Japan Smaller Correlations

JOF Fund

USD 12.53 0.21 1.65%

The current 90-days correlation between Japan Smaller Capita and Templeton Dragon Closed is 0.09 (i.e., Significant 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

Significant diversification

The correlation between Japan Smaller Capitalization and DJI is 0.04 (i.e., Significant 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

0.66	ERH	Allspring Utilities And	Pair Corr
0.84	WGBIX	Wells Fargo Spectrum	Pair Corr
0.62	TECCX	Tax Exempt Fund	Pair Corr
0.87	AFTEX	Tax Exempt Bond	Pair Corr

Moving against Japan Fund

0.63	FUNYX	Pioneer Fundamental	Pair Corr
0.58	FUNCX	Pioneer Fundamental	Pair Corr
0.36	WCPSX	Mobile Telecommunicatio	Pair Corr
0.36	RTLCX	Tax Managed Large	Pair Corr

Related Correlations Analysis

	TDF	LBGIX	TRFFX	DBL	CAF	NCA	SWCRX	TMSRX	RFI	SAISX
TDF		0.29	0.89	0.18	0.91	0.74	0.86	0.29	0.38	0.88	TDF
LBGIX	0.29		0.12	0.21	0.23	-0.07	0.12	0.22	-0.3	0.0	LBGIX
TRFFX	0.89	0.12		0.27	0.87	0.73	0.87	0.0	0.67	0.98	TRFFX
DBL	0.18	0.21	0.27		0.19	0.03	0.16	0.01	0.08	0.2	DBL
CAF	0.91	0.23	0.87	0.19		0.64	0.87	0.19	0.33	0.86	CAF
NCA	0.74	-0.07	0.73	0.03	0.64		0.78	0.29	0.54	0.75	NCA
SWCRX	0.86	0.12	0.87	0.16	0.87	0.78		0.16	0.53	0.86	SWCRX
TMSRX	0.29	0.22	0.0	0.01	0.19	0.29	0.16		-0.48	0.0	TMSRX
RFI	0.38	-0.3	0.67	0.08	0.33	0.54	0.53	-0.48		0.7	RFI
SAISX	0.88	0.0	0.98	0.2	0.86	0.75	0.86	0.0	0.7		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	+ 0.98	TRFFX
CAF	+ 0.91	TDF
TRFFX	+ 0.89	TDF
SAISX	+ 0.88	TDF
CAF	+ 0.87	TRFFX
SWCRX	+ 0.87	TRFFX

High negative correlations

RFI	- 0.48	TMSRX
RFI	- 0.3	LBGIX
NCA	- 0.07	LBGIX
SAISX	- 0.0	TMSRX
TMSRX	- 0.0	TRFFX
SAISX	- 0.0	LBGIX

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	0.69	0.00	(0.05)	0.09	0.74	(0.85)	1.54	(1.40)	5.75
LBGIX	0.81	(0.11)	(0.09)	(0.01)	1.09	(0.81)	1.51	(2.04)	5.79
TRFFX	0.51	0.07	0.07	0.19	0.43	(0.57)	1.09	(1.03)	3.44
DBL	0.29	(0.01)	(0.26)	(0.02)	0.31	(0.33)	0.60	(0.53)	2.06
CAF	0.80	0.18	0.14	0.64	0.53	(1.00)	2.28	(1.10)	6.75
NCA	0.57	0.06	(0.06)	(0.23)	0.67	(0.68)	1.19	(1.15)	5.76
SWCRX	0.61	0.34	0.72	15.93	0.00	(0.78)	0.62	(0.45)	19.47
TMSRX	0.12	(0.03)	0.00	(0.67)	0.00	0.00	0.23	(0.34)	2.16
RFI	0.59	0.08	0.02	0.38	0.57	(0.63)	1.19	(1.02)	2.99
SAISX	0.55	0.18	0.19	0.40	0.37	(0.65)	1.47	(1.15)	3.52

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