John Hancock Tax Fund Volatility

HTD Fund

USD 25.46 -0.17 -0.66%

John Hancock's historical price variability is summarized here, from standard deviation to drawdown and value-at-risk. It carries a 0.94 long-term beta, meaning it generally moves in line with the broader market. The fund shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0383

Expected Return ↓

Minimal

Low

Moderate

Elevated

High

Leading

Strong

Moderate

Modest

Flat

Below

Ideal

HTD

Worst

← Lower RiskHigher Risk →

John Hancock Tax's financial profile includes a Market Risk Adjusted Performance of 0.2%, a Risk of 0.90, and a Risk Adjusted Performance of 0.1%. Based on monthly moving averages, the fund is operating near 3% of its historical performance range.

Key indicators related to John Hancock's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Below Average

90 Days Economic Sensitivity

Slowly supersedes the market

Key risk metrics for John Hancock (3 Months):

Beta

0.35

Alpha

0.08

Risk

0.9

Sharpe Ratio

0.04

Expected Return

0.03

Assets With Similar Volatility

0.81	DNP	Dnp Select Income	Pair Corr
0.87	UTF	Cohen And Steers	Pair Corr
0.66	NAC	Nuveen California Dividend	Pair Corr
0.65	PBRNX	PIMCO Realpath Blend	Pair Corr
0.65	HICSX	Harbor Vertible Securities	Pair Corr
0.61	SSDQX	State Street Target	Pair Corr
0.61	JNYAX	JPMorgan Smartretirement Blend	Pair Corr
0.63	FCPGX	Fidelity Small Cap	Pair Corr
0.68	HFDRX	Hartford Schroders Smallmid	Pair Corr
0.64	DEMCX	Delaware Emerging Markets Steady Growth	Pair Corr
0.69	LLIUX	Lliux	Pair Corr
0.63	WFEMX	Wcm Focused Emerging	Pair Corr
0.61	SSDYX	State Street Target	Pair Corr

Lower Correlation Assets

0.47

CYCL

Centennial Communications Corp

Pair Corr

Sensitivity To Market

Beta analysis for John Hancock Tax evaluates how its price movements correlate with the broader market. With a beta of 0.35, John Hancock reflects measurable exposure to systematic risk. Observed total volatility stands near 0.9%. Asymmetric risk in John Hancock Tax is visible through downside-focused metrics. Downside deviation reads 1.03% and semi-deviation reads 0.92%, isolating the loss-side component of total return variability. A fund’s volatility level is shaped by diversification, sector concentration, and the mix of assets held. For John Hancock Tax, return variability usually comes from the behavior of its holdings and allocation profile.

Current 90-day John Hancock correlation with market (Dow Jones Industrial)

0.08

0.35

Competition

3 Months Beta |John Hancock Tax Demand Trend

Current 90-day John Hancock correlation with market (Dow Jones Industrial)

Downside Risk

The standard deviation reading for John Hancock summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. Comparing John Hancock standard deviation against sector peers reveals whether its volatility is typical or an outlier.

Standard Deviation

0.9

Total price dispersion in John Hancock captures both upside and downside movement. While standard deviation captures total volatility, downside deviation focuses exclusively on the loss side of John Hancock's returns. A complete risk picture of John Hancock emerges when standard deviation and downside deviation are examined together. John Hancock Tax's financial profile includes a Downside Deviation of 1.03, a Downside Variance of 1.06, and a Maximum Drawdown of 4.60.

Fund Volatility Analysis

John Hancock fund volatility is a measure of the speed and extent of John Hancock's price movements. A higher-volatility fund like John Hancock may generate large gains or losses in a short timeframe. In most cases, the higher the volatility, the riskier the fund.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between John Hancock Tax's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.

Projected Return Density Against Market

Over a 90-day investment horizon, John Hancock has a beta of 0.3461. This usually indicates as returns on the market go up, John Hancock's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding John Hancock Tax tends to be smaller as well.

Systematic exposure aligns John Hancock with broad fund market volatility, while unsystematic drivers reflect company or sector-specific developments. John Hancock Tax's financial profile includes a Downside Deviation of 1.03, a Mean Deviation of 0.66, and a Semi Deviation of 0.92.

