Johcm Global Correlations

JOGEX Fund

USD 10.86 0.02 0.18%

The current 90-days correlation between Johcm Global Equity and Stone Ridge Diversified is 0.08 (i.e., Significant diversification). The correlation of Johcm Global 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.

Johcm Global Correlation With Market

Good diversification

The correlation between Johcm Global Equity and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Johcm Global Equity 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 Johcm Global Equity. 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 income.

Moving together with Johcm Mutual Fund

0.98	JOGIX	Johcm Global Equity	Pair Corr
0.77	NPFCX	New Perspective	Pair Corr
0.77	CNPCX	New Perspective	Pair Corr
0.81	CISGX	Touchstone Sands Capital	Pair Corr

Moving against Johcm Mutual Fund

0.62	JOPSX	Johcm International	Pair Corr
0.43	TSWMX	Tsw Emerging Markets	Pair Corr
0.7	KGIIX	Kopernik International	Pair Corr
0.63	ASXDX	Short Duration Strategic	Pair Corr
0.58	CLDRX	Columbia Limited Duration	Pair Corr
0.55	TCHTX	Cleartrack 2020 Class	Pair Corr
0.37	TREMX	T Rowe Price	Pair Corr
0.37	AVAYX	Ab Virginia Portfolio	Pair Corr
0.35	FITZX	Franklin Federal Int	Pair Corr
0.34	VWVUX	Tomorrows Scholar College	Pair Corr

Related Correlations Analysis

	SRDAX	HIIDX	XWDIX	PHTTX	QDARX	PGBAX	MBLAX	LIGFX
SRDAX		-0.3	-0.51	-0.02	-0.24	-0.33	-0.04	0.03	SRDAX
HIIDX	-0.3		0.58	0.63	0.85	0.92	0.68	0.66	HIIDX
XWDIX	-0.51	0.58		0.58	0.39	0.68	0.6	0.5	XWDIX
PHTTX	-0.02	0.63	0.58		0.32	0.66	0.92	0.98	PHTTX
QDARX	-0.24	0.85	0.39	0.32		0.87	0.51	0.42	QDARX
PGBAX	-0.33	0.92	0.68	0.66	0.87		0.76	0.7	PGBAX
MBLAX	-0.04	0.68	0.6	0.92	0.51	0.76		0.91	MBLAX
LIGFX	0.03	0.66	0.5	0.98	0.42	0.7	0.91		LIGFX
	SRDAX	HIIDX	XWDIX	PHTTX	QDARX	PGBAX	MBLAX	LIGFX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

LIGFX	+ 0.98	PHTTX
PGBAX	+ 0.92	HIIDX
MBLAX	+ 0.92	PHTTX
LIGFX	+ 0.91	MBLAX
PGBAX	+ 0.87	QDARX
QDARX	+ 0.85	HIIDX

High negative correlations

XWDIX	- 0.51	SRDAX
PGBAX	- 0.33	SRDAX
HIIDX	- 0.3	SRDAX
QDARX	- 0.24	SRDAX
MBLAX	- 0.04	SRDAX
PHTTX	- 0.02	SRDAX

Risk-Adjusted Indicators

There is a big difference between Johcm Mutual Fund performing well and Johcm Global 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 Johcm Global'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
SRDAX	0.16	0.00	0.27	(2.13)	0.16	(0.20)	0.29	(0.37)	0.76
HIIDX	0.63	0.08	0.12	0.08	0.82	(0.65)	1.27	(0.97)	5.23
XWDIX	0.20	(0.02)	0.00	(0.34)	0.00	0.00	0.33	(0.46)	1.59
PHTTX	0.35	0.00	0.00	(0.07)	0.00	0.00	0.67	(0.67)	1.95
QDARX	0.08	0.04	0.89	1.36	0.00	(0.13)	0.25	(0.08)	0.49
PGBAX	0.14	0.01	0.40	0.13	0.07	(0.18)	0.34	(0.25)	0.85
MBLAX	0.27	0.00	0.00	(0.05)	0.00	0.00	0.62	(0.54)	1.51
LIGFX	0.32	0.01	0.00	(0.03)	0.00	0.00	0.55	(0.67)	1.75

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC