John Hancock Correlations

Mutual Funds . USA . 
Fund . John Hancock Global
JGSRX Fund  USD 12.03  0.32  2.59%   
The current 90-days correlation between John Hancock Global and Regional Bank Fund is 0.06 (i.e., Significant diversification). The correlation of John Hancock 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.

John Hancock Correlation With Market

Poor diversification

The correlation between John Hancock Global and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Global 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 John Hancock Global. 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 John Mutual Fund

  0.66JRLDX Retirement Living Through Potential GrowthPairCorr
  0.67JRLFX Multi Index 2010 Potential GrowthPairCorr
  0.63JRLIX Retirement Living ThroughPairCorr
  0.67JRLHX Retirement Living Through Potential GrowthPairCorr
  0.65JRLKX Multi Index 2015PairCorr
  0.63JRLLX Retirement Living ThroughPairCorr
  0.61JRLOX Retirement Living ThroughPairCorr
  0.62JRLPX Multi Index 2020PairCorr
  0.61JRTAX Retirement Living ThroughPairCorr

Moving against John Mutual Fund

  0.45FRBAX Regional Bank Downward RallyPairCorr
  0.45JRBFX Regional Bank Downward RallyPairCorr
  0.45JRGRX Regional Bank Downward RallyPairCorr
  0.44FRBCX Regional Bank Downward RallyPairCorr
  0.37JACLX John Hancock MidPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between John Mutual Fund performing well and John Hancock 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 John Hancock'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  1.19  0.20  0.15  1.50  1.05 
(1.51)
 2.76 
(1.91)
 15.75 
FRBCX  1.19  0.20  0.15  1.53  1.05 
(1.51)
 2.74 
(1.90)
 15.70 
JQLMX  0.25 (0.03) 0.00 (0.09) 0.00 
 0.00 
 0.56 
(0.56)
 1.43 
JQLBX  0.34 (0.03) 0.00 (0.04) 0.00 
 0.00 
 0.66 
(0.65)
 2.06 
JQLAX  0.46  0.04  0.04  0.44  0.49 
(0.51)
 1.07 
(0.91)
 3.11 
JQLCX  0.17 (0.03) 0.00 (0.17) 0.00 
 0.00 
 0.34 
(0.34)
 1.00 
JQLGX  0.43 (0.02) 0.00 (0.02) 0.00 
 0.00 
 0.90 
(0.76)
 2.65 
JRBFX  1.19  0.20  0.15  1.55  1.05 
(1.51)
 2.73 
(1.88)
 15.74 
JRETX  0.46  0.05  0.06  0.67  0.43 
(0.56)
 1.07 
(0.83)
 3.08 
JRGRX  1.19  0.20  0.15  1.48  1.05 
(1.51)
 2.76 
(1.91)
 15.70 

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