Alternative Asset Correlations

Mutual Funds . USA . 
Fund . Alternative Asset Allocation
JAAIX Fund  USD 17.19  0.05  0.29%   
The current 90-days correlation between Alternative Asset and William Blair Small is 0.63 (i.e., Poor diversification). The correlation of Alternative Asset 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.

Alternative Asset Correlation With Market

Very poor diversification

The correlation between Alternative Asset Allocation 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 Alternative Asset Allocation and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Alternative Asset Allocation. 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 Alternative Mutual Fund

  0.84FRBAX Regional BankPairCorr
  0.84FRBCX Regional BankPairCorr
  0.91JQLMX Multimanager LifestylePairCorr
  0.89JQLBX Multimanager LifestylePairCorr
  0.87JQLAX Multimanager LifestylePairCorr
  0.96JQLCX Multimanager LifestylePairCorr
  0.88JQLGX Multimanager LifestylePairCorr
  0.88JRBFX Regional BankPairCorr
  0.91JRETX J Hancock IiPairCorr
  0.88JRGRX Regional BankPairCorr
  0.98JRLDX Retirement Living ThroughPairCorr
  0.99JRLFX Multi Index 2010PairCorr
  0.98JRLIX Retirement Living ThroughPairCorr
  0.97JRLHX Retirement Living ThroughPairCorr
  0.97JRLKX Multi Index 2015PairCorr
  0.98JRLLX Retirement Living ThroughPairCorr
  0.98JRLOX Retirement Living ThroughPairCorr
  0.95JRLQX Retirement Living ThroughPairCorr
  0.98JRLPX Multi Index 2020PairCorr
  0.95JRLUX Multi Index 2045PairCorr
  0.94JRLWX Retirement Living ThroughPairCorr
  0.95JRLVX Retirement Living ThroughPairCorr
  0.94JRLZX Retirement Living ThroughPairCorr
  0.91JROUX J Hancock IiPairCorr
  0.94JRODX J Hancock IiPairCorr
  0.94JAAFX Jhancock Multi IndexPairCorr
  0.94JAAKX Jhancock Multi IndexPairCorr
  1.0JAAPX Alternative AssetPairCorr
  0.98JRTBX Retirement Living ThroughPairCorr
  0.97JRTAX Retirement Living ThroughPairCorr
  1.0JAARX Alternative AssetPairCorr
  0.98JRTDX Multi Index 2025PairCorr
  0.97JRTGX Retirement Living ThroughPairCorr
  0.98JRTFX Retirement Living ThroughPairCorr
  0.98JAASX Alternative AssetPairCorr
  0.97JRTIX Multi Index 2030PairCorr
  0.92JAAVX Jhancock MultimanagerPairCorr
  0.97JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis


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

OIIEX
+ 0.98
SWYHX
GATMX
+ 0.97
JAAAX
HRTVX
+ 0.97
WHGSX
OIIEX
+ 0.96
JAAAX
SWYHX
+ 0.96
HRTVX
MDRFX
+ 0.95
WHGSX
  

High negative correlations

PAXLX
- 0.28
GATMX
PAXLX
- 0.25
JAAAX
PAXLX
- 0.24
HRTVX
PAXLX
- 0.15
WHGSX
PAXLX
- 0.06
OIIEX
PAXLX
- 0.04
MDRFX

Risk-Adjusted Indicators

There is a big difference between Alternative Mutual Fund performing well and Alternative Asset 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 Alternative Asset'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
JAAAX  0.21  0.03 (0.03) 0.21  0.00 
(0.25)
 0.42 
(0.35)
 0.95 
WHGSX  0.84  0.20  0.23  0.24  0.52 
(1.14)
 2.76 
(1.37)
 6.30 
BIRAX  0.58  0.01 (0.06)(0.27) 0.81 
(0.56)
 0.95 
(1.46)
 3.58 
HRTVX  0.81  0.22  0.26  0.25  0.51 
(0.97)
 2.64 
(1.50)
 4.72 
SWYHX  0.43  0.04  0.03  0.12  0.49 
(0.45)
 0.93 
(1.01)
 2.86 
MDRFX  0.78  0.23  0.23  1.04  0.46 
(0.92)
 1.86 
(1.22)
 10.77 
OIIEX  0.60  0.11  0.10  0.20  0.59 
(0.64)
 1.43 
(1.36)
 3.50 
GATMX  0.64  0.19  0.18 (10.00) 0.49 
(0.77)
 1.46 
(1.17)
 3.31 
PAXLX  0.53 (0.10) 0.00 (0.09) 0.00 
 0.00 
 1.01 
(1.48)
 3.16 
WBSNX  0.90  0.12  0.13  0.15  0.79 
(1.04)
 2.23 
(1.54)
 4.91 

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