John Hancock Correlations

JGYIX Fund

USD 12.40 0.10 0.80%

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 0.73 (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 gross domestic product.

Moving together with John Mutual Fund

0.61	JQLCX	Multimanager Lifestyle	Pair Corr
0.61	JRLDX	Retirement Living Through	Pair Corr
0.68	JRLFX	Multi Index 2010	Pair Corr
0.65	JRLIX	Retirement Living Through	Pair Corr
0.61	JRLHX	Retirement Living Through	Pair Corr
0.67	JRLKX	Multi Index 2015	Pair Corr
0.66	JRLLX	Retirement Living Through	Pair Corr
0.64	JRLOX	Retirement Living Through	Pair Corr
0.65	JRLPX	Multi Index 2020	Pair Corr
0.62	JRTDX	Multi Index 2025	Pair Corr
0.61	JRTFX	Retirement Living Through	Pair Corr

Related Correlations Analysis

	RGFIX	BTO	MCBXX	MSVIX	SBFAX	FNPIX	VFAIX	RPFGX
RGFIX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	RGFIX
BTO	0.0		0.0	0.87	0.94	0.97	0.99	0.98	BTO
MCBXX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	MCBXX
MSVIX	0.0	0.87	0.0		0.78	0.82	0.87	0.89	MSVIX
SBFAX	0.0	0.94	0.0	0.78		0.97	0.94	0.94	SBFAX
FNPIX	0.0	0.97	0.0	0.82	0.97		0.97	0.97	FNPIX
VFAIX	0.0	0.99	0.0	0.87	0.94	0.97		0.99	VFAIX
RPFGX	0.0	0.98	0.0	0.89	0.94	0.97	0.99		RPFGX
	RGFIX	BTO	MCBXX	MSVIX	SBFAX	FNPIX	VFAIX	RPFGX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VFAIX	+ 0.99	BTO
RPFGX	+ 0.99	VFAIX
RPFGX	+ 0.98	BTO
FNPIX	+ 0.97	BTO
FNPIX	+ 0.97	SBFAX
VFAIX	+ 0.97	FNPIX

High negative correlations

RPFGX	- 0.0	MCBXX
VFAIX	- 0.0	MCBXX
FNPIX	- 0.0	MCBXX
SBFAX	- 0.0	MCBXX
MSVIX	- 0.0	MCBXX
MCBXX	- 0.0	BTO

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RGFIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BTO	0.90	0.12	0.17	0.20	0.66	(0.99)	1.88	(1.32)	9.88
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSVIX	0.73	0.02	0.05	0.13	0.54	(0.86)	1.78	(1.31)	5.71
SBFAX	0.90	0.01	(0.05)	0.26	1.85	(0.96)	1.72	(1.49)	8.60
FNPIX	1.03	0.23	0.09	(3.33)	0.88	(1.12)	2.09	(1.83)	11.72
VFAIX	0.73	0.06	0.12	0.16	0.46	(0.86)	1.77	(1.22)	8.51
RPFGX	0.75	0.05	0.13	0.16	0.36	(0.96)	1.85	(1.10)	7.59

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC