Global Absolute Correlations

JHARX Fund

USD 10.47 0.01 0.1%

The correlation of Global Absolute 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.

Global Absolute Correlation With Market

Average diversification

The correlation between Global Absolute Return and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Absolute Return 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 Global Absolute Return. 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 Global Mutual Fund

0.61	JQLMX	Multimanager Lifestyle	Pair Corr
0.72	JQLCX	Multimanager Lifestyle	Pair Corr
0.69	JRLDX	Retirement Living Through	Pair Corr
0.68	JRLFX	Multi Index 2010	Pair Corr
0.67	JRLIX	Retirement Living Through	Pair Corr
0.69	JRLHX	Retirement Living Through	Pair Corr
0.66	JRLKX	Multi Index 2015	Pair Corr
0.67	JRLLX	Retirement Living Through	Pair Corr
0.64	JRLOX	Retirement Living Through	Pair Corr
0.64	JRLPX	Multi Index 2020	Pair Corr
0.64	JRTAX	Retirement Living Through	Pair Corr

Related Correlations Analysis

	RGFIX	VFAIX	XFINX	FNPIX	RPFGX	GCFSX	FTIXX	ICFAX
RGFIX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	RGFIX
VFAIX	0.0		0.74	0.97	0.99	0.95	0.0	0.1	VFAIX
XFINX	0.0	0.74		0.74	0.75	0.69	0.0	-0.3	XFINX
FNPIX	0.0	0.97	0.74		0.97	0.91	0.0	0.04	FNPIX
RPFGX	0.0	0.99	0.75	0.97		0.97	0.0	0.1	RPFGX
GCFSX	0.0	0.95	0.69	0.91	0.97		0.0	0.21	GCFSX
FTIXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	FTIXX
ICFAX	0.0	0.1	-0.3	0.04	0.1	0.21	0.0		ICFAX
	RGFIX	VFAIX	XFINX	FNPIX	RPFGX	GCFSX	FTIXX	ICFAX

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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

RPFGX	+ 0.99	VFAIX
FNPIX	+ 0.97	VFAIX
RPFGX	+ 0.97	FNPIX
GCFSX	+ 0.97	RPFGX
GCFSX	+ 0.95	VFAIX
GCFSX	+ 0.91	FNPIX

High negative correlations

ICFAX	- 0.3	XFINX
ICFAX	- 0.0	FTIXX
FTIXX	- 0.0	GCFSX
FTIXX	- 0.0	RPFGX
FTIXX	- 0.0	FNPIX
FTIXX	- 0.0	XFINX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Absolute 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 Global Absolute'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
RGFIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VFAIX	0.74	0.03	0.09	0.14	0.50	(0.88)	1.77	(1.22)	8.51
XFINX	0.11	0.01	(0.26)	0.50	0.15	(0.13)	0.21	(0.14)	1.00
FNPIX	1.06	0.26	0.12	(2.84)	0.87	(1.15)	2.09	(1.83)	11.72
RPFGX	0.76	0.03	0.09	0.14	0.46	(0.96)	1.85	(1.15)	7.59
GCFSX	0.64	0.03	0.03	0.14	0.53	(0.86)	1.52	(1.21)	6.07
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ICFAX	0.88	(0.20)	0.00	(0.09)	0.00	0.00	1.43	(1.18)	18.69

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