Japan Smaller Correlations

JOF Fund

USD 11.09 0.01 0.09%

The current 90-days correlation between Japan Smaller Capita and Templeton Dragon Closed is -0.03 (i.e., Good diversification). The correlation of Japan Smaller 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.

Japan Smaller Correlation With Market

Very weak diversification

The correlation between Japan Smaller Capitalization and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Japan Smaller Capitalization 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 Japan Smaller Capitalization. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Japan Fund

0.68	WRHIX	Ivy High Income	Pair Corr
0.74	WHIAX	Ivy High Income	Pair Corr
0.78	IHIFX	Ivy High Income	Pair Corr
0.73	IVHIX	Ivy High Income	Pair Corr
0.84	RYBCX	Basic Materials	Pair Corr
0.78	MUIFX	Nationwide Fund Inst	Pair Corr
0.62	EXMAX	Eaton Vance Short	Pair Corr
0.87	IVFIX	Federated International	Pair Corr
0.81	UEPIX	Europe 30 Profund	Pair Corr
0.8	RNPGX	New Perspective	Pair Corr
0.81	UEPSX	Europe 30 Profund	Pair Corr
0.82	HMVSX	Hartford Midcap	Pair Corr
0.83	WFAIX	Wells Fargo Index	Pair Corr
0.68	FOPAX	Fidelity International	Pair Corr
0.81	RMLCX	Moderate Strategy	Pair Corr
0.79	BRLVX	American Beacon Bridgeway	Pair Corr
0.73	TSLTX	Transamerica Small Cap	Pair Corr
0.76	ILMBX	Voya Limited Maturity	Pair Corr
0.81	PALRX	Prudential Balanced	Pair Corr
0.84	FZILX	Fidelity Zero Intern	Pair Corr
0.86	FIDSX	Financial Services	Pair Corr
0.85	VPCCX	Vanguard Primecap	Pair Corr
0.77	MIGHX	Massachusetts Investors	Pair Corr
0.82	JBALX	Janus Balanced	Pair Corr
0.75	RBHTX	American Funds 2045	Pair Corr
0.67	WBAIX	Weitz Balanced	Pair Corr
0.65	GCICX	Goldman Sachs Intern	Pair Corr
0.82	JGCGX	Jpmorgan Income	Pair Corr
0.69	TAHTX	Transamerica High Yield	Pair Corr

Related Correlations Analysis

	TDF	LBGIX	TRFFX	DBL	CAF	NCA	SWCRX	TMSRX	RFI	SAISX
TDF		0.5	0.33	0.09	0.51	-0.12	-0.16	0.09	0.32	0.27	TDF
LBGIX	0.5		0.2	0.39	0.17	-0.44	0.21	0.06	0.65	0.08	LBGIX
TRFFX	0.33	0.2		-0.03	0.7	-0.38	-0.13	0.63	-0.48	0.81	TRFFX
DBL	0.09	0.39	-0.03		-0.16	-0.34	0.13	-0.06	0.28	0.2	DBL
CAF	0.51	0.17	0.7	-0.16		-0.44	-0.3	0.4	-0.4	0.64	CAF
NCA	-0.12	-0.44	-0.38	-0.34	-0.44		-0.08	-0.21	0.12	-0.57	NCA
SWCRX	-0.16	0.21	-0.13	0.13	-0.3	-0.08		-0.08	0.11	-0.22	SWCRX
TMSRX	0.09	0.06	0.63	-0.06	0.4	-0.21	-0.08		-0.41	0.49	TMSRX
RFI	0.32	0.65	-0.48	0.28	-0.4	0.12	0.11	-0.41		-0.49	RFI
SAISX	0.27	0.08	0.81	0.2	0.64	-0.57	-0.22	0.49	-0.49		SAISX
	TDF	LBGIX	TRFFX	DBL	CAF	NCA	SWCRX	TMSRX	RFI	SAISX

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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

SAISX	+ 0.81	TRFFX
CAF	+ 0.7	TRFFX
RFI	+ 0.65	LBGIX
SAISX	+ 0.64	CAF
TMSRX	+ 0.63	TRFFX
CAF	+ 0.51	TDF

High negative correlations

SAISX	- 0.57	NCA
SAISX	- 0.49	RFI
RFI	- 0.48	TRFFX
NCA	- 0.44	CAF
NCA	- 0.44	LBGIX
RFI	- 0.41	TMSRX

Risk-Adjusted Indicators

There is a big difference between Japan Fund performing well and Japan Smaller 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 Japan Smaller'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
TDF	0.80	(0.02)	0.00	(0.22)	0.00	0.00	1.61	(1.40)	4.58
LBGIX	0.81	(0.13)	0.00	(0.06)	0.00	0.00	1.22	(1.83)	4.34
TRFFX	0.55	(0.01)	(0.02)	0.04	0.75	(0.55)	1.09	(1.13)	2.92
DBL	0.36	(0.01)	(0.14)	0.00	0.36	(0.45)	0.79	(0.52)	1.84
CAF	1.05	0.08	0.05	0.17	1.24	(1.21)	2.67	(2.10)	6.75
NCA	0.46	0.01	(0.08)	(0.14)	0.55	(0.56)	1.14	(0.91)	3.24
SWCRX	0.44	(0.15)	0.00	(0.69)	0.00	0.00	0.57	(0.56)	10.58
TMSRX	0.12	0.00	(0.17)	0.09	0.03	(0.17)	0.23	(0.34)	0.91
RFI	0.49	(0.13)	0.00	(0.35)	0.00	0.00	0.98	(0.98)	3.10
SAISX	0.58	0.05	0.00	0.42	0.68	(0.64)	1.20	(1.12)	2.62

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