John Hancock Correlations

JVMRX Fund

USD 26.12 0.54 2.11%

The current 90-days correlation between John Hancock Disciplined and Mfs Value Fund is 0.28 (i.e., Modest 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

Very weak diversification

The correlation between John Hancock Disciplined 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 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 metropolitan statistical area.

Moving together with John Mutual Fund

0.95	FRBAX	Regional Bank Potential Growth	Pair Corr
0.96	FRBCX	Regional Bank	Pair Corr
0.72	JQLAX	Multimanager Lifestyle	Pair Corr
0.66	JQLGX	Multimanager Lifestyle	Pair Corr
0.95	JRBFX	Regional Bank	Pair Corr
0.71	JRETX	J Hancock Ii	Pair Corr
0.95	JRGRX	Regional Bank	Pair Corr
0.71	JROUX	J Hancock Ii	Pair Corr
0.75	JAAFX	Jhancock Multi Index	Pair Corr
0.75	JAAJX	Jhancock Multi Index	Pair Corr
0.75	JAAKX	Jhancock Multi Index	Pair Corr
0.74	JAAVX	Jhancock Multimanager	Pair Corr

Related Correlations Analysis

	MEIKX	MINJX	MWTSX	MDIZX	MEFZX
MEIKX		0.75	0.58	0.58	0.56	MEIKX
MINJX	0.75		0.74	0.78	0.33	MINJX
MWTSX	0.58	0.74		0.85	-0.17	MWTSX
MDIZX	0.58	0.78	0.85		-0.15	MDIZX
MEFZX	0.56	0.33	-0.17	-0.15		MEFZX
	MEIKX	MINJX	MWTSX	MDIZX	MEFZX

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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

MDIZX	+ 0.85	MWTSX
MDIZX	+ 0.78	MINJX
MINJX	+ 0.75	MEIKX
MWTSX	+ 0.74	MINJX
MWTSX	+ 0.58	MEIKX
MDIZX	+ 0.58	MEIKX

High negative correlations

MEFZX	- 0.17	MWTSX
MEFZX	- 0.15	MDIZX

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
MEIKX	0.74	(0.07)	0.00	(0.21)	0.00	0.00	1.03	(1.67)	7.23
MINJX	0.83	0.05	0.00	(0.06)	0.00	0.00	1.48	(1.58)	10.70
MWTSX	0.28	0.00	0.27	(0.21)	0.31	(0.37)	0.71	(0.48)	1.46
MDIZX	0.58	0.09	0.16	0.07	0.78	(0.56)	1.28	(1.31)	4.56
MEFZX	1.05	(0.31)	0.00	(0.44)	0.00	0.00	1.36	(2.53)	12.93

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