0.86DINAX Global Fixed IncomePairCorr
  0.95MLMAX Global E PortfolioPairCorr
  0.95MLMCX Global E PortfolioPairCorr
  0.97MLNSX Global Centrated PorPairCorr
  0.96MLMIX Global E PortfolioPairCorr
  0.96MLMSX Global E PortfolioPairCorr
  0.97MLNCX Global Centrated PorPairCorr
  0.96MLNAX Global Centrated PorPairCorr
  0.97MLNIX Global Centrated PorPairCorr
  0.97MMCGX Mid Cap GrowthPairCorr
  0.97MMKBX Emerging Markets PorPairCorr
  0.97MMMPX Msif Emerging MarketsPairCorr
  0.97MNOPX International OpportunityPairCorr
  0.96THYUX High Yield FundPairCorr
  0.65TIFUX International FixedPairCorr
  0.66TIIUX Core Fixed IncomePairCorr
  0.67TILUX Inflation Linked FixedPairCorr
  0.83MORGX Morgan Stanley MortgagePairCorr
  0.97MPAIX Advantage Portfolio ClassPairCorr
  0.98MPBAX Global StrategistPairCorr
  0.84MPFDX Corporate Bond PortfolioPairCorr
  0.97MPEGX Mid Cap GrowthPairCorr
  0.97MRGEX Msif Emerging MarketsPairCorr
  0.77MRJCX Real Assets PortfolioPairCorr
  0.8MRJAX Real Assets PortfolioPairCorr
  0.8MRJIX Real Assets PortfolioPairCorr
  0.96MRHYX Msift High YieldPairCorr
  0.79MRJSX Real Assets PortfolioPairCorr
  0.97MRNPX Msif InternationalPairCorr
  0.92MAAQX Morgan Stanley InstiPairCorr
  0.92MAAUX Morgan Stanley InstiPairCorr
  0.92MAADX Morgan Stanley InstiPairCorr
  0.92MAAOX Morgan Stanley InstiPairCorr
  0.97MADSX Msif Advantage PortPairCorr
  0.97MACGX Mid Cap GrowthPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Equity 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 International Equity'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TEMUX  0.53  0.18  0.16  0.52  0.22 
(0.67)
 1.65 
(1.16)
 4.07 
DINDX  0.14  0.04 (0.42) 1.28  0.00 
(0.23)
 0.38 
(0.19)
 0.77 
DINCX  0.14  0.00 (0.34) 0.00  0.00 
(0.22)
 0.20 
(0.19)
 0.78 
DINAX  0.15  0.04 (0.45)(5.09) 0.00 
(0.23)
 0.39 
(0.19)
 0.77 
MLMAX  0.65  0.24  0.11 (3.28) 0.54 
(0.74)
 1.84 
(1.25)
 4.43 
MLMCX  0.64  0.24  0.11 (3.14) 0.53 
(0.72)
 1.84 
(1.22)
 4.43 
MLNSX  0.64  0.14  0.13  0.30  0.58 
(0.74)
 2.05 
(1.19)
 4.17 
MLMIX  0.63  0.11  0.10  0.26  0.53 
(0.73)
 1.87 
(1.23)
 4.38 
MLMSX  0.64  0.11  0.10  0.26  0.53 
(0.73)
 1.87 
(1.23)
 4.42 
MLNCX  0.64  0.13  0.12  0.29  0.58 
(0.74)
 2.04 
(1.22)
 4.13 

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