Projected Return Density against Market
Considering 30-days investment horizon, John has beta of 0.2 . This indicates as returns on market go up, John avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding John Hancock Income Securities Trust will be expected to be much smaller as well. Moreover, John Hancock Income Securities Trust has alpha of 0.2 implying that it can potentially generate 0.2% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of John is 184.63. The daily returns are destributed with a variance of 0.32 and standard deviation of 0.57. The mean deviation of John Hancock Income Securities Trust is currently at 0.42. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.55
Actual Return Volatility
John Hancock Income Securities Trust has volatility of 0.57%
on return distribution over 30 days investment horizon. S&P 500 shows 0.55% volatility of returns over 30 trading days.