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JHancock Diversified Macro Fund (JDJIX) Sharpe Ratio: 1.25

Mutual Fund · Currency in USD · Last updated Jun 3, 2026

The fund pursues its investment objective by utilizing a multi-asset, quantitatively-driven investment strategy that seeks to provide exposure to diversified sources of return. The manager will allocate the fund's assets across a range of asset classes comprising equities, fixed income, foreign currencies, and commodities. The fund is generally intended to have a low correlation to the equity and bond markets.

JDJIX's Sharpe Ratio of 1.25 indicates that for each unit of volatility, it generates 1.25 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

JDJIX Sharpe Ratio Rank

JDJIX Sharpe Ratio Rank: 18.418
Concerning

JDJIX ranks above 18.4% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

JDJIX Sharpe Ratio Market Positioning

The chart shows JDJIX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.42 or lower
  • Yellow zone (middle 50%): 1.42 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 4.66+
  • Median: 2.09 — half of all investments score higher

How it compares to other similar mutual funds

The table compares JHancock Diversified Macro Fund's Sharpe Ratio with other mutual funds in the Macro Trading category across multiple time periods, showing how JDJIX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
EGRAXEaton Vance Global Macro Absolute Return Advantage Fund Class A5.41
MBXAXCatalyst/Millburn Hedge Strategy Fund3.08
OTRFXOnTrack Core Fund2.90
QALTXQuantified Alternative Investment Fund2.57
RDMIXRational/ReSolve Adaptive Asset Allocation Fund2.49
REMIXStandpoint Multi-Asset Fund Investor Class2.45
PCBAXBlackRock Tactical Opportunities Fund2.41
FARYXFulcrum Diversified Absolute Return Fund2.27
GPAIXGrant Park Multi Alternative Strategies Fund2.13
CGFIXabrdn Global Absolute Return Strategies Fund2.05
JDJIXJHancock Diversified Macro Fund1.25

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows JDJIX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when JDJIX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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