John Hancock Correlations

HTD Fund

USD 23.42 0.08 0.34%

The current 90-days correlation between John Hancock Tax and John Hancock Preferred 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.

John Hancock Correlation With Market

Weak diversification

The correlation between John Hancock Tax and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Tax 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 Tax. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with John Fund

0.75	LETRX	Voya Russia Fund	Pair Corr
0.65	HPQ	HP Inc	Pair Corr
0.67	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.67	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.73	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.69	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.71	WMT	Walmart Aggressive Push	Pair Corr
0.78	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.89	HD	Home Depot	Pair Corr
0.82	T	ATT Inc Sell-off Trend	Pair Corr

Moving against John Fund

0.57	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.4	KO	Coca Cola Aggressive Push	Pair Corr

Related Correlations Analysis

	HPI	HPS	HPF	PCN	PDT	PTA	ETG	CSQ	ETO	ETV
HPI		0.82	0.92	0.61	0.73	0.87	0.54	0.2	0.58	0.18	HPI
HPS	0.82		0.68	0.33	0.78	0.84	0.21	-0.24	0.35	-0.26	HPS
HPF	0.92	0.68		0.68	0.61	0.86	0.67	0.43	0.68	0.38	HPF
PCN	0.61	0.33	0.68		0.46	0.51	0.7	0.66	0.6	0.73	PCN
PDT	0.73	0.78	0.61	0.46		0.81	0.35	-0.02	0.41	0.01	PDT
PTA	0.87	0.84	0.86	0.51	0.81		0.53	0.13	0.61	0.1	PTA
ETG	0.54	0.21	0.67	0.7	0.35	0.53		0.78	0.93	0.78	ETG
CSQ	0.2	-0.24	0.43	0.66	-0.02	0.13	0.78		0.63	0.94	CSQ
ETO	0.58	0.35	0.68	0.6	0.41	0.61	0.93	0.63		0.59	ETO
ETV	0.18	-0.26	0.38	0.73	0.01	0.1	0.78	0.94	0.59		ETV
	HPI	HPS	HPF	PCN	PDT	PTA	ETG	CSQ	ETO	ETV

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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

ETV	+ 0.94	CSQ
ETO	+ 0.93	ETG
HPF	+ 0.92	HPI
PTA	+ 0.87	HPI
PTA	+ 0.86	HPF
PTA	+ 0.84	HPS

High negative correlations

ETV	- 0.26	HPS
CSQ	- 0.24	HPS
CSQ	- 0.02	PDT

Risk-Adjusted Indicators

There is a big difference between John Fund performing well and John Hancock 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
HPI	0.76	0.02	(0.09)	0.35	0.90	(0.83)	1.83	(1.54)	5.00
HPS	0.58	(0.06)	0.00	(0.29)	0.00	0.00	1.15	(1.48)	3.29
HPF	0.61	0.04	(0.07)	1.19	0.93	(0.57)	0.97	(1.39)	5.43
PCN	0.29	0.08	(0.03)	0.80	0.38	(0.30)	0.95	(0.43)	3.26
PDT	0.72	0.01	(0.08)	0.17	0.79	(0.78)	1.41	(1.51)	3.98
PTA	0.47	(0.01)	(0.16)	0.08	0.61	(0.52)	1.00	(0.96)	2.98
ETG	0.60	(0.06)	(0.11)	0.03	0.81	(0.60)	1.10	(1.30)	3.62
CSQ	0.59	0.13	0.01	(4.67)	0.66	(0.65)	1.33	(1.29)	3.77
ETO	0.55	(0.06)	(0.11)	0.02	0.87	(0.49)	1.06	(1.49)	3.50
ETV	0.56	0.06	0.00	0.23	0.65	(0.63)	1.17	(1.14)	3.77

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