Johcm International Correlations

JOHIX Fund

USD 24.13 0.20 0.84%

The current 90-days correlation between Johcm International and Mesirow Financial Small is 0.55 (i.e., Very weak diversification). The correlation of Johcm International 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 International Correlation With Market

Modest diversification

The correlation between Johcm International Select and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Johcm International Select 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 International Select. 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 gross domestic product.

Moving together with Johcm Mutual Fund

0.85	TSWHX	Tswhgyldbdinstl	Pair Corr
0.89	TSWMX	Tsw Emerging Markets	Pair Corr
0.89	JOEAX	Johcm Emerging Markets	Pair Corr
0.89	JOEIX	Johcm Emerging Markets	Pair Corr
0.89	JOEMX	Johcm Emerging Markets	Pair Corr
1.0	JOHAX	Johcm International	Pair Corr
0.76	JOPSX	Johcm International	Pair Corr
0.76	RERFX	Europacific Growth	Pair Corr
0.75	AEPFX	Europacific Growth	Pair Corr
0.75	CEUAX	Europacific Growth	Pair Corr
0.72	CEUCX	Europacific Growth	Pair Corr
0.74	RERCX	Europacific Growth	Pair Corr
0.74	REREX	Europacific Growth	Pair Corr
0.76	RERGX	Europacific Growth	Pair Corr
0.75	CEUFX	Europacific Growth	Pair Corr
0.74	CEUEX	Europacific Growth	Pair Corr
0.72	RERAX	Europacific Growth	Pair Corr
0.76	PDI	Pimco Dynamic Income	Pair Corr
0.62	FTCAX	Templeton Strained Bond	Pair Corr
0.62	LDLRX	Lord Abbett Short	Pair Corr
0.73	MMBEX	Massmutual Select	Pair Corr
0.82	PRHIX	T Rowe Price	Pair Corr
0.77	PYGIX	Payden Global Fixed	Pair Corr
0.76	PFN	Pimco Income Strategy	Pair Corr
0.85	OHYAX	Jpmorgan High Yield	Pair Corr

Moving against Johcm Mutual Fund

0.51	REGIX	Regnan Uk Umbrella	Pair Corr
0.71	USPSX	Profunds Ultrashort Steady Growth	Pair Corr
0.66	USPIX	Profunds Ultrashort Steady Growth	Pair Corr

Related Correlations Analysis

	MSVIX	SBFAX	FIDSX	ICFAX	MCBXX	IAAEX
MSVIX		0.81	0.8	0.64	0.0	0.92	MSVIX
SBFAX	0.81		0.79	0.77	0.0	0.8	SBFAX
FIDSX	0.8	0.79		0.55	0.0	0.79	FIDSX
ICFAX	0.64	0.77	0.55		0.0	0.65	ICFAX
MCBXX	0.0	0.0	0.0	0.0		0.0	MCBXX
IAAEX	0.92	0.8	0.79	0.65	0.0		IAAEX
	MSVIX	SBFAX	FIDSX	ICFAX	MCBXX	IAAEX

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

IAAEX	+ 0.92	MSVIX
SBFAX	+ 0.81	MSVIX
FIDSX	+ 0.8	MSVIX
IAAEX	+ 0.8	SBFAX
FIDSX	+ 0.79	SBFAX
IAAEX	+ 0.79	FIDSX

High negative correlations

IAAEX	- 0.0	MCBXX
MCBXX	- 0.0	ICFAX
MCBXX	- 0.0	FIDSX
MCBXX	- 0.0	SBFAX
MCBXX	- 0.0	MSVIX

Risk-Adjusted Indicators

There is a big difference between Johcm Mutual Fund performing well and Johcm International 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 International'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
MSVIX	0.84	(0.16)	(0.21)	1.40	(1.53)	12.59
SBFAX	0.79	(0.15)	(0.20)	1.29	(1.47)	10.43
FIDSX	0.75	(0.06)	(0.72)	1.26	(1.67)	4.93
ICFAX	0.89	(0.18)	(0.25)	1.41	(2.10)	15.93
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00
IAAEX	0.68	(0.12)	(0.39)	1.20	(1.08)	9.17

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