First Eagle Correlations

FESRX Fund

USD 12.48 0.14 1.11%

The current 90-days correlation between First Eagle Small and Goldman Sachs Managed is 0.49 (i.e., Very weak 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

Almost no diversification

The correlation between First Eagle Small and DJI is 0.92 (i.e., Almost no 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 producer price index.

Moving together with First Mutual Fund

0.89	FEBIX	First Eagle Global	Pair Corr
0.88	FEBCX	First Eagle Global	Pair Corr
0.88	FEBAX	First Eagle Global	Pair Corr
0.83	FEAMX	First Eagle Fund	Pair Corr
0.88	FEAIX	First Eagle Fund	Pair Corr
0.89	FEBRX	First Eagle Global	Pair Corr
0.88	FEFRX	First Eagle Fund	Pair Corr
0.87	FEFAX	First Eagle Fund	Pair Corr
0.89	FEGRX	First Eagle Global	Pair Corr
0.87	FEGOX	First Eagle Gold	Pair Corr
0.87	FEGIX	First Eagle Gold	Pair Corr
0.88	SGENX	First Eagle Global	Pair Corr
0.95	FEMAX	First Eagle Smid	Pair Corr
0.86	SGGDX	First Eagle Gold Steady Growth	Pair Corr
0.91	FEORX	First Eagle Overseas	Pair Corr
0.92	FEREX	First Eagle Funds	Pair Corr
0.89	SGIIX	First Eagle Global	Pair Corr
0.91	FERAX	First Eagle Funds	Pair Corr
0.89	FESGX	First Eagle Global	Pair Corr
1.0	FESCX	First Eagle Small	Pair Corr
0.96	FESAX	First Eagle Small	Pair Corr
0.92	FERRX	First Eagle Funds	Pair Corr
0.9	FESOX	First Eagle Overseas	Pair Corr
0.97	FESMX	First Eagle Smid	Pair Corr
0.92	SGOIX	First Eagle Overseas	Pair Corr
0.86	FEVRX	First Eagle Value	Pair Corr
0.87	FEVIX	First Eagle Value	Pair Corr
0.85	FEVCX	First Eagle Value	Pair Corr
0.86	FEVAX	First Eagle Value	Pair Corr
0.87	FEURX	First Eagle Gold	Pair Corr
0.97	FEXRX	First Eagle Smid	Pair Corr
0.9	SGOVX	First Eagle Overseas	Pair Corr
0.98	VSIIX	Vanguard Small Cap	Pair Corr
0.98	VISVX	Vanguard Small Cap	Pair Corr
0.95	DFSVX	Us Small Cap	Pair Corr

Moving against First Mutual Fund

0.55	NXJ	Nuveen New Jersey	Pair Corr
0.5	XDSMX	Dreyfus Strategic	Pair Corr
0.46	XNXJX	Nuveen New Jersey	Pair Corr

Related Correlations Analysis

	AUNOX	RYIFX	SLFYX	CSQIX	MFTFX	ANBIX	AUNCX	GMQPX
AUNOX		0.85	0.78	0.08	0.84	0.6	0.98	0.85	AUNOX
RYIFX	0.85		0.86	0.47	0.95	0.68	0.77	0.96	RYIFX
SLFYX	0.78	0.86		0.44	0.83	0.69	0.71	0.84	SLFYX
CSQIX	0.08	0.47	0.44		0.41	0.49	-0.01	0.42	CSQIX
MFTFX	0.84	0.95	0.83	0.41		0.66	0.76	0.95	MFTFX
ANBIX	0.6	0.68	0.69	0.49	0.66		0.57	0.67	ANBIX
AUNCX	0.98	0.77	0.71	-0.01	0.76	0.57		0.78	AUNCX
GMQPX	0.85	0.96	0.84	0.42	0.95	0.67	0.78		GMQPX
	AUNOX	RYIFX	SLFYX	CSQIX	MFTFX	ANBIX	AUNCX	GMQPX

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

AUNCX	+ 0.98	AUNOX
GMQPX	+ 0.96	RYIFX
MFTFX	+ 0.95	RYIFX
GMQPX	+ 0.95	MFTFX
SLFYX	+ 0.86	RYIFX
RYIFX	+ 0.85	AUNOX

High negative correlations

AUNCX

- 0.01

CSQIX

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
AUNOX	0.08	0.00	(0.38)	0.14	0.00	(0.12)	0.19	(0.18)	0.37
RYIFX	0.55	0.09	0.09	0.20	0.61	(0.58)	1.25	(1.24)	2.89
SLFYX	0.24	0.06	0.03	1.31	0.00	(0.31)	0.62	(0.38)	1.27
CSQIX	0.37	0.02	(0.03)	0.11	0.38	(0.42)	0.87	(0.62)	2.24
MFTFX	1.04	0.20	0.13	0.64	1.04	(1.20)	2.06	(1.78)	5.99
ANBIX	0.08	(0.01)	(0.46)	(0.18)	0.03	(0.11)	0.19	(0.10)	0.38
AUNCX	0.07	0.00	(0.40)	0.06	0.00	(0.12)	0.18	(0.18)	0.37
GMQPX	0.36	0.03	0.00	0.14	0.26	(0.45)	0.75	(0.63)	1.92

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