International Small Correlations

JSCIX Fund

USD 10.73 0.06 0.56%

The current 90-days correlation between International Small Pany and Mesirow Financial Small is -0.14 (i.e., Good diversification). The correlation of International Small 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.

International Small Correlation With Market

Good diversification

The correlation between International Small Pany and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Small Pany 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 International Small Pany. 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 International Mutual Fund

0.74	JQLCX	Multimanager Lifestyle	Pair Corr
0.78	JRLDX	Retirement Living Through	Pair Corr
0.78	JRLFX	Multi Index 2010	Pair Corr
0.83	JRLIX	Retirement Living Through	Pair Corr
0.73	JRLKX	Multi Index 2015	Pair Corr
0.74	JRLLX	Retirement Living Through	Pair Corr
0.67	JRLOX	Retirement Living Through	Pair Corr
0.67	JRLPX	Multi Index 2020	Pair Corr
0.72	JRTBX	Retirement Living Through	Pair Corr
0.68	JRTAX	Retirement Living Through	Pair Corr
0.62	JRTDX	Multi Index 2025	Pair Corr
0.62	JRTFX	Retirement Living Through	Pair Corr

Related Correlations Analysis

	MSVIX	IAAEX	SBFAX	DVFYX	MCBXX	BTO	FIDAX	FAFSX
MSVIX		0.31	0.59	0.33	0.0	0.87	0.82	0.82	MSVIX
IAAEX	0.31		0.19	0.23	0.0	0.17	0.53	0.35	IAAEX
SBFAX	0.59	0.19		0.88	0.0	0.84	0.79	0.92	SBFAX
DVFYX	0.33	0.23	0.88		0.0	0.62	0.61	0.73	DVFYX
MCBXX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	MCBXX
BTO	0.87	0.17	0.84	0.62	0.0		0.83	0.93	BTO
FIDAX	0.82	0.53	0.79	0.61	0.0	0.83		0.95	FIDAX
FAFSX	0.82	0.35	0.92	0.73	0.0	0.93	0.95		FAFSX
	MSVIX	IAAEX	SBFAX	DVFYX	MCBXX	BTO	FIDAX	FAFSX

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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

FAFSX	+ 0.95	FIDAX
FAFSX	+ 0.93	BTO
FAFSX	+ 0.92	SBFAX
DVFYX	+ 0.88	SBFAX
BTO	+ 0.87	MSVIX
BTO	+ 0.84	SBFAX

High negative correlations

FAFSX	- 0.0	MCBXX
FIDAX	- 0.0	MCBXX
BTO	- 0.0	MCBXX
MCBXX	- 0.0	DVFYX
MCBXX	- 0.0	SBFAX
MCBXX	- 0.0	IAAEX

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Small 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 International Small'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
MSVIX	0.98	(0.21)	0.00	(0.19)	0.00	0.00	1.60	(2.19)	10.85
IAAEX	0.81	(0.12)	0.00	1.00	0.00	0.00	1.41	(1.48)	9.17
SBFAX	0.77	0.00	0.00	0.00	1.15	(0.80)	1.69	(1.92)	5.22
DVFYX	0.85	0.03	0.02	(0.33)	1.27	(0.82)	1.65	(2.39)	6.47
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BTO	1.08	(0.04)	0.00	(0.04)	0.00	0.00	2.30	(2.35)	6.87
FIDAX	0.99	(0.13)	0.00	(0.12)	0.00	0.00	2.02	(3.26)	7.13
FAFSX	0.90	(0.06)	0.00	(0.05)	0.00	0.00	1.71	(2.71)	6.26

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