Jhancock Diversified Correlations

JDJRX Fund

USD 8.91 0.04 0.45%

The current 90-days correlation between Jhancock Diversified and Morningstar Aggressive Growth is 0.67 (i.e., Poor diversification). The correlation of Jhancock Diversified 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.

Jhancock Diversified Correlation With Market

Very weak diversification

The correlation between Jhancock Diversified Macro and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro 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 Jhancock Diversified Macro. 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 metropolitan statistical area.

Moving together with Jhancock Mutual Fund

0.67	JQLCX	Multimanager Lifestyle	Pair Corr
0.66	JRLDX	Retirement Living Through	Pair Corr
0.67	JRLFX	Multi Index 2010	Pair Corr
0.61	JRLIX	Retirement Living Through	Pair Corr
0.66	JRLHX	Retirement Living Through	Pair Corr
0.63	JRLKX	Multi Index 2015	Pair Corr
0.62	JRLLX	Retirement Living Through	Pair Corr

Moving against Jhancock Mutual Fund

0.48	FRBAX	Regional Bank	Pair Corr
0.48	FRBCX	Regional Bank	Pair Corr
0.48	JRBFX	Regional Bank	Pair Corr
0.48	JRGRX	Regional Bank	Pair Corr
0.33	JACLX	John Hancock Mid	Pair Corr

Related Correlations Analysis

	AGTFX	AGDAX	SGYAX	FHAIX	FIHLX	AAARX
AGTFX		0.78	0.78	0.7	0.67	0.98	AGTFX
AGDAX	0.78		0.92	0.79	0.94	0.8	AGDAX
SGYAX	0.78	0.92		0.66	0.82	0.77	SGYAX
FHAIX	0.7	0.79	0.66		0.85	0.69	FHAIX
FIHLX	0.67	0.94	0.82	0.85		0.69	FIHLX
AAARX	0.98	0.8	0.77	0.69	0.69		AAARX
	AGTFX	AGDAX	SGYAX	FHAIX	FIHLX	AAARX

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Risk-Adjusted Indicators

There is a big difference between Jhancock Mutual Fund performing well and Jhancock Diversified 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 Jhancock Diversified'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
AGTFX	0.52	(0.04)	(0.10)	0.07	0.60	(0.60)	1.15	(0.88)	3.06
AGDAX	0.12	0.02	(0.44)	0.48	0.00	(0.25)	0.29	(0.28)	0.87
SGYAX	0.14	0.02	(0.47)	0.44	0.00	(0.25)	0.28	(0.14)	1.28
FHAIX	0.09	0.00	0.00	(0.03)	0.00	0.00	0.57	(0.57)	1.14
FIHLX	0.11	0.01	(0.62)	0.41	0.00	(0.20)	0.34	(0.22)	0.67
AAARX	0.43	(0.01)	(0.10)	0.09	0.46	(0.51)	0.93	(0.70)	2.37

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