Jacob Micro Correlations

JMCGX Fund

USD 29.65 0.54 1.86%

The current 90-days correlation between Jacob Micro Cap and Catalystexceed Defined Shield is 0.65 (i.e., Poor diversification). The correlation of Jacob Micro 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.

Jacob Micro Correlation With Market

Poor diversification

The correlation between Jacob Micro Cap and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jacob Micro Cap 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 Jacob Micro Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Jacob Mutual Fund

0.79	JMIGX	Jacob Micro Cap	Pair Corr
0.77	VSMAX	Vanguard Small Cap	Pair Corr
0.77	VSCIX	Vanguard Small Cap	Pair Corr
0.77	VSCPX	Vanguard Small Cap	Pair Corr
0.77	NAESX	Vanguard Small Cap	Pair Corr
0.91	FSSNX	Fidelity Small Cap	Pair Corr
0.66	PASVX	T Rowe Price	Pair Corr
0.8	PRVIX	T Rowe Price	Pair Corr
0.73	TRZVX	T Rowe Price	Pair Corr
0.71	PRSVX	T Rowe Price	Pair Corr
0.8	XDSMX	Dreyfus Strategic	Pair Corr
0.79	XNXJX	Nuveen New Jersey	Pair Corr
0.83	NXJ	Nuveen New Jersey	Pair Corr
0.8	XNBHX	Neuberger Berman Int	Pair Corr
0.74	LEWKX	Blackrock Lifepath Esg	Pair Corr
0.63	SQIYX	Sit Mutual Funds	Pair Corr
0.72	RRFAX	Federated Real Return	Pair Corr
0.77	IMNTX	Columbia Minnesota Tax	Pair Corr
0.67	MDLRX	Blackrock Lg Cap	Pair Corr
0.73	LMPPX	Clearbridge Appreciation	Pair Corr
0.68	MCYAX	Mainstay Candriam	Pair Corr
0.78	IPSRX	Voya Global Perspectives	Pair Corr
0.86	AEMZX	Acadian Emerging Markets	Pair Corr
0.76	STIRX	Pioneer Strategic Income	Pair Corr
0.79	KCCSX	Knights Of Umbus	Pair Corr
0.77	LMOFX	Miller Opportunity Trust	Pair Corr
0.67	EAGMX	Eaton Vance Global	Pair Corr
0.73	AISTX	Limited Duration	Pair Corr
0.76	ETG	Eaton Vance Tax	Pair Corr
0.73	PTBAX	Principal Lifetime 2020	Pair Corr

Related Correlations Analysis

	SHIIX	SHIEX	MJSC	SKTAX	GIGRX	RYEIX	GNXIX	RYHIX	RYDHX	CRSH
SHIIX		1.0	0.0	0.94	0.89	0.69	0.73	0.82	0.95	-0.85	SHIIX
SHIEX	1.0		0.0	0.94	0.89	0.69	0.73	0.82	0.94	-0.86	SHIEX
MJSC	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	MJSC
SKTAX	0.94	0.94	0.0		0.81	0.72	0.67	0.68	0.89	-0.83	SKTAX
GIGRX	0.89	0.89	0.0	0.81		0.48	0.8	0.89	0.83	-0.75	GIGRX
RYEIX	0.69	0.69	0.0	0.72	0.48		0.4	0.47	0.69	-0.65	RYEIX
GNXIX	0.73	0.73	0.0	0.67	0.8	0.4		0.59	0.6	-0.84	GNXIX
RYHIX	0.82	0.82	0.0	0.68	0.89	0.47	0.59		0.85	-0.56	RYHIX
RYDHX	0.95	0.94	0.0	0.89	0.83	0.69	0.6	0.85		-0.73	RYDHX
CRSH	-0.85	-0.86	0.0	-0.83	-0.75	-0.65	-0.84	-0.56	-0.73		CRSH
	SHIIX	SHIEX	MJSC	SKTAX	GIGRX	RYEIX	GNXIX	RYHIX	RYDHX	CRSH

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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

SHIEX	+ 1.0	SHIIX
RYDHX	+ 0.95	SHIIX
SKTAX	+ 0.94	SHIIX
SKTAX	+ 0.94	SHIEX
RYDHX	+ 0.94	SHIEX
GIGRX	+ 0.89	SHIIX

High negative correlations

CRSH	- 0.86	SHIEX
CRSH	- 0.85	SHIIX
CRSH	- 0.84	GNXIX
CRSH	- 0.83	SKTAX
CRSH	- 0.75	GIGRX
CRSH	- 0.73	RYDHX

Risk-Adjusted Indicators

There is a big difference between Jacob Mutual Fund performing well and Jacob Micro 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 Jacob Micro'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
SHIIX	0.17	0.00	(0.15)	0.08	0.10	(0.23)	0.37	(0.27)	1.56
SHIEX	0.17	0.00	(0.16)	0.07	0.10	(0.23)	0.46	(0.28)	1.58
MJSC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SKTAX	0.41	(0.01)	(0.05)	0.05	0.53	(0.40)	0.90	(0.67)	3.60
GIGRX	0.64	0.03	0.01	0.10	0.77	(0.64)	1.18	(1.09)	3.58
RYEIX	0.85	0.10	0.07	0.22	1.03	(0.83)	1.76	(1.64)	6.56
GNXIX	1.84	(0.09)	(0.01)	0.02	2.47	(1.84)	3.59	(4.50)	9.93
RYHIX	0.59	0.10	0.10	0.19	0.59	(0.64)	1.91	(1.38)	4.04
RYDHX	0.49	0.00	0.00	0.07	0.56	(0.51)	1.18	(0.77)	3.81
CRSH	2.05	(0.09)	0.00	0.13	0.00	0.00	4.46	(4.19)	9.56

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