Enterprise Portfolio Correlations

JAAGX Fund

USD 83.15 0.14 0.17%

The current 90-days correlation between Enterprise Portfolio and Aqr Large Cap is 0.96 (i.e., Almost no diversification). The correlation of Enterprise Portfolio 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.

Enterprise Portfolio Correlation With Market

Almost no diversification

The correlation between Enterprise Portfolio Instituti and DJI is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Enterprise Portfolio Instituti 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 Enterprise Portfolio Institutional. 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 price.

Moving together with Enterprise Mutual Fund

0.94	JRAAX	Janus Research	Pair Corr
0.95	JRACX	Janus Research	Pair Corr
0.94	JRAIX	Janus Research	Pair Corr
0.94	JRANX	Janus Research	Pair Corr
0.94	JRARX	Janus Henderson Research	Pair Corr
0.94	JRASX	Janus Research	Pair Corr
0.97	JABAX	Janus Balanced	Pair Corr
0.97	JABCX	Janus Balanced	Pair Corr
0.99	JRSAX	Intech Managed Volatility	Pair Corr
0.99	JRSDX	Intech Managed Volatility	Pair Corr
0.99	JRSCX	Intech Managed Volatility	Pair Corr
0.99	JRSIX	Intech Managed Volatility Potential Growth	Pair Corr
0.99	JRSNX	Intech Managed Volatility	Pair Corr
0.99	JRSSX	Intech Managed Volatility	Pair Corr
0.99	JRSTX	Intech Managed Volatility	Pair Corr
0.97	JACNX	Janus Contrarian	Pair Corr
0.98	JACTX	Janus Forty Fund	Pair Corr
0.97	JADGX	Janus Growth And	Pair Corr
0.97	JABLX	Balanced Portfolio	Pair Corr
0.97	JABNX	Janus Balanced	Pair Corr
0.97	JABRX	Janus Balanced	Pair Corr
0.98	JACCX	Janus Forty Fund	Pair Corr
1.0	JAENX	Janus Enterprise	Pair Corr
0.94	JAGRX	Research Portfolio	Pair Corr
0.9	JAGTX	Janus Global Technology	Pair Corr
0.9	JAGCX	Janus Global Technology	Pair Corr
0.97	JAGIX	Janus Growth And	Pair Corr
0.92	JAHYX	Janus High Yield	Pair Corr
0.84	JAIGX	Overseas Portfolio	Pair Corr
0.97	JANBX	Janus Balanced	Pair Corr
1.0	JANEX	Janus Enterprise	Pair Corr
0.99	JANIX	Janus Triton	Pair Corr
0.96	JANRX	Janus Global Select	Pair Corr
0.98	JANVX	Janus Venture	Pair Corr

Related Correlations Analysis

	AMONX	PBLIX	WILCX	LCIAX	FMTIX	GBAYX	LSAAX	QGRIX
AMONX		0.97	0.67	0.98	0.96	0.95	0.25	0.93	AMONX
PBLIX	0.97		0.78	0.97	0.99	0.99	0.22	0.96	PBLIX
WILCX	0.67	0.78		0.63	0.75	0.78	-0.06	0.85	WILCX
LCIAX	0.98	0.97	0.63		0.98	0.97	0.29	0.9	LCIAX
FMTIX	0.96	0.99	0.75	0.98		1.0	0.21	0.96	FMTIX
GBAYX	0.95	0.99	0.78	0.97	1.0		0.2	0.96	GBAYX
LSAAX	0.25	0.22	-0.06	0.29	0.21	0.2		0.08	LSAAX
QGRIX	0.93	0.96	0.85	0.9	0.96	0.96	0.08		QGRIX
	AMONX	PBLIX	WILCX	LCIAX	FMTIX	GBAYX	LSAAX	QGRIX

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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

GBAYX	+ 1.0	FMTIX
FMTIX	+ 0.99	PBLIX
GBAYX	+ 0.99	PBLIX
LCIAX	+ 0.98	AMONX
FMTIX	+ 0.98	LCIAX
PBLIX	+ 0.97	AMONX

High negative correlations

LSAAX

- 0.06

WILCX

Risk-Adjusted Indicators

There is a big difference between Enterprise Mutual Fund performing well and Enterprise Portfolio 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 Enterprise Portfolio'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
AMONX	1.56	0.07	0.00	(0.03)	0.00	0.00	2.70	(3.70)	14.39
PBLIX	1.00	0.07	0.00	(0.01)	0.00	0.00	1.88	(2.27)	10.25
WILCX	0.70	0.09	0.11	0.10	1.15	(0.72)	1.48	(1.31)	6.52
LCIAX	1.29	0.03	0.00	(0.06)	0.00	0.00	2.20	(2.75)	13.06
FMTIX	0.71	0.03	0.00	(0.04)	0.00	0.00	1.27	(1.32)	7.21
GBAYX	0.53	0.02	0.00	(0.03)	0.00	0.00	1.02	(1.11)	4.88
LSAAX	0.34	0.16	0.00	1.95	0.00	0.00	1.01	(0.54)	2.39
QGRIX	0.59	0.05	0.09	0.01	0.91	(0.55)	1.18	(1.11)	5.71

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