Johcm Global Correlations

JOGIX Fund

USD 15.02 0.03 0.20%

The current 90-days correlation between Johcm Global Equity and Regnan Uk Umbrella is 0.63 (i.e., Poor diversification). The correlation of Johcm Global 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.

Johcm Global Correlation With Market

Poor diversification

The correlation between Johcm Global Equity and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Johcm Global Equity 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 Johcm Global Equity. 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 gross domestic product.

Moving together with Johcm Mutual Fund

0.71	TSWHX	Tswhgyldbdinstl	Pair Corr
1.0	JOGEX	Johcm Global Equity	Pair Corr
0.8	FNFPX	American Funds New	Pair Corr
0.8	FFPNX	American Funds New	Pair Corr
0.84	NPFCX	New Perspective	Pair Corr
0.85	ANWPX	New Perspective	Pair Corr
0.85	NPFFX	New Perspective	Pair Corr
0.85	CNPAX	New Perspective	Pair Corr
0.85	CNPEX	New Perspective	Pair Corr
0.85	CNPFX	New Perspective	Pair Corr
0.78	CNPCX	New Perspective	Pair Corr
0.78	RNPAX	New Perspective	Pair Corr
0.93	ASG	Liberty All Star	Pair Corr
0.9	CII	Blackrock Enhanced	Pair Corr
0.91	ETV	Eaton Vance Tax	Pair Corr
0.81	CLM	Cornerstone Strategic	Pair Corr
0.84	CRF	Cornerstone Strategic	Pair Corr
0.91	USA	Liberty All Star	Pair Corr
0.93	ETY	Eaton Vance Tax	Pair Corr
0.71	NFJ	Virtus Dividend Interest	Pair Corr
0.95	JHEQX	Jpmorgan Hedged Equity	Pair Corr
0.67	EOD	Allspring Global Dividend	Pair Corr
0.92	FMILX	Fidelity New Millennium	Pair Corr
0.84	VVIAX	Vanguard Value Index	Pair Corr
0.93	QUAZX	Ab Small Cap	Pair Corr
0.88	NWHQX	Nationwide Bailard	Pair Corr

Moving against Johcm Mutual Fund

0.42	REGIX	Regnan Uk Umbrella	Pair Corr
0.35	JOPSX	Johcm International	Pair Corr

Related Correlations Analysis

	REGIX	TSWHX	TSWMX	JOEAX	JOGEX	JOEIX	JOEMX	JOHIX	JOGIX	JOHAX
REGIX		-0.57	0.48	0.18	-0.42	0.11	0.17	0.96	-0.42	0.96	REGIX
TSWHX	-0.57		0.13	0.45	0.71	0.46	0.45	-0.48	0.71	-0.48	TSWHX
TSWMX	0.48	0.13		0.88	0.21	0.89	0.88	0.49	0.21	0.49	TSWMX
JOEAX	0.18	0.45	0.88		0.49	0.96	1.0	0.23	0.49	0.23	JOEAX
JOGEX	-0.42	0.71	0.21	0.49		0.51	0.5	-0.27	1.0	-0.28	JOGEX
JOEIX	0.11	0.46	0.89	0.96	0.51		0.96	0.14	0.51	0.14	JOEIX
JOEMX	0.17	0.45	0.88	1.0	0.5	0.96		0.23	0.5	0.22	JOEMX
JOHIX	0.96	-0.48	0.49	0.23	-0.27	0.14	0.23		-0.28	1.0	JOHIX
JOGIX	-0.42	0.71	0.21	0.49	1.0	0.51	0.5	-0.28		-0.28	JOGIX
JOHAX	0.96	-0.48	0.49	0.23	-0.28	0.14	0.22	1.0	-0.28		JOHAX
	REGIX	TSWHX	TSWMX	JOEAX	JOGEX	JOEIX	JOEMX	JOHIX	JOGIX	JOHAX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

JOEMX	+ 1.0	JOEAX
JOGIX	+ 1.0	JOGEX
JOHAX	+ 1.0	JOHIX
JOHIX	+ 0.96	REGIX
JOHAX	+ 0.96	REGIX
JOEIX	+ 0.96	JOEAX

High negative correlations

TSWHX	- 0.57	REGIX
JOHAX	- 0.48	TSWHX
JOHIX	- 0.48	TSWHX
JOGIX	- 0.42	REGIX
JOGEX	- 0.42	REGIX
JOHAX	- 0.28	JOGIX

Risk-Adjusted Indicators

There is a big difference between Johcm Mutual Fund performing well and Johcm Global 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 Johcm Global'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
REGIX	0.69	(0.19)	0.00	(0.26)	0.00	0.00	1.27	(1.66)	3.98
TSWHX	0.11	0.02	(0.71)	(0.84)	0.00	(0.17)	0.32	(0.21)	0.76
TSWMX	0.57	(0.04)	0.00	0.58	0.00	0.00	1.17	(0.84)	4.54
JOEAX	0.76	0.01	(0.09)	0.16	0.89	(0.92)	1.77	(1.46)	5.82
JOGEX	0.70	(0.01)	(0.04)	0.10	0.91	(0.73)	1.67	(1.62)	4.55
JOEIX	0.78	0.02	(0.11)	(0.15)	0.93	(0.94)	1.76	(1.64)	5.81
JOEMX	0.76	0.01	(0.09)	0.16	0.88	(0.91)	1.76	(1.47)	5.80
JOHIX	0.62	(0.16)	0.00	(0.20)	0.00	0.00	1.19	(1.62)	4.55
JOGIX	0.70	(0.01)	(0.04)	0.10	0.89	(0.75)	1.66	(1.61)	4.54
JOHAX	0.62	(0.16)	0.00	(0.20)	0.00	0.00	1.15	(1.62)	4.54

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC