Lifestyle Correlations

JLMOX Fund

USD 11.23 0.04 0.36%

The current 90-days correlation between Lifestyle Ii Moderate and Jennison Natural Resources is 0.59 (i.e., Very weak diversification). The correlation of 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.

Lifestyle Correlation With Market

Poor diversification

The correlation between Lifestyle Ii Moderate and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lifestyle Ii Moderate 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 Lifestyle Ii 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 persons.

Moving together with Lifestyle Mutual Fund

0.92	JQLBX	Multimanager Lifestyle	Pair Corr
0.94	JRLDX	Retirement Living Through	Pair Corr
0.94	JRLHX	Retirement Living Through	Pair Corr
0.99	JRLOX	Retirement Living Through	Pair Corr
0.79	JRLQX	Retirement Living Through	Pair Corr
0.99	JRLPX	Multi Index 2020	Pair Corr
0.8	JRLUX	Multi Index 2045	Pair Corr
0.76	JRLWX	Retirement Living Through	Pair Corr
0.79	JRLVX	Retirement Living Through	Pair Corr
0.73	JROUX	J Hancock Ii	Pair Corr
0.76	JRODX	J Hancock Ii	Pair Corr
0.83	JAAIX	Alternative Asset	Pair Corr
0.83	JAARX	Alternative Asset	Pair Corr
0.95	JRTGX	Retirement Living Through	Pair Corr
0.91	JRTKX	Retirement Living Through	Pair Corr
0.74	JAAWX	Jhancock Multimanager	Pair Corr
0.74	JAAZX	Jhancock Multimanager	Pair Corr
0.73	JABDX	Jhancock Multimanager	Pair Corr
0.84	JRTWX	Retirement Living Through	Pair Corr
0.85	JRTVX	Multi Index 2040	Pair Corr
0.84	JAAAX	Alternative Asset	Pair Corr
0.87	JAACX	Alternative Asset	Pair Corr
0.76	JRTYX	Multi Index 2050	Pair Corr
0.63	JABIX	Jhancock Real Estate	Pair Corr
1.0	JABKX	John Hancock Funds	Pair Corr
0.94	JABMX	John Hancock Funds	Pair Corr
0.84	JABPX	John Hancock Funds	Pair Corr
0.82	JALGX	Multimanager Lifestyle	Pair Corr
1.0	JALMX	Multimanager Lifestyle	Pair Corr
0.62	JSFRX	John Hancock Seaport	Pair Corr
0.9	JBATX	Balanced Fund Class	Pair Corr

Related Correlations Analysis

	PNRCX	XGNTX	PEO	ALTEX	ENPSX	FRNRX	APWEX
PNRCX		0.6	0.8	0.41	0.69	0.94	0.69	PNRCX
XGNTX	0.6		0.16	0.68	-0.1	0.38	0.0	XGNTX
PEO	0.8	0.16		-0.1	0.93	0.94	0.94	PEO
ALTEX	0.41	0.68	-0.1		-0.25	0.17	-0.29	ALTEX
ENPSX	0.69	-0.1	0.93	-0.25		0.87	0.91	ENPSX
FRNRX	0.94	0.38	0.94	0.17	0.87		0.83	FRNRX
APWEX	0.69	0.0	0.94	-0.29	0.91	0.83		APWEX
	PNRCX	XGNTX	PEO	ALTEX	ENPSX	FRNRX	APWEX

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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

FRNRX	+ 0.94	PNRCX
FRNRX	+ 0.94	PEO
APWEX	+ 0.94	PEO
ENPSX	+ 0.93	PEO
APWEX	+ 0.91	ENPSX
FRNRX	+ 0.87	ENPSX

High negative correlations

APWEX	- 0.29	ALTEX
ENPSX	- 0.25	ALTEX
ALTEX	- 0.1	PEO
ENPSX	- 0.1	XGNTX
APWEX	- 0.0	XGNTX

Risk-Adjusted Indicators

There is a big difference between Lifestyle Mutual Fund performing well and 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 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
PNRCX	0.88	(0.07)	(0.07)	0.04	1.41	(0.80)	2.06	(2.27)	5.47
XGNTX	0.54	(0.06)	0.00	(0.06)	0.00	0.00	1.23	(1.26)	3.30
PEO	0.69	0.02	(0.03)	0.16	0.93	(0.72)	1.63	(1.48)	4.69
ALTEX	1.31	(0.17)	0.00	(0.03)	0.00	0.00	2.10	(2.74)	7.75
ENPSX	1.36	0.00	0.00	0.13	1.87	(1.35)	2.58	(3.15)	8.91
FRNRX	0.75	(0.04)	(0.07)	0.07	1.07	(0.74)	1.58	(1.79)	4.33
APWEX	0.88	0.07	0.05	0.20	1.00	(0.96)	1.83	(1.79)	5.85

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