International Equity Correlations

PFIEX Fund

USD 11.62 0.07 0.60%

The current 90-days correlation between International Equity and Vanguard Total International is 0.97 (i.e., Almost no 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

Very weak diversification

The correlation between International Equity Index and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Equity Index and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in International Equity Index. 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 income.

Moving together with International Mutual Fund

0.97	PFISX	International Small Pany	Pair Corr
0.7	PGBAX	Global Diversified Income	Pair Corr
0.68	PGBLX	Global Diversified Income	Pair Corr
0.74	PGDCX	Global Diversified Income	Pair Corr
0.69	PGDIX	Global Diversified Income	Pair Corr
0.77	PGRUX	Global Real Estate	Pair Corr
0.81	PGRVX	Global Real Estate	Pair Corr
0.61	PGSLX	Principal Global Sus	Pair Corr
0.78	PGRKX	Global Real Estate	Pair Corr

Moving against International Mutual Fund

0.71	PFPPX	Midcap Growth	Pair Corr
0.43	SACAX	Strategic Asset Mana	Pair Corr
0.42	SAGPX	Strategic Asset Mana	Pair Corr
0.33	SABPX	Strategic Asset Mana	Pair Corr
0.66	PGBFX	Blue Chip Fund	Pair Corr
0.63	PGBEX	Blue Chip Fund	Pair Corr
0.63	PGBGX	Blue Chip Fund	Pair Corr
0.63	PGBHX	Blue Chip Fund	Pair Corr
0.55	PGRTX	Smallcap Growth	Pair Corr
0.32	PGLSX	Global Multi Strategy	Pair Corr
0.71	PGWIX	Midcap Growth	Pair Corr
0.69	PHASX	Midcap Growth	Pair Corr
0.4	SCGPX	Strategic Asset Mana	Pair Corr
0.31	SCBPX	Strategic Asset Mana	Pair Corr

Related Correlations Analysis

	VTIAX	VDVIX	VTMNX	444859BR2	SCRYY	AQUI	APAAX	LBHIX	MSTSX	ID
VTIAX		0.91	0.91	0.19	-0.34	0.0	0.49	0.09	0.5	-0.42	VTIAX
VDVIX	0.91		1.0	0.47	-0.51	0.0	0.47	-0.18	0.15	-0.59	VDVIX
VTMNX	0.91	1.0		0.47	-0.5	0.0	0.48	-0.17	0.15	-0.58	VTMNX
444859BR2	0.19	0.47	0.47		-0.53	0.0	0.06	-0.54	-0.45	-0.53	444859BR2
SCRYY	-0.34	-0.51	-0.5	-0.53		0.0	0.14	0.48	0.34	0.73	SCRYY
AQUI	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	AQUI
APAAX	0.49	0.47	0.48	0.06	0.14	0.0		0.49	0.25	-0.06	APAAX
LBHIX	0.09	-0.18	-0.17	-0.54	0.48	0.0	0.49		0.68	0.55	LBHIX
MSTSX	0.5	0.15	0.15	-0.45	0.34	0.0	0.25	0.68		0.42	MSTSX
ID	-0.42	-0.59	-0.58	-0.53	0.73	0.0	-0.06	0.55	0.42		ID
	VTIAX	VDVIX	VTMNX	444859BR2	SCRYY	AQUI	APAAX	LBHIX	MSTSX	ID

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VTMNX	+ 1.0	VDVIX
VDVIX	+ 0.91	VTIAX
VTMNX	+ 0.91	VTIAX
ID	+ 0.73	SCRYY
MSTSX	+ 0.68	LBHIX
ID	+ 0.55	LBHIX

High negative correlations

ID	- 0.59	VDVIX
ID	- 0.58	VTMNX
LBHIX	- 0.54	444859BR2
ID	- 0.53	444859BR2
SCRYY	- 0.53	444859BR2
SCRYY	- 0.51	VDVIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VTIAX	0.61	(0.11)	0.00	(0.13)	0.00	0.00	1.15	(1.59)	4.11
VDVIX	0.64	(0.14)	0.00	(0.17)	0.00	0.00	0.96	(1.52)	4.01
VTMNX	0.63	(0.14)	0.00	(0.18)	0.00	0.00	0.99	(1.55)	3.94
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
SCRYY	2.07	0.29	0.08	1.93	2.02	(2.85)	5.61	(4.09)	12.99
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
APAAX	0.14	0.02	(0.35)	(0.09)	0.15	(0.18)	0.31	(0.31)	1.13
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ID	3.91	0.70	0.13	1.00	4.02	(5.25)	7.89	(6.67)	20.54

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC