Jacob Micro Correlations

JMIGX Fund

USD 33.54 0.33 0.99%

The current 90-days correlation between Jacob Micro Cap and Jpmorgan Diversified Fund is 0.04 (i.e., Significant diversification). The correlation of Jacob 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.

Jacob Micro Correlation With Market

Very weak diversification

The correlation between Jacob Micro Cap and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jacob 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 Jacob 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 census.

Moving together with Jacob Mutual Fund

0.69	JSCGX	Jacob Small Cap	Pair Corr
0.76	JSIGX	Jacob Small Cap	Pair Corr
0.92	JMCGX	Jacob Micro Cap	Pair Corr
0.61	VEMPX	Vanguard Extended Market	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.78	FUNCX	Pioneer Fundamental	Pair Corr
0.7	RTLCX	Tax Managed Large	Pair Corr

Moving against Jacob Mutual Fund

0.79	ERH	Allspring Utilities And	Pair Corr
0.32	CSJZX	Cohen Steers Realty	Pair Corr
0.32	CSRSX	Cohen Steers Realty	Pair Corr
0.52	SAREX	Sa Real Estate	Pair Corr

Related Correlations Analysis

	JDJRX	DTICX	ODIDX	SCAAX	EVFCX	JDVCX
JDJRX		0.54	0.55	0.37	0.69	0.5	JDJRX
DTICX	0.54		0.84	0.77	0.85	0.78	DTICX
ODIDX	0.55	0.84		0.92	0.94	0.92	ODIDX
SCAAX	0.37	0.77	0.92		0.81	0.92	SCAAX
EVFCX	0.69	0.85	0.94	0.81		0.81	EVFCX
JDVCX	0.5	0.78	0.92	0.92	0.81		JDVCX
	JDJRX	DTICX	ODIDX	SCAAX	EVFCX	JDVCX

Risk-Adjusted Indicators

There is a big difference between Jacob Mutual Fund performing well and Jacob 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 Jacob 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
JDJRX	0.41	0.02	(0.04)	0.11	0.43	(0.48)	0.94	(0.81)	2.24
DTICX	0.06	0.00	(0.38)	0.08	0.00	(0.15)	0.13	(0.13)	0.38
ODIDX	0.05	0.01	(0.35)	0.33	0.00	(0.12)	0.11	(0.11)	0.33
SCAAX	0.41	0.10	0.14	0.46	0.04	(0.51)	0.76	(0.67)	7.57
EVFCX	0.25	0.03	(0.03)	0.13	0.15	(0.32)	0.49	(0.49)	1.53
JDVCX	0.61	0.23	0.28	(0.94)	0.09	(0.79)	0.77	(0.78)	14.53

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