Core Bond Correlations

JICDX Fund

USD 10.76 0.12 1.10%

The current 90-days correlation between Core Bond Fund and Regional Bank Fund is 0.02 (i.e., Significant diversification). The correlation of Core Bond 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.

Core Bond Correlation With Market

Good diversification

The correlation between Core Bond Fund and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Core Bond 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 Core Bond 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 unemployment.

Moving together with Core Mutual Fund

0.63	JQLMX	Multimanager Lifestyle	Pair Corr
0.8	JQLCX	Multimanager Lifestyle	Pair Corr
0.78	JRLDX	Retirement Living Through	Pair Corr
0.79	JRLFX	Multi Index 2010	Pair Corr
0.72	JRLIX	Retirement Living Through	Pair Corr
0.79	JRLHX	Retirement Living Through	Pair Corr
0.74	JRLKX	Multi Index 2015	Pair Corr
0.73	JRLLX	Retirement Living Through	Pair Corr
0.66	JRLOX	Retirement Living Through	Pair Corr
0.68	JRLPX	Multi Index 2020	Pair Corr
0.67	JRTAX	Retirement Living Through	Pair Corr
0.61	JRTDX	Multi Index 2025	Pair Corr

Moving against Core Mutual Fund

0.45	FRBAX	Regional Bank	Pair Corr
0.45	JRBFX	Regional Bank	Pair Corr
0.45	JRGRX	Regional Bank	Pair Corr
0.44	FRBCX	Regional Bank	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.31	0.58	0.77	0.09	0.71	1.0	0.81	1.0	FRBAX
FRBCX	1.0		0.32	0.58	0.77	0.09	0.71	1.0	0.81	1.0	FRBCX
JQLMX	0.31	0.32		0.94	0.78	0.96	0.84	0.31	0.7	0.31	JQLMX
JQLBX	0.58	0.58	0.94		0.94	0.82	0.97	0.58	0.89	0.58	JQLBX
JQLAX	0.77	0.77	0.78	0.94		0.59	0.99	0.77	0.98	0.77	JQLAX
JQLCX	0.09	0.09	0.96	0.82	0.59		0.68	0.09	0.49	0.09	JQLCX
JQLGX	0.71	0.71	0.84	0.97	0.99	0.68		0.71	0.97	0.71	JQLGX
JRBFX	1.0	1.0	0.31	0.58	0.77	0.09	0.71		0.81	1.0	JRBFX
JRETX	0.81	0.81	0.7	0.89	0.98	0.49	0.97	0.81		0.81	JRETX
JRGRX	1.0	1.0	0.31	0.58	0.77	0.09	0.71	1.0	0.81		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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Risk-Adjusted Indicators

There is a big difference between Core Mutual Fund performing well and Core Bond 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 Core Bond'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
FRBAX	1.28	(0.08)	0.00	(0.02)	0.00	0.00	2.76	(3.03)	17.30
FRBCX	1.28	(0.08)	0.00	(0.02)	0.00	0.00	2.74	(3.07)	17.28
JQLMX	0.24	(0.05)	0.00	(0.15)	0.00	0.00	0.40	(0.56)	1.99
JQLBX	0.32	(0.05)	0.00	(0.09)	0.00	0.00	0.65	(0.65)	2.69
JQLAX	0.49	(0.03)	0.00	(0.02)	0.00	0.00	0.94	(0.92)	4.37
JQLCX	0.16	(0.04)	0.00	(0.23)	0.00	0.00	0.33	(0.34)	1.42
JQLGX	0.42	(0.03)	0.00	(0.04)	0.00	0.00	0.75	(0.76)	3.64
JRBFX	1.28	(0.08)	0.00	(0.02)	0.00	0.00	2.73	(3.07)	17.32
JRETX	0.48	(0.01)	(0.03)	0.00	0.68	(0.53)	1.00	(0.91)	4.39
JRGRX	1.28	(0.08)	0.00	(0.02)	0.00	0.00	2.76	(3.07)	17.25

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