JDIVX Mutual Fund Volatility

JDIVX -  USA Fund  

USD 14.59  0.56  3.99%

We consider John Hancock very steady. John Hancock Disciplined holds Efficiency (Sharpe) Ratio of 0.0137, which attests that the entity had 0.0137% of return per unit of risk over the last 3 months. Our standpoint towards determining the volatility of a fund is to use all available market data together with fund-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for John Hancock Disciplined, which you can use to evaluate the future volatility of the entity. Please check out John Hancock market risk adjusted performance of 0.2919, and Risk Adjusted Performance of (0.031526) to validate if the risk estimate we provide is consistent with the expected return of 0.0111%.

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John Hancock Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of JDIVX daily returns, and it is calculated using variance and standard deviation. We also use JDIVX's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of John Hancock volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Moves indifferently to market moves

John Hancock Market Sensitivity And Downside Risk

John Hancock's beta coefficient measures the volatility of JDIVX mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents JDIVX mutual fund's returns against your selected market. In other words, John Hancock's beta of -0.18 provides an investor with an approximation of how much risk John Hancock mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what JDIVX's beta means in this case. As returns on the market increase, returns on owning John Hancock are expected to decrease at a much lower rate. During the bear market, John Hancock is likely to outperform the market.
3 Months Beta |Analyze John Hancock Disciplined Demand Trend
Check current 90 days John Hancock correlation with market (DOW)

JDIVX Beta

    
  -0.18  
JDIVX standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.81  
It is essential to understand the difference between upside risk (as represented by John Hancock's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of John Hancock stock's daily returns or price. Since the actual investment returns on holding a position in John Hancock stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in John Hancock.

John Hancock Disciplined Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. John Hancock Disciplined Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

John Hancock Projected Return Density Against Market

Assuming the 90 days horizon John Hancock Disciplined has a beta of -0.1782 . This indicates as returns on benchmark increase, returns on holding John Hancock are expected to decrease at a much lower rate. During the bear market, however, John Hancock Disciplined is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to John Hancock or John Hancock sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that John Hancock stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JDIVX stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. John Hancock Disciplined is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

John Hancock Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to John Hancock or John Hancock sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that John Hancock stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JDIVX stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of John Hancock is 7294.09. The daily returns are distributed with a variance of 0.66 and standard deviation of 0.81. The mean deviation of John Hancock Disciplined is currently at 0.62. For similar time horizon, the selected benchmark (DOW) has volatility of 0.72
α
Alpha over DOW
-0.05
β
Beta against DOW-0.18
σ
Overall volatility
0.81
Ir
Information ratio -0.06

John Hancock Mutual Fund Return Volatility

John Hancock historical daily return volatility represents how much John Hancock stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.8113% volatility of returns over 90 . By contrast, DOW inherits 0.6741% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About John Hancock Volatility

Volatility is a rate at which the price of John Hancock or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of John Hancock may increase or decrease. In other words, similar to JDIVX's beta indicator, it measures the risk of John Hancock and helps estimate the fluctuations that may happen in a short period of time. So if prices of John Hancock fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The fund normally invests at least 80 percent of its net assets in a portfolio of equity and equity-related securities issued by non-U.S. companies of any capitalization size. John Hancock is traded on NASDAQ Exchange in the United States.

John Hancock Investment Opportunity

John Hancock Disciplined has a volatility of 0.81 and is 1.21 times more volatile than DOW. of all equities and portfolios are less risky than John Hancock. Compared to the overall equity markets, volatility of historical daily returns of John Hancock Disciplined is lower than 6 () of all global equities and portfolios over the last 90 days. Use John Hancock Disciplined to enhance returns of your portfolios. The mutual fund experiences an unexpected upward trend. Watch out for market signals. Check odds of John Hancock to be traded at $17.51 in 90 days. . Let's try to break down what JDIVX's beta means in this case. As returns on the market increase, returns on owning John Hancock are expected to decrease at a much lower rate. During the bear market, John Hancock is likely to outperform the market.

Good diversification

The correlation between John Hancock Disciplined and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Disciplined and DJI in the same portfolio assuming nothing else is changed.

John Hancock Additional Risk Indicators

The analysis of John Hancock's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in John Hancock's investment and either accepting that risk or mitigating it. Along with some common measures of John Hancock stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.031526)
Market Risk Adjusted Performance0.2919
Mean Deviation0.6678
Coefficient Of Variation(2,169)
Standard Deviation0.8728
Variance0.7618
Information Ratio(0.06)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

John Hancock Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against John Hancock as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. John Hancock's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, John Hancock's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to John Hancock Disciplined.
Please see Risk vs Return Analysis. 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.

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When running John Hancock Disciplined price analysis, check to measure John Hancock's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy John Hancock is operating at the current time. Most of John Hancock's value examination focuses on studying past and present price action to predict the probability of John Hancock's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move John Hancock's price. Additionally, you may evaluate how the addition of John Hancock to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between John Hancock's value and its price as these two are different measures arrived at by different means. Investors typically determine John Hancock value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, John Hancock's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.