Jhancock Disciplined Correlations

Mutual Funds . USA . 
Fund . Jhancock Disciplined Value
JDVNX Fund  USD 22.74  0.09  0.39%   
The current 90-days correlation between Jhancock Disciplined and Regional Bank Fund is 0.78 (i.e., Poor diversification). The correlation of Jhancock Disciplined 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 Disciplined Correlation With Market

Very weak diversification

The correlation between Jhancock Disciplined Value and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value 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 Disciplined Value. 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 board of governors.

Moving together with Jhancock Mutual Fund

  0.89FRBAX Regional BankPairCorr
  0.89FRBCX Regional BankPairCorr
  0.66JQLBX Multimanager LifestylePairCorr
  0.76JQLAX Multimanager LifestylePairCorr
  0.73JQLGX Multimanager LifestylePairCorr
  0.89JRBFX Regional BankPairCorr
  0.76JRETX J Hancock IiPairCorr
  0.89JRGRX Regional BankPairCorr
  0.67JRLQX Retirement Living ThroughPairCorr
  0.68JRLUX Multi Index 2045PairCorr
  0.69JRLWX Retirement Living ThroughPairCorr
  0.68JRLVX Retirement Living ThroughPairCorr
  0.69JRLZX Retirement Living ThroughPairCorr
  0.76JROUX J Hancock IiPairCorr
  0.69JRODX J Hancock IiPairCorr
  0.73JAAFX Jhancock Multi IndexPairCorr
  0.73JAAJX Jhancock Multi IndexPairCorr
  0.73JAAKX Jhancock Multi IndexPairCorr
  0.76JAAVX Jhancock MultimanagerPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Jhancock Mutual Fund performing well and Jhancock Disciplined 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 Disciplined'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  1.07 (0.17) 0.00 (0.15) 0.00 
 0.00 
 2.08 
(2.91)
 6.76 
FRBCX  1.08 (0.17) 0.00 (0.16) 0.00 
 0.00 
 2.22 
(2.92)
 6.76 
JQLMX  0.30  0.01  0.03  0.03  0.34 
(0.33)
 0.64 
(0.56)
 1.79 
JQLBX  0.43  0.01  0.01  0.01  0.56 
(0.42)
 0.81 
(0.88)
 2.62 
JQLAX  0.68 (0.02) 0.00 (0.02) 0.00 
 0.00 
 1.25 
(1.53)
 4.02 
JQLCX  0.18  0.01  0.05  0.05  0.15 
(0.23)
 0.42 
(0.34)
 1.11 
JQLGX  0.56  0.00  0.00 (0.01) 0.76 
(0.57)
 1.06 
(1.24)
 3.36 
JRBFX  1.06 (0.17) 0.00 (0.15) 0.00 
 0.00 
 1.97 
(2.88)
 6.73 
JRETX  0.69 (0.02) 0.00 (0.03) 0.00 
 0.00 
 1.25 
(1.47)
 4.09 
JRGRX  1.06 (0.17) 0.00 (0.15) 0.00 
 0.00 
 1.97 
(2.88)
 6.77 

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