Japan Smaller Correlations

JOF Fund

USD 8.46 0.05 0.59%

The current 90-days correlation between Japan Smaller Capita and Mexico Closed is 0.24 (i.e., Modest diversification). The correlation of Japan Smaller 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.

Japan Smaller Correlation With Market

Modest diversification

The correlation between Japan Smaller Capitalization and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Japan Smaller Capitalization 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 Japan Smaller Capitalization. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with Japan Fund

0.82	TREMX	T Rowe Price	Pair Corr
0.7	DLDFX	Destinations Low Duration	Pair Corr
0.83	UTF	Cohen And Steers	Pair Corr
0.83	VICSX	Vanguard Intermediate-ter	Pair Corr
0.83	USGDX	Morgan Stanley Government	Pair Corr
0.68	DBIWX	Dws Global Macro	Pair Corr
0.95	BISMX	Brandes International	Pair Corr
0.84	SGDLX	Sprott Gold Equity	Pair Corr
0.93	ARBOX	Absolute Convertible	Pair Corr
0.88	ABNOX	Ab Bond Inflation	Pair Corr
0.63	GIOIX	Guggenheim Macro Opp	Pair Corr
0.8	HTD	John Hancock Tax	Pair Corr
0.83	HRBDX	Harbor Bond Fund	Pair Corr

Moving against Japan Fund

0.74	SMPIX	Semiconductor Ultrasector	Pair Corr
0.73	SMPSX	Semiconductor Ultrasector	Pair Corr
0.37	CISGX	Touchstone Sands Capital	Pair Corr

Related Correlations Analysis

	MXF	NXG	CEE	TWN	KF	SWZ	MXE	EHI	GF	MCR
MXF		0.39	0.93	-0.55	0.87	0.83	0.84	0.7	0.81	0.54	MXF
NXG	0.39		0.49	-0.25	0.56	0.64	-0.03	0.72	0.29	0.61	NXG
CEE	0.93	0.49		-0.6	0.92	0.9	0.71	0.73	0.82	0.6	CEE
TWN	-0.55	-0.25	-0.6		-0.51	-0.66	-0.35	-0.46	-0.88	-0.08	TWN
KF	0.87	0.56	0.92	-0.51		0.87	0.63	0.72	0.77	0.55	KF
SWZ	0.83	0.64	0.9	-0.66	0.87		0.54	0.9	0.79	0.66	SWZ
MXE	0.84	-0.03	0.71	-0.35	0.63	0.54		0.39	0.61	0.34	MXE
EHI	0.7	0.72	0.73	-0.46	0.72	0.9	0.39		0.58	0.78	EHI
GF	0.81	0.29	0.82	-0.88	0.77	0.79	0.61	0.58		0.23	GF
MCR	0.54	0.61	0.6	-0.08	0.55	0.66	0.34	0.78	0.23		MCR
	MXF	NXG	CEE	TWN	KF	SWZ	MXE	EHI	GF	MCR

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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

CEE	+ 0.93	MXF
KF	+ 0.92	CEE
SWZ	+ 0.9	CEE
EHI	+ 0.9	SWZ
KF	+ 0.87	MXF
SWZ	+ 0.87	KF

High negative correlations

GF	- 0.88	TWN
SWZ	- 0.66	TWN
TWN	- 0.6	CEE
TWN	- 0.55	MXF
KF	- 0.51	TWN
EHI	- 0.46	TWN

Risk-Adjusted Indicators

There is a big difference between Japan Fund performing well and Japan Smaller 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 Japan Smaller'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
MXF	1.01	0.13	0.09	0.33	1.25	(1.02)	2.49	(2.03)	5.85
NXG	1.40	0.31	0.12	1.16	2.12	(1.46)	3.26	(2.21)	13.35
CEE	2.05	0.47	0.17	0.91	2.23	(2.31)	5.96	(3.67)	20.37
TWN	1.08	(0.15)	0.00	(0.24)	0.00	0.00	1.93	(2.69)	7.31
KF	0.91	0.16	0.15	0.28	0.90	(1.02)	2.36	(1.78)	5.73
SWZ	0.80	0.29	0.38	0.55	0.29	(1.03)	2.03	(1.12)	7.18
MXE	1.01	0.09	0.07	0.18	1.10	(1.20)	2.24	(1.93)	4.69
EHI	0.44	0.07	0.15	0.25	0.32	(0.56)	0.92	(0.62)	3.70
GF	0.99	0.36	0.28	0.59	0.83	(1.15)	2.80	(1.64)	7.35
MCR	0.37	0.03	0.04	0.19	0.44	(0.48)	0.66	(0.80)	3.88

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