First Eagle Correlations

FEHIX Fund

USD 8.69 0.04 0.46%

The current 90-days correlation between First Eagle High and T Rowe Price is 0.94 (i.e., Almost no diversification). The correlation of First Eagle 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.

First Eagle Correlation With Market

Very good diversification

The correlation between First Eagle High and DJI is -0.28 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Eagle High and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in First Eagle High. 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 gross domestic product.

Moving together with First Mutual Fund

0.99	FEHRX	First Eagle High	Pair Corr
0.99	FEHCX	First Eagle High	Pair Corr
1.0	FEHAX	First Eagle High	Pair Corr
0.9	NHMAX	Nuveen High Yield	Pair Corr
0.9	NHCCX	Nuveen High Yield	Pair Corr
0.91	NHMRX	Nuveen High Yield	Pair Corr

Moving against First Mutual Fund

0.5	FEGOX	First Eagle Gold	Pair Corr
0.5	FEGIX	First Eagle Gold	Pair Corr
0.5	SGGDX	First Eagle Gold	Pair Corr
0.5	FEURX	First Eagle Gold	Pair Corr
0.32	FEVIX	First Eagle Value	Pair Corr
0.32	FEVCX	First Eagle Value	Pair Corr
0.32	FEVAX	First Eagle Value	Pair Corr

Related Correlations Analysis

	PATFX	FCOLDX	XDLYX	USCBX	MDMTX	BBINX	PRINX	MBSAX
PATFX		-0.06	0.73	0.91	0.93	0.95	0.96	0.75	PATFX
FCOLDX	-0.06		0.32	-0.39	-0.22	-0.19	-0.29	-0.22	FCOLDX
XDLYX	0.73	0.32		0.59	0.74	0.75	0.65	0.76	XDLYX
USCBX	0.91	-0.39	0.59		0.95	0.95	0.97	0.8	USCBX
MDMTX	0.93	-0.22	0.74	0.95		0.97	0.96	0.85	MDMTX
BBINX	0.95	-0.19	0.75	0.95	0.97		0.97	0.83	BBINX
PRINX	0.96	-0.29	0.65	0.97	0.96	0.97		0.82	PRINX
MBSAX	0.75	-0.22	0.76	0.8	0.85	0.83	0.82		MBSAX
	PATFX	FCOLDX	XDLYX	USCBX	MDMTX	BBINX	PRINX	MBSAX

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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

PRINX	+ 0.97	USCBX
BBINX	+ 0.97	MDMTX
PRINX	+ 0.97	BBINX
PRINX	+ 0.96	PATFX
PRINX	+ 0.96	MDMTX
BBINX	+ 0.95	PATFX

High negative correlations

USCBX	- 0.39	FCOLDX
PRINX	- 0.29	FCOLDX
MBSAX	- 0.22	FCOLDX
MDMTX	- 0.22	FCOLDX
BBINX	- 0.19	FCOLDX
FCOLDX	- 0.06	PATFX

Risk-Adjusted Indicators

There is a big difference between First Mutual Fund performing well and First Eagle 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 First Eagle'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
PATFX	0.16	(0.01)	0.00	0.20	0.00	0.00	0.44	(0.44)	1.69
FCOLDX	0.82	(0.38)	0.00	1.05	0.00	0.00	0.02	(0.01)	27.56
XDLYX	0.13	(0.02)	0.00	(1.33)	0.00	0.00	0.24	(0.31)	1.11
USCBX	0.16	0.00	(0.24)	0.09	0.26	(0.23)	0.39	(0.48)	1.74
MDMTX	0.18	(0.02)	0.00	0.35	0.00	0.00	0.38	(0.56)	1.42
BBINX	0.13	(0.01)	0.00	0.18	0.00	0.00	0.29	(0.29)	1.07
PRINX	0.17	(0.01)	0.00	0.17	0.00	0.00	0.44	(0.44)	1.59
MBSAX	0.22	(0.03)	0.00	(0.06)	0.00	0.00	0.37	(0.51)	1.25

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