Multimodal fusion is an effective approach to better understand brain disease. To date, most current fusion approaches are unsupervised; there is need for a multivariate method that can adopt prior information to guide multimodal fusion. Here we proposed a novel supervised fusion model, called "MCCAR+jICA", which enables both identification of multimodal co-alterations and linking the covarying brain regions with a specific reference signal, e.g., cognitive scores. The proposed method has been validated on both simulated and real human brain data. Features from 3 modalities (fMRI, sMRI, dMRI) obtained from 147 schizophrenia patients and 147 age-matched healthy controls were included as fusion input, who participated in the Function Biomedical Informatics Research Network (FBIRN) Phase III study. Our aim was to investigate the group co-alterations seen in three types of MRI data that are also correlated with working memory performance. One joint IC was found both significantly group-discriminating (p=7.4E-06, 0.001, 7.0E-09) and highly correlated with working memory scores(r=0.296, 0.241, 0.301) and PANSS negative scores (r=-0.229, -0.276, -0.240) for fMRI, dMRI and sMRI, respectively. Given the simulation and FBIRN results, MCCAR+jICA is shown to be an effective multivariate approach to extract accurate and stable multimodal components associated with a particular measure of interest, and promises a wide application in identifying potential neuromarkers for mental disorders.