Janus Henderson Correlations

JMBS Etf

USD 45.16 0.32 0.71%

The current 90-days correlation between Janus Henderson Mort and SPDR Portfolio Mortgage is 0.95 (i.e., Almost no diversification). The correlation of Janus Henderson 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.

Janus Henderson Correlation With Market

Significant diversification

The correlation between Janus Henderson Mortgage Backe 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 Janus Henderson Mortgage Backe 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 Janus Henderson Mortgage Backed. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Janus Etf

0.96	GOVT	iShares Treasury Bond	Pair Corr
1.0	MBB	iShares MBS ETF	Pair Corr
0.74	IEI	iShares 3 7	Pair Corr
0.99	SPTI	SPDR Portfolio Inter	Pair Corr
1.0	SPMB	SPDR Portfolio Mortgage	Pair Corr
1.0	FLGV	Franklin Liberty Treasury	Pair Corr
0.76	MBSD	FlexShares Disciplined	Pair Corr
0.79	OWNS	Quaker Investment Trust	Pair Corr
0.93	FXY	Invesco CurrencyShares	Pair Corr
0.99	PMBS	PIMCO Mortgage Backed	Pair Corr
0.72	GDXU	MicroSectors Gold Miners	Pair Corr
0.71	TRV	The Travelers Companies Sell-off Trend	Pair Corr
0.77	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.73	PG	Procter Gamble Sell-off Trend	Pair Corr
0.73	T	ATT Inc Sell-off Trend	Pair Corr

Moving against Janus Etf

0.88	WGMI	Valkyrie Bitcoin Miners	Pair Corr
0.61	BAC	Bank of America	Pair Corr
0.6	AXP	American Express	Pair Corr
0.51	AMPD	Tidal Trust II	Pair Corr
0.6	CAT	Caterpillar	Pair Corr
0.56	MSFT	Microsoft	Pair Corr
0.55	AA	Alcoa Corp	Pair Corr
0.53	HD	Home Depot	Pair Corr
0.52	HPQ	HP Inc	Pair Corr
0.37	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.05	0.56	-0.54	0.22	0.38	0.35	0.86	-0.69	-0.12	META
MSFT	0.05		-0.59	-0.07	-0.81	0.79	0.88	0.29	0.44	-0.57	MSFT
UBER	0.56	-0.59		-0.3	0.76	-0.33	-0.48	0.43	-0.83	0.5	UBER
F	-0.54	-0.07	-0.3		0.12	-0.19	-0.26	-0.37	0.34	0.48	F
T	0.22	-0.81	0.76	0.12		-0.7	-0.73	0.0	-0.64	0.64	T
A	0.38	0.79	-0.33	-0.19	-0.7		0.84	0.63	0.2	-0.47	A
CRM	0.35	0.88	-0.48	-0.26	-0.73	0.84		0.49	0.22	-0.65	CRM
JPM	0.86	0.29	0.43	-0.37	0.0	0.63	0.49		-0.55	-0.02	JPM
MRK	-0.69	0.44	-0.83	0.34	-0.64	0.2	0.22	-0.55		-0.39	MRK
XOM	-0.12	-0.57	0.5	0.48	0.64	-0.47	-0.65	-0.02	-0.39		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

CRM	+ 0.88	MSFT
JPM	+ 0.86	META
CRM	+ 0.84	A
A	+ 0.79	MSFT
T	+ 0.76	UBER
XOM	+ 0.64	T

High negative correlations

MRK	- 0.83	UBER
T	- 0.81	MSFT
CRM	- 0.73	T
A	- 0.7	T
MRK	- 0.69	META
XOM	- 0.65	CRM

Janus Henderson Constituents Risk-Adjusted Indicators

There is a big difference between Janus Etf performing well and Janus Henderson ETF 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 Janus Henderson'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
META	1.63	0.02	0.04	(0.14)	2.26	(1.45)	2.96	(3.73)	8.90
MSFT	1.07	(0.16)	0.00	(6.44)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.94	0.34	0.15	0.38	2.15	(2.13)	4.72	(3.13)	12.75
F	1.45	0.08	0.06	(1.07)	2.22	(1.39)	2.71	(2.89)	10.14
T	0.99	0.36	0.24	(12.29)	1.40	(1.16)	1.99	(1.21)	11.66
A	1.14	(0.15)	0.00	(0.21)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.39	(0.28)	0.00	(2.21)	0.00	0.00	2.72	(3.53)	8.88
JPM	1.10	0.11	0.06	0.03	1.67	(1.06)	2.16	(2.12)	6.85
MRK	1.21	(0.13)	0.00	0.61	0.00	0.00	2.07	(2.25)	11.58
XOM	1.01	0.19	0.16	1.64	1.23	(1.06)	2.55	(2.36)	5.89

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