Floating Rate Correlations

JFIRX Fund

USD 7.69 0.01 0.13%

The current 90-days correlation between Floating Rate Income and Regional Bank Fund is 0.02 (i.e., Significant diversification). The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Modest diversification

The correlation between Floating Rate Income and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Income 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 Floating Rate Income. 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 metropolitan statistical area.

Moving together with Floating Mutual Fund

0.67	JAAIX	Alternative Asset	Pair Corr
0.63	JAAPX	Alternative Asset	Pair Corr
0.68	JAARX	Alternative Asset	Pair Corr
0.65	JAASX	Alternative Asset	Pair Corr

Moving against Floating Mutual Fund

0.47	FRBCX	Regional Bank	Pair Corr
0.45	FRBAX	Regional Bank	Pair Corr
0.44	JRBFX	Regional Bank	Pair Corr
0.44	JRGRX	Regional Bank	Pair Corr
0.74	JABFX	Jhancock Real Estate	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.71	0.72	0.83	0.69	0.79	1.0	0.79	1.0	FRBAX
FRBCX	1.0		0.7	0.71	0.83	0.68	0.78	1.0	0.79	1.0	FRBCX
JQLMX	0.71	0.7		0.99	0.95	0.99	0.98	0.71	0.94	0.71	JQLMX
JQLBX	0.72	0.71	0.99		0.96	0.98	0.99	0.72	0.95	0.72	JQLBX
JQLAX	0.83	0.83	0.95	0.96		0.93	0.99	0.83	0.99	0.83	JQLAX
JQLCX	0.69	0.68	0.99	0.98	0.93		0.96	0.69	0.92	0.69	JQLCX
JQLGX	0.79	0.78	0.98	0.99	0.99	0.96		0.79	0.99	0.79	JQLGX
JRBFX	1.0	1.0	0.71	0.72	0.83	0.69	0.79		0.79	1.0	JRBFX
JRETX	0.79	0.79	0.94	0.95	0.99	0.92	0.99	0.79		0.79	JRETX
JRGRX	1.0	1.0	0.71	0.72	0.83	0.69	0.79	1.0	0.79		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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
FRBAX	1.23	(0.01)	(0.03)	0.07	1.61	(1.54)	2.74	(2.91)	18.11
FRBCX	1.24	(0.02)	(0.04)	0.05	1.68	(1.54)	2.75	(2.92)	18.58
JQLMX	0.26	(0.01)	(0.18)	0.06	0.35	(0.28)	0.57	(0.57)	2.02
JQLBX	0.34	0.00	(0.11)	0.08	0.49	(0.36)	0.75	(0.73)	2.73
JQLAX	0.53	(0.01)	(0.08)	0.05	0.82	(0.53)	1.16	(1.29)	4.36
JQLCX	0.17	(0.01)	(0.26)	0.04	0.20	(0.21)	0.42	(0.34)	1.44
JQLGX	0.45	(0.01)	(0.09)	0.07	0.66	(0.47)	1.00	(1.20)	3.71
JRBFX	1.23	(0.01)	(0.03)	0.07	1.60	(1.54)	2.72	(2.88)	18.14
JRETX	0.55	(0.01)	(0.07)	0.06	0.81	(0.58)	1.15	(1.37)	4.32
JRGRX	1.23	(0.01)	(0.03)	0.07	1.61	(1.54)	2.75	(2.88)	18.14

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