Janus Global Correlations

JCASX Fund

USD 13.04 0.05 0.38%

The current 90-days correlation between Janus Global Allocation and Western Asset Mortgage is 0.24 (i.e., Modest diversification). The correlation of Janus Global 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.

Janus Global Correlation With Market

Almost no diversification

The correlation between Janus Global Allocation and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Janus Global 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 Janus Global 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 producer price index.

Moving together with Janus Mutual Fund

0.71	JRAAX	Janus Research	Pair Corr
0.71	JRASX	Janus Research	Pair Corr
0.83	JABAX	Janus Balanced	Pair Corr
0.82	JABCX	Janus Balanced	Pair Corr
0.84	JRSAX	Intech Managed Volatility	Pair Corr
0.85	JRSDX	Intech Managed Volatility	Pair Corr
0.84	JRSCX	Intech Managed Volatility	Pair Corr
0.85	JRSIX	Intech Managed Volatility	Pair Corr
0.85	JRSNX	Intech Managed Volatility	Pair Corr
0.85	JRSSX	Intech Managed Volatility	Pair Corr
0.85	JRSTX	Intech Managed Volatility	Pair Corr
0.69	JACTX	Janus Forty Fund	Pair Corr
0.83	JABNX	Janus Balanced	Pair Corr
0.83	JABRX	Janus Balanced	Pair Corr
0.71	JACCX	Janus Forty Fund	Pair Corr
0.8	JAENX	Janus Enterprise	Pair Corr
0.83	JAFLX	Flexible Bond Portfolio	Pair Corr
0.83	JAGTX	Janus Global Technology	Pair Corr
0.94	JAHYX	Janus High Yield	Pair Corr
0.79	JANEX	Janus Enterprise	Pair Corr
0.85	JANIX	Janus Triton	Pair Corr
0.89	JANRX	Janus Global Select	Pair Corr
0.9	JSCVX	Perkins Small Cap	Pair Corr
0.9	JSCOX	Perkins Small Cap	Pair Corr
0.69	JARTX	Janus Forty Fund	Pair Corr
0.87	JASBX	Janus Short Term	Pair Corr
0.85	JSHNX	Janus Short Term	Pair Corr
0.83	JATIX	Janus Global Technology	Pair Corr
0.9	JSIVX	Perkins Small Cap	Pair Corr
0.92	JSLNX	Janus Henderson Global	Pair Corr
0.95	JSPMX	Janus Global Allocation	Pair Corr
1.0	JSPCX	Janus Global Allocation	Pair Corr
1.0	JSPGX	Janus Global Allocation	Pair Corr
0.75	JSVAX	Janus Contrarian	Pair Corr
0.89	JSVDX	Perkins Select Value	Pair Corr
0.89	JSVTX	Perkins Select Value	Pair Corr
0.96	JCAAX	Janus Global Allocation	Pair Corr

Related Correlations Analysis

	JCAIX	JSPCX	ARHVX	JMOCX	JMOAX	JMOIX	JMOSX	JSPMX	SGOAX	DMO
JCAIX		0.96	0.95	1.0	1.0	1.0	0.96	1.0	0.89	-0.69	JCAIX
JSPCX	0.96		1.0	0.95	0.96	0.96	1.0	0.96	0.92	-0.69	JSPCX
ARHVX	0.95	1.0		0.95	0.95	0.95	1.0	0.95	0.9	-0.7	ARHVX
JMOCX	1.0	0.95	0.95		1.0	1.0	0.95	1.0	0.88	-0.7	JMOCX
JMOAX	1.0	0.96	0.95	1.0		1.0	0.96	1.0	0.89	-0.7	JMOAX
JMOIX	1.0	0.96	0.95	1.0	1.0		0.96	1.0	0.89	-0.7	JMOIX
JMOSX	0.96	1.0	1.0	0.95	0.96	0.96		0.96	0.91	-0.7	JMOSX
JSPMX	1.0	0.96	0.95	1.0	1.0	1.0	0.96		0.89	-0.7	JSPMX
SGOAX	0.89	0.92	0.9	0.88	0.89	0.89	0.91	0.89		-0.77	SGOAX
DMO	-0.69	-0.69	-0.7	-0.7	-0.7	-0.7	-0.7	-0.7	-0.77		DMO
	JCAIX	JSPCX	ARHVX	JMOCX	JMOAX	JMOIX	JMOSX	JSPMX	SGOAX	DMO

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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

JMOCX	+ 1.0	JCAIX
JMOAX	+ 1.0	JCAIX
JMOIX	+ 1.0	JCAIX
JSPMX	+ 1.0	JCAIX
ARHVX	+ 1.0	JSPCX
JMOSX	+ 1.0	JSPCX

High negative correlations

DMO	- 0.77	SGOAX
DMO	- 0.7	JSPMX
DMO	- 0.7	JMOSX
DMO	- 0.7	JMOIX
DMO	- 0.7	JMOAX
DMO	- 0.7	JMOCX

Risk-Adjusted Indicators

There is a big difference between Janus Mutual Fund performing well and Janus Global 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 Janus Global'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
JCAIX	0.27	0.03	(0.14)	4.02	0.26	(0.31)	0.62	(0.54)	1.48
JSPCX	0.27	0.01	(0.11)	0.13	0.24	(0.30)	0.55	(0.56)	1.40
ARHVX	0.46	0.03	(0.01)	0.13	0.45	(0.50)	1.03	(0.99)	2.68
JMOCX	0.38	0.04	(0.09)	6.23	0.42	(0.41)	0.76	(0.76)	2.06
JMOAX	0.38	0.00	(0.08)	0.00	0.42	(0.40)	0.75	(0.76)	1.95
JMOIX	0.38	0.04	(0.09)	3.57	0.41	(0.41)	0.74	(0.75)	2.08
JMOSX	0.37	0.02	(0.05)	0.13	0.39	(0.40)	0.74	(0.73)	2.01
JSPMX	0.38	0.04	(0.08)	4.95	0.41	(0.41)	0.74	(0.75)	1.94
SGOAX	0.65	0.21	0.28	0.45	0.00	(0.82)	1.30	(1.02)	12.04
DMO	0.50	(0.07)	0.00	(0.31)	0.00	0.00	1.09	(1.19)	3.82

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