Jhancock Diversified Correlations

Mutual Funds . USA . 
Fund . Jhancock Diversified Macro
JDJCX Fund  USD 8.98  0.03  0.34%   
The current 90-days correlation between Jhancock Diversified and Regional Bank Fund is 0.21 (i.e., Modest 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

Significant diversification

The correlation between Jhancock Diversified Macro and DJI is 0.02 (i.e., Significant 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 main economic indicators.

Moving together with Jhancock Mutual Fund

  0.65JQLMX Multimanager LifestylePairCorr
  0.62JQLBX Multimanager LifestylePairCorr
  0.62JRLIX Retirement Living ThroughPairCorr
  0.62JRLKX Multi Index 2015PairCorr
  0.62JRLLX Retirement Living ThroughPairCorr
  0.63JRLOX Retirement Living ThroughPairCorr
  0.63JRLPX Multi Index 2020PairCorr
  0.86JAAIX Alternative AssetPairCorr
  0.85JAAPX Alternative AssetPairCorr
  0.63JRTBX Retirement Living ThroughPairCorr
  0.64JRTAX Retirement Living ThroughPairCorr
  0.85JAARX Alternative AssetPairCorr
  0.63JRTDX Multi Index 2025PairCorr
  0.64JRTGX Retirement Living ThroughPairCorr
  0.64JRTFX Retirement Living ThroughPairCorr
  0.85JAASX Alternative AssetPairCorr
  0.62JRTIX Multi Index 2030PairCorr
  0.62JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FRBAX  1.16 (0.35) 0.00  1.36  0.00 
 0.00 
 1.88 
(3.49)
 6.76 
FRBCX  1.16 (0.22) 0.00 (0.31) 0.00 
 0.00 
 1.86 
(3.51)
 6.88 
JQLMX  0.32  0.00  0.00 (0.09) 0.00 
 0.00 
 0.64 
(0.72)
 1.79 
JQLBX  0.45  0.00  0.00 (0.09) 0.00 
 0.00 
 0.81 
(1.03)
 2.62 
JQLAX  0.70 (0.02) 0.00 (0.11) 0.00 
 0.00 
 1.16 
(1.57)
 4.02 
JQLCX  0.19  0.00  0.00 (0.09) 0.00 
 0.00 
 0.42 
(0.34)
 1.11 
JQLGX  0.58 (0.01) 0.00 (0.10) 0.00 
 0.00 
 1.06 
(1.27)
 3.36 
JRBFX  1.15 (0.21) 0.00 (0.30) 0.00 
 0.00 
 1.84 
(3.50)
 6.73 
JRETX  0.71 (0.01) 0.00 (0.11) 0.00 
 0.00 
 1.15 
(1.59)
 4.09 
JRGRX  1.15 (0.21) 0.00 (0.30) 0.00 
 0.00 
 1.84 
(3.46)
 6.77 

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