First Eagle Correlations

FEVIX Fund

USD 25.16 0.48 1.87%

The current 90-days correlation between First Eagle Value and Champlain Small Pany is 0.3 (i.e., 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

Very poor diversification

The correlation between First Eagle Value and DJI is 0.83 (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 Value 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 Value. 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

0.93	FEBIX	First Eagle Global	Pair Corr
0.87	FEFRX	First Eagle Fund	Pair Corr
0.93	FEGOX	First Eagle Gold	Pair Corr
0.93	FEGIX	First Eagle Gold	Pair Corr
0.9	SGENX	First Eagle Global	Pair Corr
0.93	SGGDX	First Eagle Gold	Pair Corr
0.92	FEORX	First Eagle Overseas	Pair Corr
0.91	FEREX	First Eagle Funds	Pair Corr
0.91	FERRX	First Eagle Funds	Pair Corr
0.88	FESRX	First Eagle Small	Pair Corr
0.92	FESOX	First Eagle Overseas	Pair Corr
0.91	FESMX	First Eagle Smid	Pair Corr
0.92	SGOIX	First Eagle Overseas	Pair Corr
0.88	FEVRX	First Eagle Value	Pair Corr
0.91	FEXRX	First Eagle Smid	Pair Corr
0.94	IFAFX	Income Fund	Pair Corr
0.86	AMECX	Income Fund	Pair Corr
0.69	IFACX	Income Fund	Pair Corr
0.86	FFIFX	American Funds	Pair Corr
0.69	FAIFX	American Funds	Pair Corr
0.69	RIDBX	Income Fund	Pair Corr
0.86	CIMEX	Income Fund	Pair Corr
0.86	RIDFX	Income Fund	Pair Corr
0.86	CIMCX	Income Fund	Pair Corr
0.86	CIMFX	Income Fund	Pair Corr
0.84	MGGYX	Mirova Global Green	Pair Corr
0.92	HLDIX	Hartford Emerging	Pair Corr
0.92	HLDRX	Hartford Emerging	Pair Corr
0.92	HLDAX	Hartford Emerging	Pair Corr
0.92	HLDCX	Hartford Emerging	Pair Corr
0.92	HLDTX	Hartford Emerging	Pair Corr
0.65	CAAFX	Short Term Bond	Pair Corr
0.78	GFFFX	Growth Fund	Pair Corr
0.67	PCVRX	Putnam Vertible Secu	Pair Corr

Related Correlations Analysis

	GLPIX	RYPNX	ILLLX	TCMSX	USWGX	CSMVX	RYPRX	NWKCX	HYT	CIPSX
GLPIX		0.76	-0.62	0.76	0.68	0.57	0.76	0.73	-0.47	0.53	GLPIX
RYPNX	0.76		-0.09	0.95	0.82	0.91	0.88	0.93	-0.58	0.88	RYPNX
ILLLX	-0.62	-0.09		-0.21	-0.27	0.07	-0.31	-0.23	0.32	0.07	ILLLX
TCMSX	0.76	0.95	-0.21		0.94	0.78	0.97	0.95	-0.76	0.87	TCMSX
USWGX	0.68	0.82	-0.27	0.94		0.58	0.97	0.87	-0.87	0.74	USWGX
CSMVX	0.57	0.91	0.07	0.78	0.58		0.68	0.84	-0.35	0.87	CSMVX
RYPRX	0.76	0.88	-0.31	0.97	0.97	0.68		0.91	-0.82	0.8	RYPRX
NWKCX	0.73	0.93	-0.23	0.95	0.87	0.84	0.91		-0.72	0.91	NWKCX
HYT	-0.47	-0.58	0.32	-0.76	-0.87	-0.35	-0.82	-0.72		-0.53	HYT
CIPSX	0.53	0.88	0.07	0.87	0.74	0.87	0.8	0.91	-0.53		CIPSX
	GLPIX	RYPNX	ILLLX	TCMSX	USWGX	CSMVX	RYPRX	NWKCX	HYT	CIPSX

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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

RYPRX	+ 0.97	TCMSX
RYPRX	+ 0.97	USWGX
TCMSX	+ 0.95	RYPNX
NWKCX	+ 0.95	TCMSX
USWGX	+ 0.94	TCMSX
NWKCX	+ 0.93	RYPNX

High negative correlations

HYT	- 0.87	USWGX
HYT	- 0.82	RYPRX
HYT	- 0.76	TCMSX
HYT	- 0.72	NWKCX
ILLLX	- 0.62	GLPIX
HYT	- 0.58	RYPNX

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
GLPIX	0.46	0.14	0.17	1.27	0.33	(0.53)	1.18	(0.87)	3.01
RYPNX	1.01	0.05	0.05	0.07	1.20	(1.09)	2.43	(2.58)	5.40
ILLLX	1.38	(0.34)	0.00	(0.26)	0.00	0.00	2.64	(3.40)	7.94
TCMSX	1.05	0.14	0.12	0.14	1.08	(1.30)	2.20	(1.83)	5.96
USWGX	0.66	0.22	0.27	0.43	0.37	(0.78)	1.13	(1.15)	12.37
CSMVX	0.99	(0.08)	0.00	(0.02)	0.00	0.00	2.27	(2.04)	5.21
RYPRX	1.09	0.29	0.33	0.20	0.48	(1.43)	2.54	(1.44)	16.01
NWKCX	0.80	0.01	0.01	0.04	0.83	(0.93)	2.19	(1.49)	5.02
HYT	0.46	(0.09)	0.00	(0.22)	0.00	0.00	0.77	(1.01)	4.99
CIPSX	0.86	(0.08)	0.00	(0.03)	0.00	0.00	2.14	(1.84)	4.90

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