Lifestyle Correlations

JIIOX Fund

USD 14.62 0.02 0.14%

The current 90-days correlation between Lifestyle Ii Aggressive and California Municipal Portfolio is 0.23 (i.e., Modest diversification). The correlation of 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.

Lifestyle Correlation With Market

Very poor diversification

The correlation between Lifestyle Ii Aggressive and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lifestyle Ii Aggressive 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 Lifestyle Ii Aggressive. 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 persons.

Moving together with Lifestyle Mutual Fund

0.66	JQLMX	Multimanager Lifestyle	Pair Corr
0.99	JQLAX	Multimanager Lifestyle	Pair Corr
0.64	JQLCX	Multimanager Lifestyle	Pair Corr
0.99	JQLGX	Multimanager Lifestyle	Pair Corr
1.0	JRETX	J Hancock Ii	Pair Corr
0.97	JRLDX	Retirement Living Through	Pair Corr
0.97	JRLFX	Multi Index 2010	Pair Corr
0.98	JRLIX	Retirement Living Through	Pair Corr
0.97	JRLHX	Retirement Living Through	Pair Corr
0.98	JRLKX	Multi Index 2015	Pair Corr
0.99	JRLLX	Retirement Living Through	Pair Corr
0.98	JRLOX	Retirement Living Through	Pair Corr
1.0	JRLQX	Retirement Living Through	Pair Corr
0.98	JRLPX	Multi Index 2020	Pair Corr
1.0	JRLUX	Multi Index 2045	Pair Corr
1.0	JRLWX	Retirement Living Through	Pair Corr
1.0	JRLVX	Retirement Living Through	Pair Corr
1.0	JRLZX	Retirement Living Through	Pair Corr
1.0	JROUX	J Hancock Ii	Pair Corr
1.0	JRODX	J Hancock Ii	Pair Corr
1.0	JAAFX	Jhancock Multi Index	Pair Corr
1.0	JAAJX	Jhancock Multi Index	Pair Corr
0.63	JAAIX	Alternative Asset	Pair Corr
1.0	JAAKX	Jhancock Multi Index	Pair Corr
0.98	JAAPX	Alternative Asset	Pair Corr
0.98	JRTBX	Retirement Living Through	Pair Corr
0.98	JRTAX	Retirement Living Through	Pair Corr
0.99	JAARX	Alternative Asset	Pair Corr
0.98	JRTDX	Multi Index 2025	Pair Corr
0.99	JRTGX	Retirement Living Through	Pair Corr
0.98	JRTFX	Retirement Living Through	Pair Corr
0.99	JAASX	Alternative Asset	Pair Corr
0.98	JRTIX	Multi Index 2030	Pair Corr
0.99	JAAVX	Jhancock Multimanager	Pair Corr
1.0	JRTKX	Retirement Living Through	Pair Corr
0.98	JRTJX	Retirement Living Through	Pair Corr

Related Correlations Analysis

	SNCAX	PFCXX	PBMXX	VMRXX	NSIOX	QCMMIX	STSEX	GABXX
SNCAX		0.5	0.73	0.5	0.76	0.54	0.65	0.56	SNCAX
PFCXX	0.5		0.77	1.0	0.62	0.53	0.72	0.27	PFCXX
PBMXX	0.73	0.77		0.77	0.79	0.19	0.42	0.64	PBMXX
VMRXX	0.5	1.0	0.77		0.62	0.53	0.72	0.27	VMRXX
NSIOX	0.76	0.62	0.79	0.62		0.19	0.43	0.58	NSIOX
QCMMIX	0.54	0.53	0.19	0.53	0.19		0.94	-0.08	QCMMIX
STSEX	0.65	0.72	0.42	0.72	0.43	0.94		0.13	STSEX
GABXX	0.56	0.27	0.64	0.27	0.58	-0.08	0.13		GABXX
	SNCAX	PFCXX	PBMXX	VMRXX	NSIOX	QCMMIX	STSEX	GABXX

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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

VMRXX	+ 1.0	PFCXX
STSEX	+ 0.94	QCMMIX
NSIOX	+ 0.79	PBMXX
PBMXX	+ 0.77	PFCXX
VMRXX	+ 0.77	PBMXX
NSIOX	+ 0.76	SNCAX

High negative correlations

GABXX

- 0.08

QCMMIX

Risk-Adjusted Indicators

There is a big difference between Lifestyle Mutual Fund performing well and 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 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
SNCAX	0.09	0.01	(0.68)	0.58	0.00	(0.13)	0.22	(0.15)	0.89
PFCXX	0.03	0.02	0.00	(0.09)	0.00	0.00	0.00	0.00	1.01
PBMXX	0.03	0.00	0.00	1.43	0.00	0.00	0.00	0.00	1.01
VMRXX	0.03	0.02	0.00	(0.09)	0.00	0.00	0.00	0.00	1.01
NSIOX	0.17	(0.01)	(0.47)	(0.07)	0.20	(0.23)	0.32	(0.31)	1.35
QCMMIX	0.02	0.00	0.00	0.00	0.00	0.00	0.03	0.00	0.03
STSEX	0.54	0.15	0.17	0.37	0.00	(0.62)	1.60	(0.83)	3.33
GABXX	0.03	0.00	0.00	0.39	0.00	0.00	0.00	0.00	1.01

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