Investec Global Correlations

ZGFIX Fund

USD 16.53 0.16 0.96%

The current 90-days correlation between Investec Global Franchise and Touchstone Sands Capital is 0.24 (i.e., Modest diversification). The correlation of Investec Global 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.

Investec Global Correlation With Market

Very poor diversification

The correlation between Investec Global Franchise and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Investec Global Franchise and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Investec Global Franchise. 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 Investec Mutual Fund

0.87	ZEMIX	Investec Emerging Markets	Pair Corr
0.87	ZEMAX	Investec Emerging Markets	Pair Corr
0.91	ZGFAX	Investec Global Franchise	Pair Corr
0.94	ZIFIX	Ninety One International	Pair Corr
0.79	FNFPX	American Funds New	Pair Corr
0.79	FFPNX	American Funds New	Pair Corr
0.78	NPFCX	New Perspective	Pair Corr
0.79	ANWPX	New Perspective	Pair Corr
0.78	NPFFX	New Perspective	Pair Corr
0.79	CNPAX	New Perspective	Pair Corr
0.78	CNPEX	New Perspective	Pair Corr
0.79	CNPFX	New Perspective	Pair Corr
0.77	CNPCX	New Perspective	Pair Corr
0.78	RNPAX	New Perspective	Pair Corr

Moving against Investec Mutual Fund

0.41	RYCLX	Inverse Mid Cap Steady Growth	Pair Corr
0.31	MSEJX	Mm Select Equity	Pair Corr

Related Correlations Analysis

	TSEMX	SMSDX	ANGCX	FEMDX	PCEMX
TSEMX		0.77	0.16	0.82	0.85	TSEMX
SMSDX	0.77		0.66	0.92	0.8	SMSDX
ANGCX	0.16	0.66		0.48	0.37	ANGCX
FEMDX	0.82	0.92	0.48		0.84	FEMDX
PCEMX	0.85	0.8	0.37	0.84		PCEMX
	TSEMX	SMSDX	ANGCX	FEMDX	PCEMX

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Risk-Adjusted Indicators

There is a big difference between Investec Mutual Fund performing well and Investec Global 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 Investec Global'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TSEMX	0.99	(0.07)	0.00	(0.66)	0.00	1.63	(1.97)	7.82
SMSDX	0.25	(0.01)	0.00	(0.41)	0.00	0.43	(0.51)	3.35
ANGCX	0.14	0.02	0.95	3.94	(0.22)	0.36	(0.24)	0.94
FEMDX	0.21	(0.02)	0.00	(0.48)	0.00	0.42	(0.50)	1.80
PCEMX	0.89	(0.01)	0.00	(0.21)	0.00	1.47	(2.14)	8.24

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