Intech Managed Correlations

JRSCX Fund

USD 11.70 0.06 0.52%

The current 90-days correlation between Intech Managed Volatility and Simt Tax Managed Managed is -0.08 (i.e., Good diversification). The correlation of Intech Managed 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.

Intech Managed Correlation With Market

Very poor diversification

The correlation between Intech Managed Volatility and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Intech Managed Volatility 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 Intech Managed Volatility. 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 unemployment.

Moving together with Intech Mutual Fund

0.93	JACTX	Janus Forty Fund	Pair Corr
0.97	JADGX	Janus Growth And	Pair Corr
0.96	JAENX	Janus Enterprise	Pair Corr
0.87	JAGLX	Janus Global Life	Pair Corr
0.83	JAHYX	Janus High Yield	Pair Corr
0.96	JANEX	Janus Enterprise	Pair Corr
0.85	JANVX	Janus Venture	Pair Corr
0.93	JARTX	Janus Forty Fund	Pair Corr
0.82	JASBX	Janus Short Term	Pair Corr
0.77	JSHNX	Janus Short Term	Pair Corr
0.95	JAVTX	Janus Venture	Pair Corr
0.94	JSIVX	Perkins Small Cap	Pair Corr
0.83	JSPCX	Janus Global Allocation	Pair Corr
0.91	JSVAX	Janus Contrarian	Pair Corr
0.93	JCNAX	Janus Contrarian	Pair Corr
0.91	JCNIX	Janus Contrarian	Pair Corr
0.91	JCONX	Janus Contrarian	Pair Corr
0.82	JDHYX	Janus High Yield	Pair Corr
0.96	JDMNX	Janus Enterprise	Pair Corr
0.79	JDNRX	Janus Growth And	Pair Corr
0.96	JDPAX	Perkins Mid Cap	Pair Corr
0.93	JDSAX	Perkins Small Cap	Pair Corr
0.76	JDWNX	Janus Henderson Global	Pair Corr
0.95	JVTSX	Janus Venture	Pair Corr
0.97	JWWFX	Janus Global Research	Pair Corr
0.97	JGRTX	Janus Enterprise	Pair Corr
0.84	JHYAX	Janus High Yield	Pair Corr
0.83	JHYNX	Janus High Yield	Pair Corr
0.82	JHYRX	Janus High Yield	Pair Corr
0.98	JMCVX	Perkins Mid Cap	Pair Corr
0.96	JMGRX	Janus Enterprise	Pair Corr
0.98	JMVIX	Perkins Mid Cap	Pair Corr
0.95	JNGTX	Janus Global Technology	Pair Corr

Related Correlations Analysis

	JRSAX	JRSTX	WMLIX	FOSBX	FOSCX	IYSYX	SVOAX	MFCIX	CCSGX	TMMAX
JRSAX		1.0	0.96	0.93	0.93	0.75	0.75	0.85	0.88	0.73	JRSAX
JRSTX	1.0		0.96	0.93	0.93	0.74	0.74	0.85	0.87	0.72	JRSTX
WMLIX	0.96	0.96		0.96	0.96	0.72	0.78	0.87	0.88	0.76	WMLIX
FOSBX	0.93	0.93	0.96		1.0	0.71	0.7	0.9	0.94	0.68	FOSBX
FOSCX	0.93	0.93	0.96	1.0		0.71	0.7	0.9	0.94	0.68	FOSCX
IYSYX	0.75	0.74	0.72	0.71	0.71		0.84	0.65	0.73	0.83	IYSYX
SVOAX	0.75	0.74	0.78	0.7	0.7	0.84		0.75	0.67	1.0	SVOAX
MFCIX	0.85	0.85	0.87	0.9	0.9	0.65	0.75		0.9	0.74	MFCIX
CCSGX	0.88	0.87	0.88	0.94	0.94	0.73	0.67	0.9		0.65	CCSGX
TMMAX	0.73	0.72	0.76	0.68	0.68	0.83	1.0	0.74	0.65		TMMAX
	JRSAX	JRSTX	WMLIX	FOSBX	FOSCX	IYSYX	SVOAX	MFCIX	CCSGX	TMMAX

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Risk-Adjusted Indicators

There is a big difference between Intech Mutual Fund performing well and Intech Managed 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 Intech Managed'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
JRSAX	0.68	0.15	0.14	0.32	0.57	(0.80)	1.22	(0.99)	12.39
JRSTX	0.68	0.16	0.15	0.35	0.56	(0.82)	1.25	(1.02)	12.77
WMLIX	0.77	0.13	0.17	0.18	0.57	(0.90)	1.15	(1.22)	14.86
FOSBX	0.97	0.12	0.15	0.16	0.67	(1.11)	2.28	(1.52)	10.41
FOSCX	0.97	0.12	0.15	0.16	0.67	(1.14)	2.29	(1.53)	10.44
IYSYX	0.63	0.08	0.09	0.17	0.57	(0.71)	1.43	(1.20)	3.59
SVOAX	0.74	0.29	0.43	1.38	0.00	(1.06)	1.01	(0.73)	19.62
MFCIX	1.19	0.23	0.21	0.26	0.93	(1.54)	1.86	(1.90)	17.17
CCSGX	0.83	(0.01)	0.00	0.06	0.81	(0.98)	1.98	(1.64)	5.71
TMMAX	1.00	0.52	0.84	(9.12)	0.00	(1.37)	0.92	(0.70)	32.53

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Intech Managed Correlations

Intech Managed Correlation With Market

Very poor diversification

Moving together with Intech Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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