John Hancock Disciplined Fund Market Value
| JVMAX Fund | USD 26.62 0.10 0.38% |
| Symbol | John |
John Hancock 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to John Hancock's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of John Hancock.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in John Hancock on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding John Hancock Disciplined or generate 0.0% return on investment in John Hancock over 270 days. John Hancock is related to or competes with New World, Bond Fund, Washington Mutual, Europacific Growth, and Mfs Value. Under normal circumstances, the fund seeks to achieve its investment objectives by investing at least 80 percent of its ... More
John Hancock Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure John Hancock's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess John Hancock Disciplined upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7973 | |||
| Information Ratio | 0.0022 | |||
| Maximum Drawdown | 3.23 | |||
| Value At Risk | (1.39) | |||
| Potential Upside | 1.22 |
John Hancock Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for John Hancock's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as John Hancock's standard deviation. In reality, there are many statistical measures that can use John Hancock historical prices to predict the future John Hancock's volatility.| Risk Adjusted Performance | 0.0743 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.002 | |||
| Treynor Ratio | 0.067 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of John Hancock's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
John Hancock Disciplined Backtested Returns
We consider John Hancock very steady. John Hancock Disciplined holds Efficiency (Sharpe) Ratio of 0.089, which attests that the entity had a 0.089% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for John Hancock Disciplined, which you can use to evaluate the volatility of the entity. Please check out John Hancock's Downside Deviation of 0.7973, market risk adjusted performance of 0.077, and Risk Adjusted Performance of 0.0743 to validate if the risk estimate we provide is consistent with the expected return of 0.0657%. The fund retains a Market Volatility (i.e., Beta) of 1.15, which attests to a somewhat significant risk relative to the market. John Hancock returns are very sensitive to returns on the market. As the market goes up or down, John Hancock is expected to follow.
Auto-correlation | -0.55 |
Good reverse predictability
John Hancock Disciplined has good reverse predictability. Overlapping area represents the amount of predictability between John Hancock time series from 28th of July 2023 to 10th of December 2023 and 10th of December 2023 to 23rd of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of John Hancock Disciplined price movement. The serial correlation of -0.55 indicates that about 55.0% of current John Hancock price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 0.85 |
John Hancock Disciplined lagged returns against current returns
Autocorrelation, which is John Hancock mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting John Hancock's mutual fund expected returns. We can calculate the autocorrelation of John Hancock returns to help us make a trade decision. For example, suppose you find that John Hancock has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
John Hancock regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If John Hancock mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if John Hancock mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in John Hancock mutual fund over time.
Current vs Lagged Prices |
| Timeline |
John Hancock Lagged Returns
When evaluating John Hancock's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of John Hancock mutual fund have on its future price. John Hancock autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, John Hancock autocorrelation shows the relationship between John Hancock mutual fund current value and its past values and can show if there is a momentum factor associated with investing in John Hancock Disciplined.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out John Hancock Correlation, John Hancock Volatility and John Hancock Alpha and Beta module to complement your research on John Hancock. Note that the John Hancock Disciplined information on this page should be used as a complementary analysis to other John Hancock's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
John Hancock technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.