Jhancock Disciplined Correlations

JDVNX Fund

USD 27.65 0.15 0.55%

The current 90-days correlation between Jhancock Disciplined and Multimanager Lifestyle Moderate is 0.7 (i.e., Poor diversification). The correlation of Jhancock Disciplined 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 Disciplined Correlation With Market

Almost no diversification

The correlation between Jhancock Disciplined Value and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value 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 Disciplined Value. 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 board of governors.

Moving together with Jhancock Mutual Fund

0.9	FRBAX	Regional Bank	Pair Corr
0.9	FRBCX	Regional Bank	Pair Corr
0.75	JQLBX	Multimanager Lifestyle	Pair Corr
0.9	JQLAX	Multimanager Lifestyle	Pair Corr
0.86	JQLGX	Multimanager Lifestyle	Pair Corr
0.9	JRBFX	Regional Bank	Pair Corr
0.92	JRETX	J Hancock Ii	Pair Corr
0.9	JRGRX	Regional Bank	Pair Corr
0.87	JRLQX	Retirement Living Through	Pair Corr
0.87	JRLUX	Multi Index 2045	Pair Corr
0.89	JRLWX	Retirement Living Through	Pair Corr
0.87	JRLVX	Retirement Living Through	Pair Corr
0.9	JRLZX	Retirement Living Through	Pair Corr
0.89	JRODX	J Hancock Ii	Pair Corr
0.89	JAAFX	Jhancock Multi Index	Pair Corr
0.89	JAAJX	Jhancock Multi Index	Pair Corr
0.72	JAAIX	Alternative Asset	Pair Corr
0.89	JAAKX	Jhancock Multi Index	Pair Corr
0.73	JAARX	Alternative Asset	Pair Corr
0.7	JAASX	Alternative Asset	Pair Corr
0.67	JRTIX	Multi Index 2030	Pair Corr
0.76	JRTKX	Retirement Living Through	Pair Corr
0.92	JAAWX	Jhancock Multimanager	Pair Corr
0.76	JRTMX	Multi Index 2035	Pair Corr
0.76	JRTNX	Retirement Living Through	Pair Corr
0.92	JABDX	Jhancock Multimanager	Pair Corr
0.84	JRTWX	Retirement Living Through	Pair Corr
0.7	JAAAX	Alternative Asset	Pair Corr
0.91	PZFVX	Classic Value	Pair Corr

Related Correlations Analysis

	JQLMX	JQLBX	JQLCX	JRGRX	JRLDX	JRLFX	JRLIX	JRLKX	JRLLX	JRLOX
JQLMX		0.91	0.9	0.15	0.94	0.94	0.98	0.98	0.98	0.99	JQLMX
JQLBX	0.91		0.64	0.48	0.72	0.72	0.82	0.8	0.81	0.88	JQLBX
JQLCX	0.9	0.64		-0.18	0.99	0.99	0.96	0.96	0.96	0.92	JQLCX
JRGRX	0.15	0.48	-0.18		-0.11	-0.13	0.0	-0.02	-0.01	0.1	JRGRX
JRLDX	0.94	0.72	0.99	-0.11		1.0	0.99	0.99	0.99	0.96	JRLDX
JRLFX	0.94	0.72	0.99	-0.13	1.0		0.99	0.99	0.99	0.96	JRLFX
JRLIX	0.98	0.82	0.96	0.0	0.99	0.99		1.0	1.0	0.99	JRLIX
JRLKX	0.98	0.8	0.96	-0.02	0.99	0.99	1.0		1.0	0.99	JRLKX
JRLLX	0.98	0.81	0.96	-0.01	0.99	0.99	1.0	1.0		0.99	JRLLX
JRLOX	0.99	0.88	0.92	0.1	0.96	0.96	0.99	0.99	0.99		JRLOX
	JQLMX	JQLBX	JQLCX	JRGRX	JRLDX	JRLFX	JRLIX	JRLKX	JRLLX	JRLOX

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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

JRLFX	+ 1.0	JRLDX
JRLKX	+ 1.0	JRLIX
JRLLX	+ 1.0	JRLIX
JRLLX	+ 1.0	JRLKX
JRLOX	+ 0.99	JQLMX
JRLDX	+ 0.99	JQLCX

High negative correlations

JRGRX	- 0.18	JQLCX
JRLFX	- 0.13	JRGRX
JRLDX	- 0.11	JRGRX
JRLKX	- 0.02	JRGRX
JRLLX	- 0.01	JRGRX
JRLIX	- 0.0	JRGRX

Risk-Adjusted Indicators

There is a big difference between Jhancock Mutual Fund performing well and Jhancock Disciplined 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 Disciplined'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
JQLMX	0.25	(0.02)	(0.30)	0.05	0.27	(0.27)	0.56	(0.56)	1.46
JQLBX	0.35	(0.03)	(0.17)	0.07	0.40	(0.39)	0.74	(0.72)	2.22
JQLCX	0.17	(0.01)	(0.47)	0.04	0.15	(0.20)	0.34	(0.33)	1.09
JRGRX	1.30	0.07	0.16	0.15	1.04	(1.66)	2.92	(1.85)	15.70
JRLDX	0.19	(0.02)	(0.43)	0.04	0.17	(0.23)	0.48	(0.39)	1.36
JRLFX	0.21	(0.02)	(0.38)	0.04	0.21	(0.24)	0.39	(0.39)	1.26
JRLIX	0.24	(0.02)	(0.35)	0.05	0.24	(0.26)	0.47	(0.56)	1.41
JRLKX	0.24	(0.02)	(0.36)	0.04	0.25	(0.27)	0.47	(0.56)	1.41
JRLLX	0.23	(0.02)	(0.34)	0.05	0.22	(0.27)	0.47	(0.47)	1.40
JRLOX	0.26	(0.02)	(0.28)	0.05	0.30	(0.28)	0.54	(0.63)	1.52

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