John Hancock Correlations

JVLCX Fund

USD 21.08 0.41 1.98%

The current 90-days correlation between John Hancock Disciplined and Regional Bank Fund is 0.77 (i.e., Poor 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

Weak diversification

The correlation between John Hancock Disciplined and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Disciplined 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 Disciplined. 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 John Mutual Fund

0.95	JSCNX	John Hancock Ii	Pair Corr
0.9	JTKIX	Jhancock Global Thematic	Pair Corr
0.73	JTLAX	Multimanager Lifestyle	Pair Corr
1.0	JDVNX	Jhancock Disciplined	Pair Corr
0.75	JYEBX	Jhancock Real Estate	Pair Corr
0.94	FIDAX	Financial Industries	Pair Corr
0.62	JIIOX	Lifestyle Ii Aggressive	Pair Corr
0.97	TAGRX	Fundamental Large Cap	Pair Corr
0.63	AMFFX	American Mutual	Pair Corr
0.65	AMFCX	American Mutual	Pair Corr

Moving against John Mutual Fund

0.37	JSNIX	Jhancock Short Duration	Pair Corr
0.77	RYAFX	Inverse Russell 2000	Pair Corr
0.55	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.37	MCSAX	Mfs Modity Strategy	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.56	0.26	0.85	0.17	0.3	1.0	0.32	0.4	FRBAX
FRBCX	1.0		0.54	0.24	0.84	0.15	0.28	1.0	0.3	0.38	FRBCX
JQLMX	0.56	0.54		0.67	0.79	0.84	0.55	0.56	0.45	0.26	JQLMX
JQLBX	0.26	0.24	0.67		0.6	0.76	0.97	0.26	0.91	0.67	JQLBX
JQLAX	0.85	0.84	0.79	0.6		0.42	0.61	0.85	0.6	0.49	JQLAX
JQLCX	0.17	0.15	0.84	0.76	0.42		0.59	0.17	0.46	0.22	JQLCX
JQLGX	0.3	0.28	0.55	0.97	0.61	0.59		0.3	0.98	0.78	JQLGX
JRBFX	1.0	1.0	0.56	0.26	0.85	0.17	0.3		0.32	0.4	JRBFX
JRETX	0.32	0.3	0.45	0.91	0.6	0.46	0.98	0.32		0.83	JRETX
JRGRX	0.4	0.38	0.26	0.67	0.49	0.22	0.78	0.4	0.83		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
FRBAX	1.16	(0.22)	(0.32)	1.88	(3.49)	6.76
FRBCX	1.17	(0.23)	(0.33)	1.86	(3.51)	6.88
JQLMX	0.31	(0.01)	(0.13)	0.64	(0.72)	1.79
JQLBX	0.45	(0.04)	(0.61)	0.81	(1.03)	2.62
JQLAX	0.69	(0.03)	(0.15)	1.16	(1.57)	4.02
JQLCX	0.19	0.00	(0.16)	0.42	(0.34)	1.11
JQLGX	0.59	(0.06)	(0.82)	1.06	(1.27)	3.36
JRBFX	1.16	(0.22)	(0.32)	1.84	(3.50)	6.73
JRETX	0.71	(0.09)	(0.97)	1.15	(1.58)	4.09
JRGRX	1.20	(0.32)	(2.85)	1.84	(3.46)	6.77

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