John Hancock Correlations

JSNFX Fund

USD 5.89 0.02 0.34%

The current 90-days correlation between John Hancock Income and Regional Bank Fund is -0.22 (i.e., Very good 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. If the correlation is 0, the equities are not correlated; they are entirely random.

John Hancock Correlation With Market

Average diversification

The correlation between John Hancock Income and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Income 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 Income. 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 census.

Moving together with John Mutual Fund

0.71	JQLCX	Multimanager Lifestyle	Pair Corr
0.63	JRLDX	Retirement Living Through	Pair Corr
0.63	JRLFX	Multi Index 2010	Pair Corr
0.72	JALRX	Multimanager Lifestyle	Pair Corr

Moving against John Mutual Fund

0.68	JRBFX	Regional Bank	Pair Corr
0.68	JRGRX	Regional Bank	Pair Corr
0.67	FRBAX	Regional Bank	Pair Corr
0.67	FRBCX	Regional Bank	Pair Corr
0.36	JRETX	J Hancock Ii	Pair Corr
0.36	JROUX	J Hancock Ii	Pair Corr
0.32	JQLAX	Multimanager Lifestyle	Pair Corr
0.31	JRLZX	Retirement Living Through	Pair Corr
0.31	JRODX	J Hancock Ii	Pair Corr
0.31	JAAFX	Jhancock Multi Index	Pair Corr
0.6	JACFX	John Hancock Mid	Pair Corr
0.44	JSCAX	Small Cap Value	Pair Corr
0.42	JSCNX	John Hancock Ii	Pair Corr
0.4	JSJAX	Small Cap Growth	Pair Corr
0.36	JAAVX	Jhancock Multimanager	Pair Corr
0.34	JAAKX	Jhancock Multi Index	Pair Corr
0.31	JAAJX	Jhancock Multi Index	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.2	0.52	0.68	-0.13	0.61	0.96	0.67	0.96	FRBAX
FRBCX	1.0		0.2	0.52	0.68	-0.13	0.6	0.96	0.67	0.96	FRBCX
JQLMX	0.2	0.2		0.79	0.65	0.89	0.81	0.23	0.71	0.23	JQLMX
JQLBX	0.52	0.52	0.79		0.96	0.52	0.89	0.51	0.86	0.51	JQLBX
JQLAX	0.68	0.68	0.65	0.96		0.3	0.91	0.67	0.92	0.67	JQLAX
JQLCX	-0.13	-0.13	0.89	0.52	0.3		0.47	-0.12	0.33	-0.12	JQLCX
JQLGX	0.61	0.6	0.81	0.89	0.91	0.47		0.65	0.99	0.65	JQLGX
JRBFX	0.96	0.96	0.23	0.51	0.67	-0.12	0.65		0.72	1.0	JRBFX
JRETX	0.67	0.67	0.71	0.86	0.92	0.33	0.99	0.72		0.72	JRETX
JRGRX	0.96	0.96	0.23	0.51	0.67	-0.12	0.65	1.0	0.72		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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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

FRBCX	+ 1.0	FRBAX
JRGRX	+ 1.0	JRBFX
JRETX	+ 0.99	JQLGX
JRBFX	+ 0.96	FRBAX
JRGRX	+ 0.96	FRBAX
JRBFX	+ 0.96	FRBCX

High negative correlations

JQLCX	- 0.13	FRBCX
JQLCX	- 0.13	FRBAX
JRGRX	- 0.12	JQLCX
JRBFX	- 0.12	JQLCX

Risk-Adjusted Indicators

There is a big difference between John Mutual Fund performing well and John Hancock 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 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
FRBAX	1.25	0.27	0.12	(8.52)	1.09	(1.56)	2.76	(1.88)	15.75
FRBCX	1.25	0.27	0.12	(6.93)	1.10	(1.55)	2.74	(1.92)	15.70
JQLMX	0.25	(0.02)	(0.30)	0.04	0.28	(0.26)	0.56	(0.56)	1.43
JQLBX	0.34	0.03	(0.16)	6.76	0.40	(0.38)	0.66	(0.72)	2.06
JQLAX	0.53	0.05	(0.08)	(27.34)	0.67	(0.56)	1.07	(0.93)	3.11
JQLCX	0.16	(0.01)	(0.45)	0.03	0.16	(0.19)	0.34	(0.33)	1.00
JQLGX	0.45	(0.04)	(0.13)	0.06	0.54	(0.50)	0.90	(0.81)	2.65
JRBFX	1.24	0.04	0.12	0.14	1.09	(1.55)	2.73	(1.92)	15.74
JRETX	0.53	(0.03)	(0.08)	0.07	0.61	(0.63)	1.07	(0.98)	3.08
JRGRX	1.25	0.04	0.12	0.14	1.08	(1.55)	2.76	(1.85)	15.70

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