John Hancock Disciplined Fund Market Value
| JVMSX Fund | USD 31.41 0.09 0.29% |
| Symbol | John |
John Hancock 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to John Hancock's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of John Hancock.
| 12/23/2022 |
| 12/12/2024 |
If you would invest 0.00 in John Hancock on December 23, 2022 and sell it all today you would earn a total of 0.00 from holding John Hancock Disciplined or generate 0.0% return on investment in John Hancock over 720 days. John Hancock is related to or competes with T Rowe, Qs Large, Fisher Large, Aqr Large, Morningstar Unconstrained, and Old Westbury. Under normal circumstances, the fund seeks to achieve its investment objectives by investing at least 80 percent of its ... More
John Hancock Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure John Hancock's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess John Hancock Disciplined upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5472 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 4.97 | |||
| Value At Risk | (0.88) | |||
| Potential Upside | 1.31 |
John Hancock Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for John Hancock's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as John Hancock's standard deviation. In reality, there are many statistical measures that can use John Hancock historical prices to predict the future John Hancock's volatility.| Risk Adjusted Performance | 0.1101 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1099 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of John Hancock's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
John Hancock Disciplined Backtested Returns
At this stage we consider John Mutual Fund to be very steady. John Hancock Disciplined holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for John Hancock Disciplined, which you can use to evaluate the volatility of the entity. Please check out John Hancock's Downside Deviation of 0.5472, risk adjusted performance of 0.1101, and Market Risk Adjusted Performance of 0.1199 to validate if the risk estimate we provide is consistent with the expected return of 0.0931%. The fund retains a Market Volatility (i.e., Beta) of 1.0, which attests to a somewhat significant risk relative to the market. John Hancock returns are very sensitive to returns on the market. As the market goes up or down, John Hancock is expected to follow.
Auto-correlation | 0.17 |
Very weak predictability
John Hancock Disciplined has very weak predictability. Overlapping area represents the amount of predictability between John Hancock time series from 23rd of December 2022 to 18th of December 2023 and 18th of December 2023 to 12th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of John Hancock Disciplined price movement. The serial correlation of 0.17 indicates that over 17.0% of current John Hancock price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 1.91 |
John Hancock Disciplined lagged returns against current returns
Autocorrelation, which is John Hancock mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting John Hancock's mutual fund expected returns. We can calculate the autocorrelation of John Hancock returns to help us make a trade decision. For example, suppose you find that John Hancock has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
John Hancock regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If John Hancock mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if John Hancock mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in John Hancock mutual fund over time.
Current vs Lagged Prices |
| Timeline |
John Hancock Lagged Returns
When evaluating John Hancock's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of John Hancock mutual fund have on its future price. John Hancock autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, John Hancock autocorrelation shows the relationship between John Hancock mutual fund current value and its past values and can show if there is a momentum factor associated with investing in John Hancock Disciplined.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in John Mutual Fund
John Hancock financial ratios help investors to determine whether John Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in John with respect to the benefits of owning John Hancock security.
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