Active International Correlations

Mutual Funds . USA . 
Fund . Active International Allocation
MSACX Fund  USD 19.11  0.08  0.42%   
The current 90-days correlation between Active International and Emerging Markets Equity is 0.64 (i.e., Poor diversification). The correlation of Active 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.

Active International Correlation With Market

Very weak diversification

The correlation between Active International Allocatio and DJI is 0.54 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Active International Allocatio 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 Active International Allocation. 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 main economic indicators.

Moving together with Active Mutual Fund

  0.96TEMUX Emerging Markets EquityPairCorr
  0.84DINDX Global Fixed IncomePairCorr
  0.82DINCX Global Fixed IncomePairCorr
  0.84DINAX Global Fixed IncomePairCorr
  0.96MLMAX Global E PortfolioPairCorr
  0.96MLMCX Global E PortfolioPairCorr
  0.97MLNSX Global Centrated PorPairCorr
  0.96MLMIX Global E PortfolioPairCorr
  0.96MLMSX Global E PortfolioPairCorr
  0.97MLNCX Global Centrated PorPairCorr
  0.97MLNAX 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
  0.95THYUX High Yield FundPairCorr
  0.65TIFUX International FixedPairCorr
  0.99TIEUX International EquityPairCorr
  0.64TIIUX Core Fixed IncomePairCorr
  0.82MORGX Morgan Stanley MortgagePairCorr
  0.98MPAIX Advantage Portfolio ClassPairCorr
  0.97MPBAX Global StrategistPairCorr
  0.83MPFDX Corporate Bond PortfolioPairCorr
  0.97MPEGX Mid Cap GrowthPairCorr
  0.97MRGEX Msif Emerging MarketsPairCorr
  0.77MRJCX Real Assets PortfolioPairCorr
  0.79MRJAX Real Assets PortfolioPairCorr
  0.79MRJIX Real Assets PortfolioPairCorr
  0.95MRHYX Msift High YieldPairCorr
  0.79MRJSX Real Assets PortfolioPairCorr
  0.97MRNPX Msif InternationalPairCorr
  0.91MAAQX Morgan Stanley InstiPairCorr
  0.9MAAUX Morgan Stanley InstiPairCorr
  0.9MAADX Morgan Stanley InstiPairCorr
  0.9MAAOX Morgan Stanley InstiPairCorr
  0.98MADSX Msif Advantage PortPairCorr
  0.98MACGX Mid Cap GrowthPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Active Mutual Fund performing well and Active 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 Active 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 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  0.14  0.03 (0.47) 1.70  0.00 
(0.22)
 0.20 
(0.19)
 0.77 
MLMAX  0.65  0.11  0.10  0.26  0.54 
(0.74)
 1.84 
(1.25)
 4.43 
MLMCX  0.64  0.10  0.10  0.25  0.53 
(0.71)
 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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