First Eagle Correlations

FESRX Fund

USD 8.60 0.08 0.94%

The current 90-days correlation between First Eagle Small and First Eagle Global is 0.68 (i.e., Poor 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 poor diversification

The correlation between First Eagle Small and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Eagle Small 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 Small. 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 metropolitan statistical area.

Moving together with First Mutual Fund

0.82	FEAMX	First Eagle Fund	Pair Corr
0.81	FEAIX	First Eagle Fund	Pair Corr
0.81	FEFRX	First Eagle Fund	Pair Corr
0.82	FEFAX	First Eagle Fund	Pair Corr
1.0	FESAX	First Eagle Small	Pair Corr
0.99	FESMX	First Eagle Smid	Pair Corr
0.77	FEVIX	First Eagle Value	Pair Corr
0.79	FEVCX	First Eagle Value	Pair Corr
0.78	FEVAX	First Eagle Value	Pair Corr
0.99	FEXRX	First Eagle Smid	Pair Corr
0.99	VSIIX	Vanguard Small Cap	Pair Corr
0.99	VISVX	Vanguard Small Cap	Pair Corr
1.0	DFSVX	Us Small Cap	Pair Corr
1.0	DFFVX	Us Targeted Value	Pair Corr
0.98	UBVCX	Undiscovered Managers	Pair Corr
0.98	UBVAX	Undiscovered Managers	Pair Corr

Moving against First Mutual Fund

0.76	FEGOX	First Eagle Gold	Pair Corr
0.76	FEGIX	First Eagle Gold	Pair Corr
0.76	SGGDX	First Eagle Gold	Pair Corr
0.53	FEBRX	First Eagle Global	Pair Corr
0.52	FEBIX	First Eagle Global	Pair Corr
0.52	FEBAX	First Eagle Global	Pair Corr
0.5	FEBCX	First Eagle Global	Pair Corr
0.47	FEORX	First Eagle Overseas	Pair Corr
0.46	FESOX	First Eagle Overseas	Pair Corr
0.99	UIPIX	Ultrashort Mid Cap	Pair Corr
0.92	USPSX	Profunds Ultrashort	Pair Corr
0.92	USPIX	Profunds Ultrashort	Pair Corr
0.76	FEURX	First Eagle Gold	Pair Corr
0.71	ASYDX	Short Duration Strategic	Pair Corr
0.47	SGOIX	First Eagle Overseas	Pair Corr
0.47	SGOVX	First Eagle Overseas	Pair Corr

Related Correlations Analysis

	FEBIX	FEBCX	FEBAX	FEAMX	FEAIX	FEBRX	FEFRX	FEFAX	FEGRX	FEGOX
FEBIX		1.0	1.0	-0.02	-0.01	1.0	-0.01	-0.01	0.72	0.78	FEBIX
FEBCX	1.0		1.0	0.0	0.02	1.0	0.02	0.01	0.74	0.77	FEBCX
FEBAX	1.0	1.0		-0.03	-0.01	1.0	-0.01	-0.01	0.72	0.78	FEBAX
FEAMX	-0.02	0.0	-0.03		1.0	-0.03	1.0	1.0	0.66	-0.48	FEAMX
FEAIX	-0.01	0.02	-0.01	1.0		-0.01	1.0	1.0	0.67	-0.47	FEAIX
FEBRX	1.0	1.0	1.0	-0.03	-0.01		-0.01	-0.02	0.72	0.78	FEBRX
FEFRX	-0.01	0.02	-0.01	1.0	1.0	-0.01		1.0	0.67	-0.47	FEFRX
FEFAX	-0.01	0.01	-0.01	1.0	1.0	-0.02	1.0		0.67	-0.47	FEFAX
FEGRX	0.72	0.74	0.72	0.66	0.67	0.72	0.67	0.67		0.28	FEGRX
FEGOX	0.78	0.77	0.78	-0.48	-0.47	0.78	-0.47	-0.47	0.28		FEGOX
	FEBIX	FEBCX	FEBAX	FEAMX	FEAIX	FEBRX	FEFRX	FEFAX	FEGRX	FEGOX

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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

FEBCX	+ 1.0	FEBIX
FEBAX	+ 1.0	FEBIX
FEBRX	+ 1.0	FEBIX
FEBAX	+ 1.0	FEBCX
FEBRX	+ 1.0	FEBCX
FEBRX	+ 1.0	FEBAX

High negative correlations

FEGOX	- 0.48	FEAMX
FEGOX	- 0.47	FEFAX
FEGOX	- 0.47	FEFRX
FEGOX	- 0.47	FEAIX
FEBRX	- 0.03	FEAMX
FEAMX	- 0.03	FEBAX

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
FEBIX	0.45	0.16	0.26	0.32	0.72	(0.51)	0.94	(0.51)	4.72
FEBCX	0.46	0.16	0.26	0.30	0.73	(0.51)	0.93	(0.52)	4.73
FEBAX	0.46	0.16	0.26	0.31	0.71	(0.51)	0.93	(0.50)	4.69
FEAMX	0.88	0.03	0.00	(0.08)	0.00	0.00	1.39	(1.69)	9.61
FEAIX	0.87	0.04	0.00	(0.08)	0.00	0.00	1.42	(1.73)	9.60
FEBRX	0.45	0.16	0.26	0.32	0.73	(0.50)	0.94	(0.51)	4.72
FEFRX	0.87	0.04	0.00	(0.08)	0.00	0.00	1.39	(1.73)	9.60
FEFAX	0.87	0.04	0.00	(0.08)	0.00	0.00	1.41	(1.69)	9.66
FEGRX	0.69	0.15	0.16	0.10	1.07	(0.73)	1.28	(1.44)	6.92
FEGOX	1.27	0.55	0.27	0.68	1.58	(1.39)	3.12	(2.26)	10.93

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