Multimanager Lifestyle Correlations

JTLMX Fund

USD 12.93 0.01 0.08%

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

Good diversification

The correlation between Multimanager Lifestyle Moderat and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multimanager Lifestyle Moderat 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 Moderate. 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 board of governors.

Moving against Multimanager Mutual Fund

0.44	BMBSX	Baird Quality Interm	Pair Corr
0.35	KF	Korea Closed	Pair Corr
0.43	CVX	Chevron Corp Earnings Call Tomorrow	Pair Corr
0.35	GE	GE Aerospace	Pair Corr
0.33	BA	Boeing	Pair Corr
0.32	XOM	Exxon Mobil Corp Earnings Call Tomorrow	Pair Corr
0.31	AA	Alcoa Corp	Pair Corr

Related Correlations Analysis

	RYFAX	BTO	GCFSX	SBFAX	MCBXX	ICFAX	GSGXX
RYFAX		0.88	0.86	0.88	0.0	0.89	0.0	RYFAX
BTO	0.88		0.92	0.89	0.0	0.9	0.0	BTO
GCFSX	0.86	0.92		0.94	0.0	0.91	0.0	GCFSX
SBFAX	0.88	0.89	0.94		0.0	0.86	0.0	SBFAX
MCBXX	0.0	0.0	0.0	0.0		0.0	0.0	MCBXX
ICFAX	0.89	0.9	0.91	0.86	0.0		0.0	ICFAX
GSGXX	0.0	0.0	0.0	0.0	0.0	0.0		GSGXX
	RYFAX	BTO	GCFSX	SBFAX	MCBXX	ICFAX	GSGXX

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

SBFAX	+ 0.94	GCFSX
GCFSX	+ 0.92	BTO
ICFAX	+ 0.91	GCFSX
ICFAX	+ 0.9	BTO
ICFAX	+ 0.89	RYFAX
SBFAX	+ 0.89	BTO

High negative correlations

GSGXX	- 0.0	ICFAX
GSGXX	- 0.0	MCBXX
ICFAX	- 0.0	MCBXX
GSGXX	- 0.0	SBFAX
MCBXX	- 0.0	SBFAX
GSGXX	- 0.0	GCFSX

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
RYFAX	0.63	(0.03)	(0.04)	0.02	0.87	(0.64)	1.23	(1.60)	4.21
BTO	0.88	0.07	0.06	0.12	0.95	(0.96)	2.95	(1.84)	5.37
GCFSX	0.50	0.16	0.15	1.00	0.49	(0.59)	1.15	(1.04)	3.77
SBFAX	0.93	0.25	0.25	0.49	0.51	(1.18)	1.70	(1.46)	18.47
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ICFAX	0.85	0.18	0.24	0.23	0.41	(1.19)	1.66	(0.98)	14.63
GSGXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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