Intech Managed Correlations

JRSDX Fund

USD 11.90 0.03 0.25%

The current 90-days correlation between Intech Managed Volatility and Ab Bond Inflation is -0.29 (i.e., Very 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

Weak diversification

The correlation between Intech Managed Volatility and DJI is 0.32 (i.e., Weak 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 small area income & poverty estimates.

Moving together with Intech Mutual Fund

0.94	JRAAX	Janus Research	Pair Corr
0.94	JRARX	Janus Henderson Research	Pair Corr
1.0	JABAX	Janus Balanced	Pair Corr
1.0	JABCX	Janus Balanced	Pair Corr
1.0	JRSAX	Intech Managed Volatility	Pair Corr
1.0	JRSCX	Intech Managed Volatility	Pair Corr
1.0	JRSIX	Intech Managed Volatility	Pair Corr
1.0	JRSNX	Intech Managed Volatility	Pair Corr
1.0	JRSSX	Intech Managed Volatility	Pair Corr
1.0	JRSTX	Intech Managed Volatility	Pair Corr
0.93	JACTX	Janus Forty Fund	Pair Corr
1.0	JADGX	Janus Growth And	Pair Corr
1.0	JABNX	Janus Balanced	Pair Corr
1.0	JABRX	Janus Balanced	Pair Corr
0.94	JAENX	Janus Enterprise	Pair Corr
0.91	JAGTX	Janus Global Technology	Pair Corr
1.0	JAGIX	Janus Growth And	Pair Corr
0.79	JAGLX	Janus Global Life	Pair Corr
0.75	JAHYX	Janus High Yield	Pair Corr
1.0	JANBX	Janus Balanced	Pair Corr
0.94	JANEX	Janus Enterprise	Pair Corr
0.94	JANIX	Janus Triton	Pair Corr
0.8	JANVX	Janus Venture	Pair Corr
0.94	JAMRX	Janus Research	Pair Corr
0.86	JAOSX	Janus Overseas	Pair Corr
0.94	JSCOX	Perkins Small Cap	Pair Corr
0.93	JARTX	Janus Forty Fund	Pair Corr
0.76	JASBX	Janus Short Term	Pair Corr
0.94	JATTX	Janus Triton	Pair Corr
0.68	JSHNX	Janus Short Term	Pair Corr
0.91	JATAX	Janus Global Technology	Pair Corr
0.93	JAVTX	Janus Venture	Pair Corr
0.94	JSIVX	Perkins Small Cap	Pair Corr

Related Correlations Analysis

	ABNYX	QCILIX	ABYIX	MFTFX	GPMFX	LFTAX	ABNTX
ABNYX		0.8	0.2	0.28	0.23	-0.03	0.95	ABNYX
QCILIX	0.8		0.3	0.27	0.19	0.24	0.79	QCILIX
ABYIX	0.2	0.3		0.94	0.93	0.72	0.25	ABYIX
MFTFX	0.28	0.27	0.94		0.95	0.65	0.33	MFTFX
GPMFX	0.23	0.19	0.93	0.95		0.63	0.28	GPMFX
LFTAX	-0.03	0.24	0.72	0.65	0.63		0.03	LFTAX
ABNTX	0.95	0.79	0.25	0.33	0.28	0.03		ABNTX
	ABNYX	QCILIX	ABYIX	MFTFX	GPMFX	LFTAX	ABNTX

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

ABNTX	+ 0.95	ABNYX
GPMFX	+ 0.95	MFTFX
MFTFX	+ 0.94	ABYIX
GPMFX	+ 0.93	ABYIX
QCILIX	+ 0.8	ABNYX
ABNTX	+ 0.79	QCILIX

High negative correlations

LFTAX

- 0.03

ABNYX

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
ABNYX	0.07	(0.01)	(0.44)	(0.93)	0.08	(0.11)	0.09	(0.09)	0.57
QCILIX	0.10	(0.01)	(0.44)	(0.34)	0.10	(0.10)	0.19	(0.15)	0.62
ABYIX	0.42	0.02	(0.02)	0.12	0.45	(0.47)	0.92	(1.00)	2.56
MFTFX	1.14	0.08	0.06	0.13	1.24	(1.32)	2.62	(2.24)	6.84
GPMFX	0.68	0.02	0.00	0.08	0.83	(0.71)	1.30	(1.53)	3.61
LFTAX	0.37	0.02	(0.04)	0.12	0.46	(0.40)	0.76	(0.93)	2.76
ABNTX	0.07	(0.01)	(0.53)	(0.74)	0.08	(0.11)	0.10	(0.10)	0.49

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