Classic Value Correlations

JCVIX Fund

USD 38.48 0.10 0.26%

The current 90-days correlation between Classic Value and Vanguard Value Index is 0.86 (i.e., Very poor diversification). The correlation of Classic Value 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.

Classic Value Correlation With Market

Very poor diversification

The correlation between Classic Value Fund and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Classic Value Fund 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 Classic Value Fund. 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 Classic Mutual Fund

0.96	FRBAX	Regional Bank	Pair Corr
0.96	FRBCX	Regional Bank	Pair Corr
0.68	JQLBX	Multimanager Lifestyle	Pair Corr
0.8	JQLAX	Multimanager Lifestyle	Pair Corr
0.77	JQLGX	Multimanager Lifestyle	Pair Corr
0.96	JRBFX	Regional Bank	Pair Corr
0.81	JRETX	J Hancock Ii	Pair Corr
0.96	JRGRX	Regional Bank	Pair Corr
0.75	JRLQX	Retirement Living Through	Pair Corr
0.75	JRLUX	Multi Index 2045	Pair Corr
0.77	JRLWX	Retirement Living Through	Pair Corr
0.76	JRLVX	Retirement Living Through	Pair Corr
0.77	JRLZX	Retirement Living Through	Pair Corr
0.81	JROUX	J Hancock Ii	Pair Corr
0.77	JRODX	J Hancock Ii	Pair Corr
0.77	JAAJX	Jhancock Multi Index	Pair Corr
0.65	JAAIX	Alternative Asset	Pair Corr
0.77	JAAKX	Jhancock Multi Index	Pair Corr
0.63	JAAPX	Alternative Asset	Pair Corr
0.66	JAARX	Alternative Asset	Pair Corr
0.63	JAASX	Alternative Asset	Pair Corr
0.81	JAAVX	Jhancock Multimanager	Pair Corr
0.67	JRTKX	Retirement Living Through	Pair Corr
0.8	JAAWX	Jhancock Multimanager	Pair Corr
0.67	JRTMX	Multi Index 2035	Pair Corr

Related Correlations Analysis

	VVIAX	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX
VVIAX		0.95	0.96	0.96	0.96	0.96	0.95	0.95	1.0	VVIAX
DOXGX	0.95		0.88	0.88	0.87	0.87	0.86	1.0	0.95	DOXGX
FFMMX	0.96	0.88		1.0	1.0	1.0	1.0	0.88	0.96	FFMMX
FFFMX	0.96	0.88	1.0		1.0	1.0	1.0	0.88	0.96	FFFMX
AMRMX	0.96	0.87	1.0	1.0		1.0	1.0	0.87	0.96	AMRMX
AMFFX	0.96	0.87	1.0	1.0	1.0		1.0	0.87	0.96	AMFFX
AMFCX	0.95	0.86	1.0	1.0	1.0	1.0		0.86	0.95	AMFCX
DODGX	0.95	1.0	0.88	0.88	0.87	0.87	0.86		0.95	DODGX
VIVAX	1.0	0.95	0.96	0.96	0.96	0.96	0.95	0.95		VIVAX
	VVIAX	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX

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Risk-Adjusted Indicators

There is a big difference between Classic Mutual Fund performing well and Classic Value 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 Classic Value'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
VVIAX	0.51	(0.01)	(0.06)	0.12	0.38	(0.61)	1.05	(0.83)	3.45
DOXGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.93)	4.22
FFMMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.66
FFFMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.68
AMRMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.91	(0.86)	2.66
AMFFX	0.46	(0.02)	(0.12)	0.10	0.43	(0.52)	0.90	(0.86)	2.68
AMFCX	0.46	(0.02)	(0.13)	0.09	0.43	(0.51)	0.90	(0.88)	2.68
DODGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.94)	4.22
VIVAX	0.51	(0.01)	(0.06)	0.12	0.38	(0.61)	1.05	(0.83)	3.45

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Classic Value Correlations

Classic Value Correlation With Market

Very poor diversification

Moving together with Classic Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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