Intech Managed Correlations

JRSDX Fund

USD 11.19 0.06 0.54%

The current 90-days correlation between Intech Managed Volatility and Df Dent Small is 0.95 (i.e., Almost no diversification). The correlation of Intech Managed 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.

Intech Managed Correlation With Market

Good diversification

The correlation between Intech Managed Volatility and DJI is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Intech Managed Volatility 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 Intech Managed Volatility. 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 Intech Mutual Fund

0.99	JRAAX	Janus Research	Pair Corr
0.89	JRACX	Janus Research	Pair Corr
0.99	JRAIX	Janus Research	Pair Corr
0.95	JRANX	Janus Research	Pair Corr
0.99	JRARX	Janus Henderson Research	Pair Corr
0.89	JRASX	Janus Research	Pair Corr
0.94	JAAGX	Enterprise Portfolio	Pair Corr
1.0	JRSAX	Intech Managed Volatility	Pair Corr
1.0	JRSCX	Intech Managed Volatility	Pair Corr
1.0	JRSIX	Intech Managed Volatility	Pair Corr
0.94	JRSNX	Intech Managed Volatility	Pair Corr
1.0	JRSSX	Intech Managed Volatility	Pair Corr
1.0	JRSTX	Intech Managed Volatility	Pair Corr
0.99	JACNX	Janus Contrarian	Pair Corr
0.99	JACTX	Janus Forty Fund	Pair Corr
0.94	JADGX	Janus Growth And	Pair Corr
0.9	JABRX	Janus Balanced	Pair Corr
0.99	JACAX	Forty Portfolio Inst	Pair Corr
0.88	JACCX	Janus Forty Fund	Pair Corr
0.99	JAENX	Janus Enterprise	Pair Corr
0.99	JAGRX	Research Portfolio	Pair Corr
0.98	JAGTX	Janus Global Technology	Pair Corr
0.94	JAGCX	Janus Global Technology	Pair Corr
1.0	JAGIX	Janus Growth And	Pair Corr
0.9	JAGLX	Janus Global Life	Pair Corr
0.87	JAHYX	Janus High Yield	Pair Corr
0.61	JAIGX	Overseas Portfolio	Pair Corr
0.99	JANBX	Janus Balanced	Pair Corr
0.99	JANEX	Janus Enterprise	Pair Corr
0.99	JANIX	Janus Triton	Pair Corr
0.97	JANRX	Janus Global Select	Pair Corr
0.99	JANVX	Janus Venture	Pair Corr
0.89	JAMRX	Janus Research	Pair Corr
0.97	JAMVX	Janus Aspen Perkins	Pair Corr
0.96	JSCVX	Perkins Small Cap	Pair Corr

Moving against Intech Mutual Fund

0.64	JASBX	Janus Short Term	Pair Corr
0.4	JSHCX	Janus Short Term	Pair Corr
0.38	JSHAX	Janus Short Term	Pair Corr

Related Correlations Analysis

	DFDSX	NSMAX	MSSGX	DFUKX	ARTSX	QSERX	PSBMX	FKALX
DFDSX		0.98	0.71	0.29	0.98	0.85	0.88	0.93	DFDSX
NSMAX	0.98		0.68	0.31	0.98	0.85	0.89	0.91	NSMAX
MSSGX	0.71	0.68		0.44	0.74	0.93	0.89	0.87	MSSGX
DFUKX	0.29	0.31	0.44		0.31	0.41	0.37	0.47	DFUKX
ARTSX	0.98	0.98	0.74	0.31		0.87	0.91	0.95	ARTSX
QSERX	0.85	0.85	0.93	0.41	0.87		0.98	0.91	QSERX
PSBMX	0.88	0.89	0.89	0.37	0.91	0.98		0.92	PSBMX
FKALX	0.93	0.91	0.87	0.47	0.95	0.91	0.92		FKALX
	DFDSX	NSMAX	MSSGX	DFUKX	ARTSX	QSERX	PSBMX	FKALX

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Risk-Adjusted Indicators

There is a big difference between Intech Mutual Fund performing well and Intech Managed 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 Intech Managed'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
DFDSX	1.31	(0.17)	0.00	1.11	0.00	0.00	2.32	(2.67)	12.63
NSMAX	1.28	(0.15)	0.00	1.84	0.00	0.00	2.25	(2.31)	12.54
MSSGX	2.18	0.07	0.00	(0.06)	0.00	0.00	4.23	(3.97)	15.77
DFUKX	0.92	0.13	0.13	44.85	1.73	(0.85)	1.97	(2.08)	9.17
ARTSX	1.67	(0.21)	0.00	1.40	0.00	0.00	2.86	(3.37)	15.39
QSERX	1.36	0.01	0.00	(0.10)	0.00	0.00	2.66	(3.07)	11.37
PSBMX	1.46	(0.02)	0.00	(0.13)	0.00	0.00	2.46	(3.31)	14.06
FKALX	1.75	(0.14)	0.00	1.31	0.00	0.00	2.61	(3.93)	14.37

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