Jacob Micro Correlations

JMIGX Fund

USD 25.00 0.08 0.32%

The current 90-days correlation between Jacob Micro Cap and Lord Abbett Diversified is 0.63 (i.e., Poor diversification). The correlation of Jacob Micro 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.

Jacob Micro Correlation With Market

Weak diversification

The correlation between Jacob Micro Cap and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jacob Micro 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 Jacob Micro 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 price.

Moving together with JACOB Mutual Fund

0.69	JSIGX	Jacob Small Cap	Pair Corr
0.67	JMCGX	Jacob Micro Cap	Pair Corr
0.64	CII	Blackrock Enhanced	Pair Corr
0.66	ETV	Eaton Vance Tax	Pair Corr
0.63	ETY	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	LIGFX	MBLAX	LIXRX	PLKTX	BDVFX	SRDAX	PRDAX
LIGFX		0.88	1.0	0.8	0.59	-0.19	0.88	LIGFX
MBLAX	0.88		0.89	0.75	0.72	-0.48	0.94	MBLAX
LIXRX	1.0	0.89		0.8	0.61	-0.22	0.89	LIXRX
PLKTX	0.8	0.75	0.8		0.69	-0.34	0.72	PLKTX
BDVFX	0.59	0.72	0.61	0.69		-0.64	0.6	BDVFX
SRDAX	-0.19	-0.48	-0.22	-0.34	-0.64		-0.42	SRDAX
PRDAX	0.88	0.94	0.89	0.72	0.6	-0.42		PRDAX
	LIGFX	MBLAX	LIXRX	PLKTX	BDVFX	SRDAX	PRDAX

Click cells to compare fundamentals

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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

LIXRX	+ 1.0	LIGFX
PRDAX	+ 0.94	MBLAX
LIXRX	+ 0.89	MBLAX
PRDAX	+ 0.89	LIXRX
MBLAX	+ 0.88	LIGFX
PRDAX	+ 0.88	LIGFX

High negative correlations

SRDAX	- 0.64	BDVFX
SRDAX	- 0.48	MBLAX
PRDAX	- 0.42	SRDAX
SRDAX	- 0.34	PLKTX
SRDAX	- 0.22	LIXRX
SRDAX	- 0.19	LIGFX

Risk-Adjusted Indicators

There is a big difference between JACOB Mutual Fund performing well and Jacob Micro 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 Jacob Micro'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
LIGFX	0.29	0.01	0.00	(0.04)	0.00	0.00	0.55	(0.50)	1.79
MBLAX	0.24	0.00	0.00	(0.10)	0.00	0.00	0.47	(0.47)	1.64
LIXRX	0.29	0.01	0.00	(0.04)	0.00	0.00	0.55	(0.49)	1.85
PLKTX	0.57	(0.05)	0.00	0.22	0.00	0.00	1.06	(1.34)	3.50
BDVFX	0.29	0.01	0.24	(0.76)	0.33	(0.34)	0.74	(0.54)	1.91
SRDAX	0.14	0.00	0.37	(0.18)	0.11	(0.19)	0.29	(0.37)	0.95
PRDAX	0.41	(0.02)	0.00	(0.15)	0.00	0.00	0.87	(0.77)	2.56

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