James Micro Correlations

JMCRX Fund

USD 22.17 0.17 0.76%

The current 90-days correlation between James Micro Cap and Driehaus Micro Cap is 0.77 (i.e., Poor diversification). The correlation of James Micro 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.

James Micro Correlation With Market

Weak diversification

The correlation between James Micro Cap and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding James Micro 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 James Micro 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 metropolitan statistical area.

Moving together with James Mutual Fund

0.92	JASCX	James Small Cap	Pair Corr
0.81	GLRBX	James Balanced Golden	Pair Corr
0.89	GLRIX	James Balanced Golden	Pair Corr
0.95	VSIIX	Vanguard Small Cap	Pair Corr
0.95	VISVX	Vanguard Small Cap	Pair Corr
0.95	DFSVX	Us Small Cap	Pair Corr
0.92	DFFVX	Us Targeted Value	Pair Corr
0.94	UBVCX	Undiscovered Managers	Pair Corr
0.94	UBVAX	Undiscovered Managers	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.89	AVFIX	American Beacon Small	Pair Corr
0.72	WHIYX	Ivy High Income	Pair Corr
0.74	IVHIX	Ivy High Income	Pair Corr
0.74	IHIFX	Ivy High Income	Pair Corr
0.75	WRHIX	Ivy High Income	Pair Corr
0.7	WHIAX	Ivy High Income	Pair Corr
0.69	CSJZX	Cohen Steers Realty	Pair Corr
0.69	CSRSX	Cohen Steers Realty	Pair Corr
0.89	GOODX	Goodhaven Fund Goodhaven	Pair Corr
0.74	FLSZX	Franklin Lifesmart 2055	Pair Corr
0.85	AAEFX	American Century One	Pair Corr
0.8	ASCYX	Alger Funds	Pair Corr
0.84	PRQZX	Pimco Realpath Blend	Pair Corr
0.93	SAMAX	Moderately Aggressive	Pair Corr
0.79	JHRVX	Retirement Living Through	Pair Corr
0.81	JFFAX	Jpmorgan Smartretirement	Pair Corr
0.9	IPSHX	Pinnacle Sherman Multi	Pair Corr
0.8	FLRJX	Franklin Lifesmart 2045	Pair Corr
0.91	STENX	Northern Lights	Pair Corr

Moving against James Mutual Fund

0.4	MLCIX	Bmo Large Cap	Pair Corr
0.36	DFFGX	Dfa Short Term	Pair Corr

Related Correlations Analysis

	DMCRX	MMEYX	ZSCIX	TDVFX	ZSCCX
DMCRX		0.82	0.67	0.53	0.67	DMCRX
MMEYX	0.82		0.89	0.81	0.89	MMEYX
ZSCIX	0.67	0.89		0.8	1.0	ZSCIX
TDVFX	0.53	0.81	0.8		0.8	TDVFX
ZSCCX	0.67	0.89	1.0	0.8		ZSCCX
	DMCRX	MMEYX	ZSCIX	TDVFX	ZSCCX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between James Mutual Fund performing well and James Micro 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 James Micro'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
DMCRX	1.48	(0.02)	(0.03)	0.05	1.96	(1.52)	2.62	(2.96)	10.82
MMEYX	1.04	(0.05)	(0.05)	0.01	1.70	(1.12)	1.88	(1.61)	15.22
ZSCIX	1.19	(0.21)	0.00	(1.05)	0.00	0.00	1.74	(2.27)	21.06
TDVFX	1.15	(0.09)	0.00	(0.13)	0.00	0.00	1.98	(2.20)	17.87
ZSCCX	1.20	(0.22)	0.00	(1.14)	0.00	0.00	1.72	(2.30)	21.40

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