Jhancock Diversified Correlations

JDJIX Fund

USD 9.25 0.07 0.76%

The current 90-days correlation between Jhancock Diversified and Regional Bank Fund is 0.05 (i.e., Significant diversification). The correlation of Jhancock Diversified 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.

Jhancock Diversified Correlation With Market

Significant diversification

The correlation between Jhancock Diversified Macro and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro 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 Jhancock Diversified Macro. 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 Jhancock Mutual Fund

0.81	JSNIX	Jhancock Short Duration	Pair Corr
1.0	JDJRX	Jhancock Diversified	Pair Corr
0.65	PCBAX	Blackrock Tactical	Pair Corr
0.65	PCBSX	Blackrock Tactical	Pair Corr
0.66	PBAIX	Blackrock Tactical	Pair Corr
0.63	BRBCX	Blackrock Tactical	Pair Corr

Moving against Jhancock Mutual Fund

0.69	JFGFX	Fundamental Global	Pair Corr
0.68	JTKIX	Jhancock Global Thematic	Pair Corr
0.68	JDVNX	Jhancock Disciplined	Pair Corr
0.68	JVLIX	John Hancock Disciplined	Pair Corr
0.68	JGECX	Jhancock Global Equity	Pair Corr
0.68	JGEFX	Global Equity	Pair Corr
0.63	JSCNX	John Hancock Ii	Pair Corr
0.56	FRBCX	Regional Bank	Pair Corr
0.54	JRGRX	Regional Bank	Pair Corr
0.47	JFDRX	Financial Industries	Pair Corr
0.31	JBSOX	New Opportunities	Pair Corr
0.65	JYEBX	Jhancock Real Estate	Pair Corr
0.57	TAGRX	Fundamental Large Cap	Pair Corr
0.54	FIDCX	Financial Industries	Pair Corr
0.49	FIDAX	Financial Industries	Pair Corr
0.47	PFHCX	Pacific Funds Small	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.69	0.7	0.83	0.66	0.76	1.0	0.79	1.0	FRBAX
FRBCX	1.0		0.68	0.69	0.82	0.66	0.76	1.0	0.78	1.0	FRBCX
JQLMX	0.69	0.68		0.99	0.87	0.99	0.98	0.69	0.88	0.69	JQLMX
JQLBX	0.7	0.69	0.99		0.88	0.98	0.99	0.7	0.89	0.7	JQLBX
JQLAX	0.83	0.82	0.87	0.88		0.86	0.9	0.83	0.99	0.83	JQLAX
JQLCX	0.66	0.66	0.99	0.98	0.86		0.96	0.67	0.86	0.67	JQLCX
JQLGX	0.76	0.76	0.98	0.99	0.9	0.96		0.76	0.91	0.76	JQLGX
JRBFX	1.0	1.0	0.69	0.7	0.83	0.67	0.76		0.79	1.0	JRBFX
JRETX	0.79	0.78	0.88	0.89	0.99	0.86	0.91	0.79		0.79	JRETX
JRGRX	1.0	1.0	0.69	0.7	0.83	0.67	0.76	1.0	0.79		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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Risk-Adjusted Indicators

There is a big difference between Jhancock Mutual Fund performing well and Jhancock Diversified 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 Jhancock Diversified'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
FRBAX	1.21	0.02	(0.01)	0.11	1.56	(1.54)	2.74	(2.91)	18.11
FRBCX	1.22	0.01	(0.01)	0.09	1.63	(1.54)	2.75	(2.92)	18.58
JQLMX	0.26	0.01	(0.13)	0.47	0.35	(0.28)	0.57	(0.57)	2.02
JQLBX	0.34	0.02	(0.08)	0.53	0.49	(0.36)	0.75	(0.73)	2.73
JQLAX	0.54	(0.02)	(0.06)	0.03	0.83	(0.53)	1.16	(1.29)	4.36
JQLCX	0.17	0.00	(0.20)	0.24	0.20	(0.21)	0.42	(0.34)	1.44
JQLGX	0.45	0.02	(0.06)	0.44	0.66	(0.47)	1.00	(1.20)	3.71
JRBFX	1.21	0.02	(0.01)	0.11	1.56	(1.54)	2.72	(2.88)	18.14
JRETX	0.55	(0.01)	(0.05)	0.04	0.82	(0.58)	1.15	(1.37)	4.32
JRGRX	1.21	0.02	(0.01)	0.11	1.56	(1.54)	2.75	(2.88)	18.14

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