Multimanager Lifestyle Correlations

JTMIX Fund

USD 13.12 0.10 0.76%

The current 90-days correlation between Multimanager Lifestyle and T Rowe Price is 0.26 (i.e., Modest diversification). The correlation of Multimanager Lifestyle 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.

Multimanager Lifestyle Correlation With Market

Very poor diversification

The correlation between Multimanager Lifestyle Moderat and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multimanager Lifestyle Moderat 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 Multimanager Lifestyle Moderate. 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 Multimanager Mutual Fund

0.99	JRLWX	Retirement Living Through	Pair Corr
0.96	JAAIX	Alternative Asset	Pair Corr
0.96	JABKX	John Hancock Funds	Pair Corr
0.86	JSNIX	Jhancock Short Duration	Pair Corr
0.94	SVBAX	Balanced Fund Class	Pair Corr
0.99	JTLGX	Multimanager Lifestyle	Pair Corr
0.94	JCTFX	John Hancock High	Pair Corr
0.68	JDJRX	Jhancock Diversified	Pair Corr
0.99	JVIMX	J Hancock Ii	Pair Corr
0.96	JDVNX	Jhancock Disciplined	Pair Corr
0.93	JEMQX	John Hancock Emerging	Pair Corr
0.72	JGECX	Jhancock Global Equity	Pair Corr
0.99	JGHTX	J Hancock Ii	Pair Corr
0.79	JYEBX	Jhancock Real Estate	Pair Corr
0.94	JHJIX	John Hancock Esg	Pair Corr
0.91	JHSFX	John Hancock Municipal	Pair Corr
1.0	JLAEX	Retirement Living Through	Pair Corr
1.0	JLAIX	Retirement Living Through	Pair Corr
0.99	JLAOX	Retirement Living Through	Pair Corr
1.0	JLBAX	Retirement Living Through	Pair Corr
0.92	TAGRX	Fundamental Large Cap	Pair Corr
0.97	JLAAX	Retirement Living Through	Pair Corr
0.96	JLDAX	Retirement Living Through	Pair Corr
1.0	JLDEX	Retirement Living Through	Pair Corr
1.0	JLDGX	Retirement Living Through	Pair Corr
1.0	JLDIX	Retirement Living Through	Pair Corr
1.0	JLDHX	Retirement Living Through	Pair Corr
0.98	JLCFX	Fundamental Large Cap	Pair Corr
1.0	JLDOX	Retirement Living Through	Pair Corr
0.99	JLGSX	Lifestyle Ii Growth	Pair Corr
0.99	JLKOX	Retirement Living Through	Pair Corr
1.0	JLMOX	Lifestyle Ii Moderate	Pair Corr
0.94	VWINX	Vanguard Wellesley Income	Pair Corr
0.94	VWIAX	Vanguard Wellesley Income	Pair Corr
0.97	BKMIX	Blackrock Multi Asset	Pair Corr
0.88	HBLTX	Hartford Balanced	Pair Corr
0.86	HBLRX	Hartford Balanced	Pair Corr
0.87	HBLSX	Hartford Balanced	Pair Corr

Moving against Multimanager Mutual Fund

0.4

FIDAX

Financial Industries

Pair Corr

Related Correlations Analysis

	PRFHX	NMHYX	AHYMX	FAGIX	TAHFX	BCHYX	PATFX	RTHAX
PRFHX		0.77	0.92	0.95	0.85	1.0	1.0	0.99	PRFHX
NMHYX	0.77		0.87	0.8	0.82	0.76	0.77	0.77	NMHYX
AHYMX	0.92	0.87		0.86	0.84	0.92	0.93	0.91	AHYMX
FAGIX	0.95	0.8	0.86		0.88	0.95	0.95	0.94	FAGIX
TAHFX	0.85	0.82	0.84	0.88		0.84	0.85	0.83	TAHFX
BCHYX	1.0	0.76	0.92	0.95	0.84		1.0	0.99	BCHYX
PATFX	1.0	0.77	0.93	0.95	0.85	1.0		0.99	PATFX
RTHAX	0.99	0.77	0.91	0.94	0.83	0.99	0.99		RTHAX
	PRFHX	NMHYX	AHYMX	FAGIX	TAHFX	BCHYX	PATFX	RTHAX

Risk-Adjusted Indicators

There is a big difference between Multimanager Mutual Fund performing well and Multimanager Lifestyle 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 Multimanager Lifestyle'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
PRFHX	0.15	0.06	(0.33)	2.80	0.00	(0.23)	0.55	(0.19)	1.02
NMHYX	0.12	(0.01)	(0.49)	0.08	0.00	(0.17)	0.24	(0.24)	0.84
AHYMX	0.12	0.02	(0.82)	0.96	0.00	(0.19)	0.34	(0.11)	0.78
FAGIX	0.26	(0.01)	(0.23)	0.10	0.23	(0.33)	0.57	(0.46)	1.58
TAHFX	0.13	0.01	(0.49)	(0.58)	0.00	(0.17)	0.25	(0.24)	0.97
BCHYX	0.15	0.06	(0.35)	2.40	0.00	(0.24)	0.42	(0.21)	1.07
PATFX	0.15	0.06	(0.39)	3.99	0.00	(0.21)	0.46	(0.19)	1.01
RTHAX	0.12	0.05	(0.38)	5.12	0.00	(0.21)	0.52	(0.11)	1.05

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