Fundamental Large Correlations

Mutual Funds . USA . 
Fund . Fundamental Large Cap
JLCWX Fund  USD 82.56  0.37  0.45%   
The current 90-days correlation between Fundamental Large Cap and Vanguard Total Stock is 0.96 (i.e., Almost no diversification). The correlation of Fundamental Large 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.

Fundamental Large Correlation With Market

Very poor diversification

The correlation between Fundamental Large Cap 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 Fundamental Large Cap 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 Fundamental Large Cap. 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 housing.

Moving together with FUNDAMENTAL Mutual Fund

  0.95JROUX J Hancock IiPairCorr
  0.93JRODX J Hancock IiPairCorr
  0.8JRTGX Retirement Living ThroughPairCorr
  0.86JRTKX Retirement Living ThroughPairCorr
  0.95JAAWX Jhancock MultimanagerPairCorr
  0.61JABKX John Hancock FundsPairCorr
  0.84JSCNX John Hancock IiPairCorr
  0.94JSGAX John Hancock StrategicPairCorr
  0.96JBGCX Blue Chip GrowthPairCorr
  0.94JTLAX Multimanager LifestylePairCorr
  0.97JDVNX Jhancock DisciplinedPairCorr
  0.97JDVWX John Hancock DisciplinedPairCorr
  0.98JVMAX John Hancock DisciplinedPairCorr
  0.98JVMRX John Hancock DisciplinedPairCorr
  0.97JVLAX John Hancock DisciplinedPairCorr
  0.97JVLIX John Hancock DisciplinedPairCorr
  0.75JGEFX Global EquityPairCorr
  0.71JYEBX Jhancock Real EstatePairCorr
  1.0JHLVX Fundamental Large CapPairCorr
  0.89JLHOX Retirement Living ThroughPairCorr
  0.64JLMOX Lifestyle Ii ModeratePairCorr
  0.98VTSAX Vanguard Total StockPairCorr
  0.98VFIAX Vanguard 500 IndexPairCorr
  0.98VTSMX Vanguard Total StockPairCorr
  0.98VITSX Vanguard Total StockPairCorr
  0.98VSMPX Vanguard Total StockPairCorr
  0.98VSTSX Vanguard Total StockPairCorr
  0.98VFINX Vanguard 500 IndexPairCorr
  0.98VFFSX Vanguard 500 IndexPairCorr
  0.98VINIX Vanguard InstitutionalPairCorr
  0.98VIIIX Vanguard InstitutionalPairCorr
  0.97ASG Liberty All StarPairCorr

Moving against FUNDAMENTAL Mutual Fund

  0.69JDIVX John Hancock DisciplinedPairCorr
  0.63JBOAX John Hancock EsgPairCorr
  0.69JGIFX John Hancock GovernmentPairCorr
  0.31IFN India ClosedPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between FUNDAMENTAL Mutual Fund performing well and Fundamental Large 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 Fundamental Large'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
VTSAX  0.57  0.01  0.00  0.14  0.65 
(0.61)
 1.10 
(1.31)
 4.11 
VFIAX  0.55  0.01 (0.02) 0.14  0.65 
(0.56)
 1.17 
(1.31)
 3.84 
VTSMX  0.56  0.01  0.00  0.14  0.65 
(0.61)
 1.10 
(1.31)
 4.11 
VITSX  0.57  0.01  0.00  0.14  0.65 
(0.61)
 1.10 
(1.31)
 4.11 
VSMPX  0.57  0.01  0.00  0.14  0.65 
(0.61)
 1.10 
(1.30)
 4.11 
VSTSX  0.57  0.01  0.00  0.14  0.65 
(0.61)
 1.10 
(1.31)
 4.11 
VFINX  0.55  0.01 (0.02) 0.14  0.65 
(0.57)
 1.17 
(1.31)
 3.84 
VFFSX  0.55  0.01 (0.02) 0.14  0.65 
(0.56)
 1.17 
(1.31)
 3.84 
VINIX  0.55  0.01 (0.02) 0.14  0.65 
(0.56)
 1.17 
(1.31)
 3.84 
VIIIX  0.55  0.01 (0.02) 0.14  0.65 
(0.56)
 1.17 
(1.31)
 3.84 

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