Multimanager Lifestyle Correlations

JQLCX Fund

USD 11.95 0.02 0.17%

The current 90-days correlation between Multimanager Lifestyle and Aqr Long Short Equity is 0.48 (i.e., Very weak diversification). The correlation of Multimanager Lifestyle 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.

Multimanager Lifestyle Correlation With Market

Very weak diversification

The correlation between Multimanager Lifestyle Servati 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 Multimanager Lifestyle Servati 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 Multimanager Lifestyle Servative. 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 main economic indicators.

Moving together with Multimanager Mutual Fund

0.89	JQLAX	Multimanager Lifestyle	Pair Corr
0.95	JQLGX	Multimanager Lifestyle	Pair Corr
0.99	JRLLX	Retirement Living Through	Pair Corr
0.98	JRLPX	Multi Index 2020	Pair Corr
0.96	JRLWX	Retirement Living Through	Pair Corr
0.97	JRLVX	Retirement Living Through	Pair Corr
0.89	JROUX	J Hancock Ii	Pair Corr
0.96	JRODX	J Hancock Ii	Pair Corr
0.72	JAAIX	Alternative Asset	Pair Corr
0.75	JAAPX	Alternative Asset	Pair Corr
0.71	JAARX	Alternative Asset	Pair Corr
0.98	JRTDX	Multi Index 2025	Pair Corr
0.98	JRTGX	Retirement Living Through	Pair Corr
0.85	JABBX	Jhancock Multimanager	Pair Corr
0.72	JAAAX	Alternative Asset	Pair Corr
0.76	JAACX	Alternative Asset	Pair Corr
0.96	JRTYX	Multi Index 2050	Pair Corr
0.99	JABJX	John Hancock Funds	Pair Corr
0.95	JALGX	Multimanager Lifestyle	Pair Corr
0.99	JALMX	Multimanager Lifestyle	Pair Corr
0.9	JSLAX	Multimanager Lifestyle	Pair Corr
0.88	SVBIX	Balanced Fund Class	Pair Corr
0.9	JTAIX	Multimanager Lifestyle	Pair Corr
0.69	JBSOX	New Opportunities	Pair Corr
0.95	JTGIX	Multimanager Lifestyle	Pair Corr
0.9	JTLAX	Multimanager Lifestyle	Pair Corr
1.0	JTMIX	Multimanager Lifestyle	Pair Corr
1.0	JTOIX	Multimanager Lifestyle	Pair Corr
0.88	JTQIX	John Hancock Esg	Pair Corr

Related Correlations Analysis

	QLENX	VDEQX	SMYIX	TRWIX	MSTFX	RGRLX
QLENX		-0.21	0.01	0.72	0.25	0.16	QLENX
VDEQX	-0.21		0.85	0.39	0.73	0.85	VDEQX
SMYIX	0.01	0.85		0.61	0.87	0.92	SMYIX
TRWIX	0.72	0.39	0.61		0.83	0.71	TRWIX
MSTFX	0.25	0.73	0.87	0.83		0.9	MSTFX
RGRLX	0.16	0.85	0.92	0.71	0.9		RGRLX
	QLENX	VDEQX	SMYIX	TRWIX	MSTFX	RGRLX

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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

RGRLX	+ 0.92	SMYIX
RGRLX	+ 0.9	MSTFX
MSTFX	+ 0.87	SMYIX
SMYIX	+ 0.85	VDEQX
RGRLX	+ 0.85	VDEQX
MSTFX	+ 0.83	TRWIX

High negative correlations

VDEQX

- 0.21

QLENX

Risk-Adjusted Indicators

There is a big difference between Multimanager Mutual Fund performing well and Multimanager Lifestyle 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 Multimanager Lifestyle'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
QLENX	0.38	0.14	0.31	0.68	0.00	(0.46)	0.81	(0.57)	2.31
VDEQX	0.67	(0.02)	0.00	(0.02)	0.00	0.00	1.09	(1.48)	5.29
SMYIX	0.64	(0.01)	0.00	(0.01)	1.09	(0.58)	1.07	(1.35)	4.20
TRWIX	0.65	0.10	0.10	0.18	0.80	(0.69)	1.59	(1.53)	5.26
MSTFX	0.57	0.02	0.02	0.04	0.82	(0.55)	1.35	(1.41)	2.95
RGRLX	0.55	0.00	0.00	0.00	0.90	(0.50)	1.01	(1.45)	3.48

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