John Hancock Tax has an alpha of 0.0823, implying that it can generate a 0.0823 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

Fund Risk Measures

Over a 90-day investment horizon, the coefficient of variation of John Hancock is 2614.15. The daily returns are distributed with a variance of 0.81 and standard deviation of 0.9. The mean deviation of John Hancock Tax is currently at 0.67. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96

α	Alpha over Dow Jones	0.08	Details
β	Beta against Dow Jones	0.35	Details
σ	Overall volatility	0.90	Details
Ir	Information ratio	0.09	Details

Fund Return Volatility

Daily return volatility for John Hancock measures how far fund returns deviate from their average on a day-to-day basis. The fund shows 0.898% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial reported 0.9166% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	PDT	PCN	PHK	BTO	NRK	EOI	AIO	CHI	CII	CHY
PDT		0.55	0.56	0.28	0.44	0.65	0.25	0.32	0.28	0.37	PDT
PCN	0.55		0.95	0.71	0.04	0.86	0.17	0.15	0.29	0.3	PCN
PHK	0.56	0.95		0.67	0.18	0.88	0.27	0.23	0.37	0.37	PHK
BTO	0.28	0.71	0.67		0.1	0.65	0.43	0.38	0.55	0.43	BTO
NRK	0.44	0.04	0.18	0.1		0.42	0.84	0.87	0.76	0.83	NRK
EOI	0.65	0.86	0.88	0.65	0.42		0.53	0.51	0.62	0.64	EOI
AIO	0.25	0.17	0.27	0.43	0.84	0.53		0.96	0.95	0.95	AIO
CHI	0.32	0.15	0.23	0.38	0.87	0.51	0.96		0.94	0.97	CHI
CII	0.28	0.29	0.37	0.55	0.76	0.62	0.95	0.94		0.93	CII
CHY	0.37	0.3	0.37	0.43	0.83	0.64	0.95	0.97	0.93		CHY
	PDT	PCN	PHK	BTO	NRK	EOI	AIO	CHI	CII	CHY

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Risk-Adjusted Indicators

Evaluating John Hancock Fund requires separating price momentum from underlying operating strength versus competitors. Risk-adjusted metrics help compare John Hancock's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PDT	0.51	0.00	0.00	-0.01	0.68	-0.56	1.00	-1.14	3.58
PCN	0.48	-0.05	0.00	-0.12	0.00	0.00	0.92	-1.24	4.09
PHK	0.74	-0.04	0.00	-0.08	0.00	0.00	1.50	-1.68	6.01
BTO	1.08	-0.08	0.00	-0.08	0.00	0.00	1.99	-1.99	6.70
NRK	0.48	0.10	0.18	0.26	0.34	-0.62	0.99	-0.94	3.45
EOI	0.84	-0.01	-0.01	-0.01	1.08	-0.84	1.67	-1.81	5.36
AIO	1.02	0.24	0.20	0.23	1.05	-1.13	2.07	-2.09	5.77
CHI	0.91	0.21	0.17	0.24	1.01	-1.00	2.50	-1.82	6.37
CII	0.95	0.14	0.11	0.16	1.14	-1.02	2.20	-2.04	4.87
CHY	0.96	0.19	0.14	0.22	1.10	-1.04	2.22	-1.91	5.85

Risk Metrics, Assumptions & Methodology

NAV dispersion for John Hancock measures the spread of periodic returns around the mean, reflecting exposure variability. Tracking dispersion across rolling windows reveals whether variability is stable, expanding, or contracting.

John Hancock Tax values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that John Hancock Tax is less volatile than Dow Jones Industrial by approximately 1.02x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 8% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

John Hancock Tax exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It is intended to separate routine noise from more speculative bursts in price action. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View John Hancock probability analysis.

Moderate diversification

For the present investment horizon, the measured correlation between John Hancock and Dow Jones stands at 0.36, or Moderate diversification. This chart measures the degree of risk overlap between John Hancock and Dow Jones.

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Additional Risk Indicators

A broader risk-indicator set for John Hancock Tax extends the analysis beyond standard volatility and risk measures. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.

	Risk Adjusted Performance	0.0983
	Market Risk Adjusted Performance	0.2457
	Mean Deviation	0.6558
	Semi Deviation	0.9238
	Downside Deviation	1.03
	Coefficient Of Variation	972.33
	Standard Deviation	0.8903

John Hancock Suggested Diversification Pairs

Pair analysis provides a framework for evaluating relative performance between John Hancock Tax and comparable securities. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.

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Pair diversification lowers aggregate risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the broad market - cannot be eliminated by pairing John Hancock with another position. However, John Hancock's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with John Hancock Tax.