Floating Rate Correlations

Mutual Funds . USA . 
Fund . Floating Rate Income
JFIRX Fund  USD 7.70  0.01  0.13%   
The current 90-days correlation between Floating Rate Income and Regional Bank Fund is 0.16 (i.e., Average diversification). The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Significant diversification

The correlation between Floating Rate Income and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Income 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 Floating Rate Income. 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 metropolitan statistical area.

Moving together with Floating Mutual Fund

  0.82FRBAX Regional BankPairCorr
  0.82FRBCX Regional BankPairCorr
  0.74JQLAX Multimanager LifestylePairCorr
  0.68JQLGX Multimanager LifestylePairCorr
  0.82JRBFX Regional BankPairCorr
  0.79JRETX J Hancock IiPairCorr
  0.82JRGRX Regional BankPairCorr
  0.72JRLQX Retirement Living ThroughPairCorr
  0.71JRLUX Multi Index 2045PairCorr
  0.75JRLWX Retirement Living ThroughPairCorr
  0.72JRLVX Retirement Living ThroughPairCorr
  0.76JRLZX Retirement Living ThroughPairCorr
  0.78JROUX J Hancock IiPairCorr
  0.75JRODX J Hancock IiPairCorr
  0.76JAAFX Jhancock Multi IndexPairCorr
  0.76JAAJX Jhancock Multi IndexPairCorr
  0.76JAAKX Jhancock Multi IndexPairCorr
  0.78JAAVX Jhancock MultimanagerPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FRBAX  1.21  0.07  0.15  0.12  0.99 
(1.54)
 2.76 
(1.66)
 15.75 
FRBCX  1.21  0.07  0.14  0.12  0.99 
(1.54)
 2.74 
(1.65)
 15.70 
JQLMX  0.24 (0.02)(0.26) 0.03  0.25 
(0.26)
 0.56 
(0.48)
 1.43 
JQLBX  0.32 (0.01)(0.14) 0.07  0.30 
(0.38)
 0.66 
(0.58)
 2.06 
JQLAX  0.47  0.01 (0.04) 0.10  0.41 
(0.52)
 1.07 
(0.91)
 3.11 
JQLCX  0.16 (0.02)(0.38)(0.02) 0.17 
(0.21)
 0.34 
(0.33)
 1.00 
JQLGX  0.41  0.00 (0.08) 0.09  0.39 
(0.45)
 0.90 
(0.69)
 2.65 
JRBFX  1.21  0.07  0.15  0.12  0.99 
(1.54)
 2.73 
(1.66)
 15.74 
JRETX  0.47  0.02 (0.02) 0.12  0.40 
(0.57)
 1.07 
(0.83)
 3.08 
JRGRX  1.21  0.08  0.15  0.12  0.98 
(1.54)
 2.76 
(1.65)
 15.70 

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