Janus Multi-sector Correlations

JMUTX Fund

USD 8.80 0.01 0.11%

The current 90-days correlation between Janus Multi Sector and Blackstone Secured Lending is 0.1 (i.e., Average diversification). The correlation of Janus Multi-sector 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 Multi-sector Correlation With Market

Almost no diversification

The correlation between Janus Multi Sector Income and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Janus Multi Sector 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 Janus Multi Sector 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 population.

Moving together with Janus Mutual Fund

0.69	JABCX	Janus Balanced	Pair Corr
0.76	JRSAX	Intech Managed Volatility	Pair Corr
0.75	JRSDX	Intech Managed Volatility	Pair Corr
0.74	JRSCX	Intech Managed Volatility	Pair Corr
0.75	JRSIX	Intech Managed Volatility	Pair Corr
0.75	JRSNX	Intech Managed Volatility	Pair Corr
0.75	JRSSX	Intech Managed Volatility	Pair Corr
0.75	JRSTX	Intech Managed Volatility	Pair Corr
0.69	JACNX	Janus Contrarian	Pair Corr
0.79	JADFX	Janus Flexible Bond	Pair Corr
0.78	JADGX	Janus Growth And	Pair Corr
0.7	JABNX	Janus Balanced	Pair Corr
0.7	JABRX	Janus Balanced	Pair Corr
0.78	JAFIX	Janus Flexible Bond	Pair Corr
0.75	JAFLX	Flexible Bond Portfolio	Pair Corr
0.71	JAGTX	Janus Global Technology	Pair Corr
0.82	JAGIX	Janus Growth And	Pair Corr
0.82	JAGLX	Janus Global Life	Pair Corr
0.98	JAHYX	Janus High Yield	Pair Corr
0.95	JAIGX	Overseas Portfolio	Pair Corr
0.7	JANBX	Janus Balanced	Pair Corr
0.64	JANEX	Janus Enterprise	Pair Corr
0.79	JANFX	Janus Flexible Bond	Pair Corr
0.81	JANIX	Janus Triton	Pair Corr
0.87	JANRX	Janus Global Select	Pair Corr

Moving against Janus Mutual Fund

0.38	JRAIX	Janus Research	Pair Corr
0.38	JRANX	Janus Research	Pair Corr
0.37	JRACX	Janus Research	Pair Corr
0.4	JACAX	Forty Portfolio Inst	Pair Corr
0.39	JAGRX	Research Portfolio	Pair Corr
0.39	JAMRX	Janus Research	Pair Corr

Related Correlations Analysis

	RPSIX	PTLDX	NPSFX	TGVIX	HFQAX	HFQIX	HFQSX	HFQCX	VGENX	BXSL
RPSIX		0.95	0.98	0.96	0.95	0.95	0.95	0.95	0.82	-0.57	RPSIX
PTLDX	0.95		0.97	0.94	0.92	0.92	0.92	0.92	0.75	-0.54	PTLDX
NPSFX	0.98	0.97		0.97	0.96	0.96	0.96	0.96	0.81	-0.58	NPSFX
TGVIX	0.96	0.94	0.97		0.97	0.98	0.98	0.98	0.86	-0.6	TGVIX
HFQAX	0.95	0.92	0.96	0.97		0.99	0.99	0.99	0.92	-0.68	HFQAX
HFQIX	0.95	0.92	0.96	0.98	0.99		1.0	1.0	0.92	-0.68	HFQIX
HFQSX	0.95	0.92	0.96	0.98	0.99	1.0		1.0	0.92	-0.68	HFQSX
HFQCX	0.95	0.92	0.96	0.98	0.99	1.0	1.0		0.92	-0.68	HFQCX
VGENX	0.82	0.75	0.81	0.86	0.92	0.92	0.92	0.92		-0.79	VGENX
BXSL	-0.57	-0.54	-0.58	-0.6	-0.68	-0.68	-0.68	-0.68	-0.79		BXSL
	RPSIX	PTLDX	NPSFX	TGVIX	HFQAX	HFQIX	HFQSX	HFQCX	VGENX	BXSL

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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

HFQSX	+ 1.0	HFQIX
HFQCX	+ 1.0	HFQIX
HFQCX	+ 1.0	HFQSX
HFQIX	+ 0.99	HFQAX
HFQSX	+ 0.99	HFQAX
HFQCX	+ 0.99	HFQAX

High negative correlations

BXSL	- 0.79	VGENX
BXSL	- 0.68	HFQCX
BXSL	- 0.68	HFQSX
BXSL	- 0.68	HFQIX
BXSL	- 0.68	HFQAX
BXSL	- 0.6	TGVIX

Risk-Adjusted Indicators

There is a big difference between Janus Mutual Fund performing well and Janus Multi-sector 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 Multi-sector'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
RPSIX	0.10	0.02	(0.38)	(3.78)	0.00	(0.15)	0.18	(0.09)	0.79
PTLDX	0.07	0.01	(0.48)	0.27	0.00	(0.18)	0.21	(0.11)	0.54
NPSFX	0.09	0.03	(0.31)	(29.23)	0.00	(0.14)	0.19	(0.06)	0.87
TGVIX	0.54	0.20	0.23	0.69	0.26	(0.65)	1.36	(0.95)	3.04
HFQAX	0.47	0.24	0.29	(2.57)	0.00	(0.60)	1.14	(0.81)	2.33
HFQIX	0.45	0.22	0.34	0.53	0.00	(0.58)	1.14	(0.75)	2.25
HFQSX	0.45	0.22	0.33	0.53	0.00	(0.58)	1.15	(0.74)	2.26
HFQCX	0.46	0.22	0.33	0.52	0.00	(0.61)	1.09	(0.74)	2.28
VGENX	0.66	0.18	0.16	1.34	0.52	(0.75)	1.49	(1.29)	3.51
BXSL	1.04	(0.13)	0.00	4.60	0.00	0.00	1.76	(2.18)	6.16

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