Intech Us Correlations

Mutual Funds . USA . 
Fund . Intech Managed Volatility
JRSTX Fund  USD 12.09  0.12  0.98%   
The current 90-days correlation between Intech Managed Volatility and Conestoga Smid Cap is 0.17 (i.e., Average diversification). The correlation of Intech Us 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 Us 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 population.

Moving together with Intech Mutual Fund

  0.95JRAAX Janus ResearchPairCorr
  0.93JRARX Janus Henderson ResearchPairCorr
  0.93JRASX Janus ResearchPairCorr
  0.89JAAGX Enterprise PortfolioPairCorr
  1.0JABAX Janus BalancedPairCorr
  1.0JABCX Janus BalancedPairCorr
  0.97JRSAX Intech Managed VolatilityPairCorr
  1.0JRSDX Intech Managed VolatilityPairCorr
  1.0JRSCX Intech Managed VolatilityPairCorr
  1.0JRSIX Intech Managed VolatilityPairCorr
  1.0JRSNX Intech Managed VolatilityPairCorr
  1.0JRSSX Intech Managed VolatilityPairCorr
  0.92JACNX Janus ContrarianPairCorr
  0.93JACTX Janus Forty FundPairCorr
  0.97JADGX Janus Growth AndPairCorr
  1.0JABNX Janus BalancedPairCorr
  1.0JABRX Janus BalancedPairCorr
  0.96JACCX Janus Forty FundPairCorr
  0.96JAENX Janus EnterprisePairCorr
  0.93JAGTX Janus Global TechnologyPairCorr
  1.0JAGIX Janus Growth AndPairCorr
  0.87JAGLX Janus Global LifePairCorr
  0.84JAHYX Janus High YieldPairCorr
  0.85JAIGX Overseas PortfolioPairCorr
  1.0JANBX Janus BalancedPairCorr
  0.96JANEX Janus EnterprisePairCorr
  0.96JANIX Janus TritonPairCorr
  0.96JANRX Janus Global SelectPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Intech Mutual Fund performing well and Intech Us 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 Us' 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
JRSAX  0.66  0.20  0.20  0.56  0.53 
(0.75)
 1.22 
(0.99)
 12.39 
JRSCX  0.65  0.19  0.20  0.37  0.47 
(0.78)
 1.20 
(1.05)
 13.08 
WMLIX  0.74  0.16  0.20  0.17  0.53 
(0.87)
 1.20 
(1.22)
 14.86 
IYSYX  0.61  0.09  0.10  0.15  0.59 
(0.70)
 1.43 
(1.20)
 3.59 
FOSBX  0.94  0.12  0.14  0.14  0.68 
(1.11)
 2.28 
(1.52)
 10.41 
FOSCX  0.94  0.12  0.14  0.14  0.69 
(1.15)
 2.29 
(1.53)
 10.44 
PBPNX  0.31  0.01 (0.03) 0.08  0.34 
(0.35)
 0.63 
(0.63)
 1.94 
PVPNX  0.44  0.05  0.06  0.13  0.41 
(0.48)
 0.93 
(0.91)
 4.02 
PDEZX  0.78  0.15  0.13  0.28  0.74 
(0.97)
 1.80 
(1.15)
 4.75 
CCSGX  0.82 (0.06)(0.05) 0.00  0.91 
(0.98)
 1.98 
(1.69)
 5.71 

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