Franklin New Correlations

FNJQX Fund

USD 10.44 0.01 0.1%

The current 90-days correlation between Franklin New Jersey and Ambrus Core Bond is 0.26 (i.e., Modest diversification). The correlation of Franklin New 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.

Franklin New Correlation With Market

Very good diversification

The correlation between Franklin New Jersey and DJI is -0.27 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Franklin New Jersey 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 Franklin New Jersey. 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 Franklin Mutual Fund

0.99	FQCTX	Franklin Necticut Tax	Pair Corr
0.93	FQCHX	Franklin Templeton Smacs	Pair Corr
0.85	FQLAX	Franklin Louisiana Tax	Pair Corr
0.99	FQNCX	Franklin North Carolina	Pair Corr
1.0	FQMDX	Franklin Maryland Tax	Pair Corr
0.8	WAARX	Western Asset Total	Pair Corr

Related Correlations Analysis

	TTRBX	TFBIX	SWSFX	VWALX	RUSIX	MFIRX	ARTFX	IOBZX
TTRBX		0.71	-0.36	0.78	-0.42	0.65	-0.19	0.0	TTRBX
TFBIX	0.71		-0.04	0.86	-0.02	0.7	0.17	0.3	TFBIX
SWSFX	-0.36	-0.04		-0.09	0.88	0.33	0.85	0.78	SWSFX
VWALX	0.78	0.86	-0.09		-0.05	0.72	0.18	0.34	VWALX
RUSIX	-0.42	-0.02	0.88	-0.05		0.24	0.92	0.78	RUSIX
MFIRX	0.65	0.7	0.33	0.72	0.24		0.48	0.68	MFIRX
ARTFX	-0.19	0.17	0.85	0.18	0.92	0.48		0.93	ARTFX
IOBZX	0.0	0.3	0.78	0.34	0.78	0.68	0.93		IOBZX
	TTRBX	TFBIX	SWSFX	VWALX	RUSIX	MFIRX	ARTFX	IOBZX

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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

IOBZX	+ 0.93	ARTFX
ARTFX	+ 0.92	RUSIX
RUSIX	+ 0.88	SWSFX
VWALX	+ 0.86	TFBIX
ARTFX	+ 0.85	SWSFX
VWALX	+ 0.78	TTRBX

High negative correlations

RUSIX	- 0.42	TTRBX
SWSFX	- 0.36	TTRBX
ARTFX	- 0.19	TTRBX
VWALX	- 0.09	SWSFX
RUSIX	- 0.05	VWALX
SWSFX	- 0.04	TFBIX

Risk-Adjusted Indicators

There is a big difference between Franklin Mutual Fund performing well and Franklin New 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 Franklin New'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
TTRBX	0.13	(0.01)	(0.61)	(0.37)	0.16	(0.17)	0.30	(0.30)	0.70
TFBIX	0.16	0.02	(0.29)	(0.07)	0.20	(0.23)	0.40	(0.39)	1.58
SWSFX	0.05	0.01	(1.04)	(1.89)	0.00	(0.21)	0.10	(0.10)	0.59
VWALX	0.16	0.00	(0.27)	0.08	0.25	(0.22)	0.37	(0.37)	1.68
RUSIX	0.04	0.01	0.00	(1.06)	0.00	0.00	0.10	0.00	0.50
MFIRX	0.09	0.00	(0.51)	0.13	0.00	(0.24)	0.19	(0.19)	0.76
ARTFX	0.12	0.04	(0.60)	(1.12)	0.00	(0.20)	0.33	(0.22)	1.01
IOBZX	0.09	0.01	(0.65)	0.58	0.00	(0.14)	0.23	(0.23)	0.46

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