JDJIX vs. JAAAX
Compare and contrast key facts about JHancock Diversified Macro Fund (JDJIX) and John Hancock Funds Alternative Asset Allocation Fund (JAAAX).
JDJIX is managed by John Hancock. It was launched on Jul 28, 2019. JAAAX is managed by John Hancock. It was launched on Jan 1, 2009.
Performance
JDJIX vs. JAAAX - Performance Comparison
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JDJIX vs. JAAAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 5.05% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
JAAAX John Hancock Funds Alternative Asset Allocation Fund | 2.52% | 6.18% | 6.59% | 5.85% | -3.12% | 4.77% | 4.36% | 2.18% |
Returns By Period
In the year-to-date period, JDJIX achieves a 5.05% return, which is significantly higher than JAAAX's 2.52% return.
JDJIX
- 1D
- 0.11%
- 1M
- -2.02%
- YTD
- 5.05%
- 6M
- 2.42%
- 1Y
- -4.81%
- 3Y*
- 0.45%
- 5Y*
- 2.58%
- 10Y*
- —
JAAAX
- 1D
- 0.41%
- 1M
- -1.56%
- YTD
- 2.52%
- 6M
- 3.59%
- 1Y
- 8.05%
- 3Y*
- 6.41%
- 5Y*
- 4.12%
- 10Y*
- 4.05%
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JDJIX vs. JAAAX - Expense Ratio Comparison
JDJIX has a 1.39% expense ratio, which is higher than JAAAX's 0.72% expense ratio.
Return for Risk
JDJIX vs. JAAAX — Risk / Return Rank
JDJIX
JAAAX
JDJIX vs. JAAAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) and John Hancock Funds Alternative Asset Allocation Fund (JAAAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| JDJIX | JAAAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.57 | 1.75 | -2.32 |
Sortino ratioReturn per unit of downside risk | -0.68 | 2.35 | -3.03 |
Omega ratioGain probability vs. loss probability | 0.91 | 1.39 | -0.49 |
Calmar ratioReturn relative to maximum drawdown | -0.40 | 1.88 | -2.28 |
Martin ratioReturn relative to average drawdown | -0.59 | 9.41 | -10.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JDJIX | JAAAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.57 | 1.75 | -2.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | 0.98 | -0.69 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.93 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.18 | 0.84 | -0.66 |
Correlation
The correlation between JDJIX and JAAAX is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
JDJIX vs. JAAAX - Dividend Comparison
JDJIX's dividend yield for the trailing twelve months is around 0.29%, less than JAAAX's 1.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 0.29% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 0.00% | 0.00% | 0.00% | 0.00% |
JAAAX John Hancock Funds Alternative Asset Allocation Fund | 1.49% | 1.53% | 1.17% | 1.71% | 3.02% | 1.72% | 0.74% | 3.38% | 1.99% | 1.23% | 0.77% | 2.78% |
Drawdowns
JDJIX vs. JAAAX - Drawdown Comparison
The maximum JDJIX drawdown since its inception was -19.58%, which is greater than JAAAX's maximum drawdown of -15.72%. Use the drawdown chart below to compare losses from any high point for JDJIX and JAAAX.
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Drawdown Indicators
| JDJIX | JAAAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.58% | -15.72% | -3.86% |
Max Drawdown (1Y)Largest decline over 1 year | -10.53% | -4.43% | -6.10% |
Max Drawdown (5Y)Largest decline over 5 years | -19.58% | -6.28% | -13.30% |
Max Drawdown (10Y)Largest decline over 10 years | — | -12.64% | — |
Current DrawdownCurrent decline from peak | -14.43% | -1.61% | -12.82% |
Average DrawdownAverage peak-to-trough decline | -7.28% | -2.06% | -5.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.10% | 0.88% | +6.22% |
Volatility
JDJIX vs. JAAAX - Volatility Comparison
JHancock Diversified Macro Fund (JDJIX) has a higher volatility of 1.66% compared to John Hancock Funds Alternative Asset Allocation Fund (JAAAX) at 1.16%. This indicates that JDJIX's price experiences larger fluctuations and is considered to be riskier than JAAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JDJIX | JAAAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.66% | 1.16% | +0.50% |
Volatility (6M)Calculated over the trailing 6-month period | 4.94% | 2.74% | +2.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.28% | 4.73% | +3.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.90% | 4.22% | +4.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.20% | 4.38% | +4.82% |