Jhancock Diversified Macro Fund Market Value
| JDJIX Fund | USD 10.29 0.03 0.29% |
| Symbol | Jhancock |
Jhancock Diversified '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 Jhancock Diversified'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 Jhancock Diversified.
| 10/18/2023 |
| 04/15/2024 |
If you would invest 0.00 in Jhancock Diversified on October 18, 2023 and sell it all today you would earn a total of 0.00 from holding Jhancock Diversified Macro or generate 0.0% return on investment in Jhancock Diversified over 180 days. Jhancock Diversified is related to or competes with Regional Bank, Regional Bank, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, and Regional Bank. The fund pursues its investment objective by utilizing a multi-asset, quantitatively-driven investment strategy that see... More
Jhancock Diversified 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 Jhancock Diversified'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 Jhancock Diversified Macro upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5674 | |||
| Information Ratio | 0.3164 | |||
| Maximum Drawdown | 2.4 | |||
| Value At Risk | (0.52) | |||
| Potential Upside | 0.9677 |
Jhancock Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jhancock Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jhancock Diversified's standard deviation. In reality, there are many statistical measures that can use Jhancock Diversified historical prices to predict the future Jhancock Diversified's volatility.| Risk Adjusted Performance | 0.2946 | |||
| Jensen Alpha | 0.2041 | |||
| Total Risk Alpha | 0.1664 | |||
| Sortino Ratio | 0.2654 | |||
| Treynor Ratio | 1.02 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jhancock Diversified'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.
Jhancock Diversified Backtested Returns
Jhancock Diversified appears to be very steady, given 3 months investment horizon. Jhancock Diversified holds Efficiency (Sharpe) Ratio of 0.46, which attests that the entity had a 0.46% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Jhancock Diversified, which you can use to evaluate the volatility of the entity. Please utilize Jhancock Diversified's Market Risk Adjusted Performance of 1.03, coefficient of variation of 208.06, and Risk Adjusted Performance of 0.2946 to validate if our risk estimates are consistent with your expectations. The fund retains a Market Volatility (i.e., Beta) of 0.21, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Jhancock Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jhancock Diversified is expected to be smaller as well.
Auto-correlation | -0.93 |
Near perfect reversele predictability
Jhancock Diversified Macro has near perfect reversele predictability. Overlapping area represents the amount of predictability between Jhancock Diversified time series from 18th of October 2023 to 16th of January 2024 and 16th of January 2024 to 15th 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 Jhancock Diversified price movement. The serial correlation of -0.93 indicates that approximately 93.0% of current Jhancock Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.93 | |
| Spearman Rank Test | -0.91 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Jhancock Diversified lagged returns against current returns
Autocorrelation, which is Jhancock Diversified 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 Jhancock Diversified's mutual fund expected returns. We can calculate the autocorrelation of Jhancock Diversified returns to help us make a trade decision. For example, suppose you find that Jhancock Diversified 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 |
Jhancock Diversified 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 Jhancock Diversified mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jhancock Diversified mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jhancock Diversified mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jhancock Diversified Lagged Returns
When evaluating Jhancock Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jhancock Diversified mutual fund have on its future price. Jhancock Diversified 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, Jhancock Diversified autocorrelation shows the relationship between Jhancock Diversified mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jhancock Diversified Macro.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Jhancock Diversified in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Jhancock Diversified's short interest history, or implied volatility extrapolated from Jhancock Diversified options trading.
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Jhancock Diversified 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.