Fundamental Large Correlations

Mutual Funds . USA . 
Fund . Fundamental Large Cap
JHLVX Fund  USD 61.43  0.10  0.16%   
The current 90-days correlation between Fundamental Large Cap and Regional Bank Fund is 0.6 (i.e., Poor diversification). The correlation of Fundamental Large 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.

Fundamental Large Correlation With Market

Very poor diversification

The correlation between Fundamental Large Cap and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fundamental Large Cap 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 Fundamental Large Cap. 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 real.

Moving together with Fundamental Mutual Fund

  0.88FRBAX Regional BankPairCorr
  0.88FRBCX Regional BankPairCorr
  0.73JQLBX Multimanager LifestylePairCorr
  0.86JQLAX Multimanager LifestylePairCorr
  0.83JQLGX Multimanager LifestylePairCorr
  0.88JRBFX Regional BankPairCorr
  0.92JRETX J Hancock IiPairCorr
  0.88JRGRX Regional BankPairCorr
  0.87JRLQX Retirement Living ThroughPairCorr
  0.86JRLUX Multi Index 2045PairCorr
  0.89JRLWX Retirement Living ThroughPairCorr
  0.87JRLVX Retirement Living ThroughPairCorr
  0.89JRLZX Retirement Living ThroughPairCorr
  0.92JROUX J Hancock IiPairCorr
  0.89JRODX J Hancock IiPairCorr
  0.89JAAFX Jhancock Multi IndexPairCorr
  0.89JAAJX Jhancock Multi IndexPairCorr
  0.84JAAIX Alternative AssetPairCorr
  0.9JAAKX Jhancock Multi IndexPairCorr
  0.81JAAPX Alternative AssetPairCorr
  0.84JAARX Alternative AssetPairCorr
  0.63JRTGX Retirement Living ThroughPairCorr
  0.83JAASX Alternative AssetPairCorr
  0.64JRTIX Multi Index 2030PairCorr
  0.92JAAVX Jhancock MultimanagerPairCorr
  0.73JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Fundamental Mutual Fund performing well and Fundamental Large 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 Fundamental Large'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  1.28 (0.08) 0.00 (0.02) 0.00 
 0.00 
 2.76 
(3.03)
 17.30 
FRBCX  1.28 (0.08) 0.00 (0.02) 0.00 
 0.00 
 2.74 
(3.07)
 17.28 
JQLMX  0.24 (0.05) 0.00 (0.15) 0.00 
 0.00 
 0.40 
(0.56)
 1.99 
JQLBX  0.32 (0.05) 0.00 (0.09) 0.00 
 0.00 
 0.65 
(0.65)
 2.69 
JQLAX  0.49 (0.03) 0.00 (0.02) 0.00 
 0.00 
 0.94 
(0.92)
 4.37 
JQLCX  0.16 (0.04) 0.00 (0.23) 0.00 
 0.00 
 0.33 
(0.34)
 1.42 
JQLGX  0.42 (0.03) 0.00 (0.04) 0.00 
 0.00 
 0.75 
(0.76)
 3.64 
JRBFX  1.28 (0.08) 0.00 (0.02) 0.00 
 0.00 
 2.73 
(3.07)
 17.32 
JRETX  0.48 (0.01)(0.03) 0.00  0.68 
(0.53)
 1.00 
(0.91)
 4.39 
JRGRX  1.28 (0.08) 0.00 (0.02) 0.00 
 0.00 
 2.76 
(3.07)
 17.25 

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