Jhancock Diversified Correlations

JDJIX Fund

USD 8.94 0.01 0.11%

The current 90-days correlation between Jhancock Diversified and Baird Smallmid Cap is -0.09 (i.e., Good 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

Good diversification

The correlation between Jhancock Diversified Macro and DJI is -0.01 (i.e., Good 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

0.69	NXJ	Nuveen New Jersey	Pair Corr
0.62	XNBHX	Neuberger Berman Int	Pair Corr

Moving against Jhancock Mutual Fund

0.43	MBXFX	Catalystmillburn Hedge	Pair Corr
0.41	MBXIX	Catalystmillburn Hedge	Pair Corr
0.41	MBXAX	Catalystmillburn Hedge	Pair Corr
0.38	MBXCX	Catalystmillburn Hedge	Pair Corr
0.46	FSRBX	Banking Portfolio Banking	Pair Corr
0.41	KMKNX	Kinetics Market Oppo Steady Growth	Pair Corr
0.41	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.4	XPPRX	Voya Prime Rate	Pair Corr

Related Correlations Analysis

	BSGSX	MSSGX	KSCYX	ANORX	LMBMX	APDSX	PMDDX
BSGSX		0.95	0.95	0.95	0.94	0.91	0.98	BSGSX
MSSGX	0.95		0.96	0.89	0.87	0.84	0.94	MSSGX
KSCYX	0.95	0.96		0.9	0.89	0.87	0.91	KSCYX
ANORX	0.95	0.89	0.9		0.98	0.97	0.93	ANORX
LMBMX	0.94	0.87	0.89	0.98		0.94	0.92	LMBMX
APDSX	0.91	0.84	0.87	0.97	0.94		0.87	APDSX
PMDDX	0.98	0.94	0.91	0.93	0.92	0.87		PMDDX
	BSGSX	MSSGX	KSCYX	ANORX	LMBMX	APDSX	PMDDX

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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
BSGSX	0.79	0.18	0.08	0.83	0.83	(0.87)	1.90	(1.52)	5.09
MSSGX	1.45	0.55	0.29	7.46	1.11	(1.78)	3.46	(2.26)	7.23
KSCYX	1.26	0.48	0.28	0.56	1.15	(1.46)	3.29	(2.03)	13.94
ANORX	0.86	(0.02)	0.02	0.11	0.89	(0.95)	2.01	(1.48)	6.17
LMBMX	0.95	(0.06)	0.01	0.08	1.06	(1.07)	1.95	(1.75)	8.01
APDSX	0.96	0.01	0.03	0.13	1.13	(0.95)	2.03	(1.99)	5.77
PMDDX	0.70	0.11	0.00	1.70	0.65	(0.85)	1.61	(1.31)	5.22

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