Manulife Multifactor Correlations

MCSM Etf

CAD 42.80 0.18 0.42%

The current 90-days correlation between Manulife Multifactor and iShares SPTSX Completion is 0.69 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Manulife Multifactor moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Manulife Multifactor Canadian moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Manulife Multifactor Correlation With Market

Weak diversification

The correlation between Manulife Multifactor Canadian and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Manulife Multifactor Canadian and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Manulife Multifactor could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Manulife Multifactor when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Manulife Multifactor - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Manulife Multifactor Canadian to buy it.

Moving together with Manulife Etf

0.97	XMD	iShares SPTSX Completion	Pair Corr
0.98	XCS	iShares SPTSX Small	Pair Corr
0.73	XIT	iShares SPTSX Capped	Pair Corr
0.72	HOG	Global X Pipelines	Pair Corr
0.64	ZGD	BMO Equal Weight	Pair Corr

Related Correlations Analysis

	XMD	XCS	MCSM	ZUAG-U	XHB	EDGF	SOLR	0P0000OXA6	ALA-PA	ECO
XMD		0.96	0.97	-0.68	0.66	0.37	-0.58	0.9	-0.3	0.08	XMD
XCS	0.96		0.98	-0.53	0.63	0.44	-0.45	0.79	-0.38	0.24	XCS
MCSM	0.97	0.98		-0.61	0.62	0.45	-0.49	0.84	-0.38	0.18	MCSM
ZUAG-U	-0.68	-0.53	-0.61		-0.28	-0.15	0.53	-0.83	0.29	0.41	ZUAG-U
XHB	0.66	0.63	0.62	-0.28		0.31	-0.5	0.65	-0.31	0.0	XHB
EDGF	0.37	0.44	0.45	-0.15	0.31		0.01	0.34	-0.48	0.29	EDGF
SOLR	-0.58	-0.45	-0.49	0.53	-0.5	0.01		-0.63	-0.04	0.16	SOLR
0P0000OXA6	0.9	0.79	0.84	-0.83	0.65	0.34	-0.63		-0.28	-0.21	0P0000OXA6
ALA-PA	-0.3	-0.38	-0.38	0.29	-0.31	-0.48	-0.04	-0.28		-0.23	ALA-PA
ECO	0.08	0.24	0.18	0.41	0.0	0.29	0.16	-0.21	-0.23		ECO
	XMD	XCS	MCSM	ZUAG-U	XHB	EDGF	SOLR	0P0000OXA6	ALA-PA	ECO

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

MCSM	+ 0.98	XCS
MCSM	+ 0.97	XMD
XCS	+ 0.96	XMD
0P0000OXA6	+ 0.9	XMD
0P0000OXA6	+ 0.84	MCSM
0P0000OXA6	+ 0.79	XCS

High negative correlations

0P0000OXA6	- 0.83	ZUAG-U
ZUAG-U	- 0.68	XMD
0P0000OXA6	- 0.63	SOLR
ZUAG-U	- 0.61	MCSM
SOLR	- 0.58	XMD
ZUAG-U	- 0.53	XCS

Manulife Multifactor Constituents Risk-Adjusted Indicators

There is a big difference between Manulife Etf performing well and Manulife Multifactor ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Manulife Multifactor's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
XMD	0.56	0.09	0.01	0.35	0.64	(0.61)	1.21	(1.20)	3.46
XCS	0.65	0.04	(0.03)	0.21	0.80	(0.66)	1.64	(1.23)	3.62
MCSM	0.65	0.04	(0.03)	0.22	0.83	(0.66)	1.44	(1.35)	4.61
ZUAG-U	0.14	(0.03)	0.00	(2.55)	0.00	0.00	0.46	(0.46)	2.35
XHB	0.20	0.01	(0.41)	0.19	0.05	(0.26)	0.51	(0.31)	1.07
EDGF	0.82	0.00	(0.06)	0.09	1.13	(1.21)	2.20	(1.86)	6.42
SOLR	6.36	0.07	0.00	0.04	0.00	0.00	25.00	(20.00)	50.00
0P0000OXA6	0.51	0.13	0.04	1.06	0.45	(0.56)	1.15	(1.18)	4.34
ALA-PA	0.52	0.02	(0.11)	0.29	0.65	(0.62)	1.15	(1.45)	3.73
ECO	1.51	0.07	(0.05)	(0.01)	1.90	(1.74)	3.84	(3.00)	11.63

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Our tools can tell you how much better you can do entering a position in Manulife Multifactor without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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