Regional Bank Correlations

JRBFX Fund

USD 33.87 0.68 2.05%

The correlation of Regional Bank 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.

Regional Bank Correlation With Market

Poor diversification

The correlation between Regional Bank Fund and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Regional Bank Fund 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 Regional Bank Fund. 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 census.

Moving together with Regional Mutual Fund

1.0	FRBAX	Regional Bank	Pair Corr
1.0	FRBCX	Regional Bank	Pair Corr
0.62	JQLAX	Multimanager Lifestyle	Pair Corr
0.68	JRETX	J Hancock Ii	Pair Corr
0.94	JRGRX	Regional Bank	Pair Corr
0.62	JRLWX	Retirement Living Through	Pair Corr
0.61	JRLVX	Retirement Living Through	Pair Corr
0.62	JRLZX	Retirement Living Through	Pair Corr
0.62	JRODX	J Hancock Ii	Pair Corr
0.62	JAAFX	Jhancock Multi Index	Pair Corr
0.62	JAAJX	Jhancock Multi Index	Pair Corr
0.62	JAAKX	Jhancock Multi Index	Pair Corr
0.68	JAAWX	Jhancock Multimanager	Pair Corr
0.65	JABDX	Jhancock Multimanager	Pair Corr
0.68	JABEX	Jhancock Multimanager	Pair Corr

Moving against Regional Mutual Fund

0.34	JABYX	John Hancock Global	Pair Corr
0.31	JABVX	John Hancock Global	Pair Corr

Related Correlations Analysis

	JTSQX	HBAIX	MODRX	CMACX	JLMOX
JTSQX		0.87	0.47	0.9	0.65	JTSQX
HBAIX	0.87		0.41	0.85	0.88	HBAIX
MODRX	0.47	0.41		0.46	0.3	MODRX
CMACX	0.9	0.85	0.46		0.82	CMACX
JLMOX	0.65	0.88	0.3	0.82		JLMOX
	JTSQX	HBAIX	MODRX	CMACX	JLMOX

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Risk-Adjusted Indicators

There is a big difference between Regional Mutual Fund performing well and Regional Bank 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 Regional Bank'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
JTSQX	0.53	0.04	(0.10)	(0.59)	0.63	(0.57)	1.16	(0.93)	3.17
HBAIX	0.36	(0.03)	(0.16)	0.04	0.43	(0.39)	0.83	(0.68)	2.22
MODRX	0.28	(0.05)	0.00	(0.44)	0.00	0.00	0.72	(0.63)	1.52
CMACX	0.37	0.01	(0.18)	(0.53)	0.44	(0.38)	0.76	(0.71)	2.07
JLMOX	0.26	(0.02)	(0.27)	0.02	0.29	(0.29)	0.63	(0.63)	1.46

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