First Eagle Correlations

FEHCX Fund

USD 8.06 0.01 0.12%

The current 90-days correlation between First Eagle High and T Rowe Price is -0.1 (i.e., Good 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

Good diversification

The correlation between First Eagle High and DJI is -0.05 (i.e., 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 various price indices.

Moving together with First Mutual Fund

0.81	NHMRX	Nuveen High Yield	Pair Corr
0.84	NHMFX	Nuveen High Yield	Pair Corr
0.78	GHYCX	Goldman Sachs High	Pair Corr
0.62	GHYAX	Goldman Sachs High	Pair Corr
0.81	NHMAX	Nuveen High Yield	Pair Corr
0.9	NHCCX	Nuveen High Yield	Pair Corr
0.76	XDSMX	Dreyfus Strategic	Pair Corr
0.8	XNXJX	Nuveen New Jersey	Pair Corr
0.65	XNBHX	Neuberger Berman Int	Pair Corr

Moving against First Mutual Fund

0.55	BFGUX	Baron Focused Growth	Pair Corr
0.4	DHLRX	Diamond Hill Large	Pair Corr
0.35	GSQTX	Goldman Sachs Small	Pair Corr
0.34	JEMDX	Jpmorgan Emerging Markets	Pair Corr
0.31	MDFSX	Disciplined Value Series	Pair Corr

Related Correlations Analysis

	CYBAX	ABHIX	JDHYX	MRHYX	GHVIX	BHYRX	PRHYX
CYBAX		0.99	0.97	0.98	0.98	0.99	0.99	CYBAX
ABHIX	0.99		0.97	0.97	0.96	0.98	0.99	ABHIX
JDHYX	0.97	0.97		0.95	0.94	0.98	0.98	JDHYX
MRHYX	0.98	0.97	0.95		0.99	0.99	0.97	MRHYX
GHVIX	0.98	0.96	0.94	0.99		0.97	0.95	GHVIX
BHYRX	0.99	0.98	0.98	0.99	0.97		0.99	BHYRX
PRHYX	0.99	0.99	0.98	0.97	0.95	0.99		PRHYX
	CYBAX	ABHIX	JDHYX	MRHYX	GHVIX	BHYRX	PRHYX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CYBAX	0.10	0.01	(0.43)	0.17	(0.12)	0.24	(0.20)	0.80
ABHIX	0.11	0.02	(0.23)	0.25	(0.27)	0.39	(0.20)	0.77
JDHYX	0.16	0.01	(0.20)	0.16	(0.21)	0.41	(0.27)	0.95
MRHYX	0.09	0.01	(0.24)	0.21	(0.15)	0.24	(0.23)	0.47
GHVIX	0.11	0.01	(0.32)	0.13	(0.14)	0.24	(0.23)	0.70
BHYRX	0.13	0.02	(0.23)	0.20	(0.21)	0.28	(0.28)	0.84
PRHYX	0.13	0.02	(0.17)	0.25	(0.23)	0.17	(0.33)	1.01

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