J Hancock Ii Fund Market Value
| JGHTX Fund | USD 12.60 0.12 0.96% |
| Symbol | JGHTX |
J 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 J 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 J Hancock.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in J Hancock on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding J Hancock Ii or generate 0.0% return on investment in J Hancock over 30 days. J Hancock is related to or competes with Regional Bank, Regional Bank, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, and Multimanager Lifestyle. The fund invests substantially all of its assets in underlying funds using an asset allocation strategy designed for inv... More
J 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 J 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 J Hancock Ii upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.721 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.21 | |||
| Value At Risk | (1.14) | |||
| Potential Upside | 1.0 |
J Hancock Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for J Hancock's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as J Hancock's standard deviation. In reality, there are many statistical measures that can use J Hancock historical prices to predict the future J Hancock's volatility.| Risk Adjusted Performance | 0.072 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0675 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of J 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.
J Hancock Ii Backtested Returns
We consider J Hancock very steady. J Hancock Ii holds Efficiency (Sharpe) Ratio of 0.0832, which attests that the fund had a 0.0832% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for J Hancock Ii, which you can use to evaluate the volatility of the entity. Please check out J Hancock's downside deviation of 0.721, and Semi Deviation of 0.5944 to validate if the risk estimate we provide is consistent with the expected return of 0.0561%. The entity retains a Market Volatility (i.e., Beta) of 1.0, which attests to possible diversification benefits within a given portfolio. J Hancock returns are very sensitive to returns on the market. As the market goes up or down, J Hancock is expected to follow.
Auto-correlation | 0.40 |
Average predictability
J Hancock Ii has average predictability. Overlapping area represents the amount of predictability between J Hancock time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 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 J Hancock Ii price movement. The serial correlation of 0.4 indicates that just about 40.0% of current J Hancock price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
J Hancock Ii lagged returns against current returns
Autocorrelation, which is J 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 J Hancock's mutual fund expected returns. We can calculate the autocorrelation of J Hancock returns to help us make a trade decision. For example, suppose you find that J 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 |
J 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 J Hancock mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if J 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 J Hancock mutual fund over time.
Current vs Lagged Prices |
| Timeline |
J Hancock Lagged Returns
When evaluating J Hancock's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of J Hancock mutual fund have on its future price. J 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, J Hancock autocorrelation shows the relationship between J Hancock mutual fund current value and its past values and can show if there is a momentum factor associated with investing in J Hancock Ii.
Regressed Prices |
| Timeline |
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J 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.