James Alpha Correlations

JDIEX Fund

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The current 90-days correlation between James Alpha Managed and Dreyfus Natural Resources is 0.54 (i.e., Very weak diversification). The correlation of James Alpha 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.

James Alpha Correlation With Market

Good diversification

The correlation between James Alpha Managed and DJI is -0.03 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding James Alpha Managed 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 James Alpha Managed. 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 income.

Moving together with James Mutual Fund

0.76	JASSX	James Alpha Structured	Pair Corr
0.7	JASVX	James Alpha Structured	Pair Corr
0.63	JSVCX	James Alpha Structured	Pair Corr
0.73	JSVIX	James Alpha Structured	Pair Corr
1.0	JDAEX	James Alpha Managed	Pair Corr
1.0	JDCEX	James Alpha Managed	Pair Corr
1.0	JDSEX	James Alpha Managed	Pair Corr
0.99	JHQCX	Jpmorgan Hedged Equity	Pair Corr
0.96	JHEQX	Jpmorgan Hedged Equity	Pair Corr
0.99	JHQAX	Jpmorgan Hedged Equity	Pair Corr
0.96	GTENX	Gateway Fund Class	Pair Corr
0.96	GTECX	Gateway Fund Class	Pair Corr
1.0	GTEYX	Gateway Fund Class	Pair Corr
0.96	GATEX	Gateway Fund Class	Pair Corr
0.98	JHDCX	Jpmorgan Hedged Equity	Pair Corr
0.98	JHDRX	Jpmorgan Hedged Equity	Pair Corr
0.98	JHDAX	Jpmorgan Hedged Equity	Pair Corr
0.96	VSTSX	Vanguard Total Stock	Pair Corr
0.96	VSMPX	Vanguard Total Stock	Pair Corr
0.96	VITSX	Vanguard Total Stock	Pair Corr
0.96	VFFSX	Vanguard 500 Index	Pair Corr
1.0	VFIAX	Vanguard 500 Index	Pair Corr
0.96	VINIX	Vanguard Institutional	Pair Corr
0.96	VTSAX	Vanguard Total Stock	Pair Corr
0.95	USA	Liberty All Star	Pair Corr
0.86	PGTAX	Putnam Global Technology	Pair Corr
0.74	FGILX	Fidelity Global Equity	Pair Corr
0.95	TRLGX	T Rowe Price	Pair Corr
0.89	WWLAX	Westwood Largecap Value	Pair Corr
0.91	HDGIX	Hartford Dividend	Pair Corr
0.92	FTAGX	Salient Tactical Growth	Pair Corr

Moving against James Mutual Fund

0.67	JACRX	James Alpha Global	Pair Corr
0.66	JARIX	James Alpha Global	Pair Corr
0.66	JARSX	James Alpha Global	Pair Corr
0.66	JAREX	James Alpha Global	Pair Corr

Related Correlations Analysis

	DLDCX	ENPSX	SEPCX	ALTEX	XNDPX	ICBAX	APWEX	XGNTX
DLDCX		0.87	0.82	0.13	0.81	0.74	0.85	0.33	DLDCX
ENPSX	0.87		0.59	-0.26	0.96	0.77	0.91	-0.11	ENPSX
SEPCX	0.82	0.59		0.43	0.5	0.6	0.53	0.55	SEPCX
ALTEX	0.13	-0.26	0.43		-0.34	-0.09	-0.29	0.64	ALTEX
XNDPX	0.81	0.96	0.5	-0.34		0.81	0.97	-0.19	XNDPX
ICBAX	0.74	0.77	0.6	-0.09	0.81		0.79	-0.03	ICBAX
APWEX	0.85	0.91	0.53	-0.29	0.97	0.79		-0.02	APWEX
XGNTX	0.33	-0.11	0.55	0.64	-0.19	-0.03	-0.02		XGNTX
	DLDCX	ENPSX	SEPCX	ALTEX	XNDPX	ICBAX	APWEX	XGNTX

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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

APWEX	+ 0.97	XNDPX
XNDPX	+ 0.96	ENPSX
APWEX	+ 0.91	ENPSX
ENPSX	+ 0.87	DLDCX
APWEX	+ 0.85	DLDCX
SEPCX	+ 0.82	DLDCX

High negative correlations

XNDPX	- 0.34	ALTEX
APWEX	- 0.29	ALTEX
ALTEX	- 0.26	ENPSX
XGNTX	- 0.19	XNDPX
XGNTX	- 0.11	ENPSX
ICBAX	- 0.09	ALTEX

Risk-Adjusted Indicators

There is a big difference between James Mutual Fund performing well and James Alpha 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 James Alpha'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
DLDCX	0.90	0.05	(0.04)	4.15	1.27	(0.91)	1.58	(2.05)	4.99
ENPSX	1.35	0.09	(0.01)	(2.49)	1.89	(1.34)	2.58	(3.15)	8.91
SEPCX	0.73	(0.08)	0.00	(0.03)	0.00	0.00	1.35	(1.70)	4.03
ALTEX	1.34	(0.16)	0.00	(0.05)	0.00	0.00	2.10	(2.74)	7.75
XNDPX	0.91	0.16	0.04	(4.87)	1.14	(0.93)	1.83	(2.38)	6.62
ICBAX	0.88	(0.12)	(0.07)	0.00	1.44	(0.92)	1.49	(1.76)	11.85
APWEX	0.89	0.16	0.05	2.34	1.02	(0.96)	1.83	(1.79)	5.85
XGNTX	0.54	(0.03)	0.00	(0.46)	0.00	0.00	1.23	(1.26)	3.30

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