Manulife Multifactor Correlations

MCSM Etf

CAD 69.51 0.79 1.15%

The current 90-days correlation between Manulife Multifactor and Desjardins Alt LongShort is 0.36 (i.e., Weak 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

Very poor diversification

The correlation between Manulife Multifactor Canadian and DJI is 0.88 (i.e., Very poor 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

0.99	XMD	iShares SPTSX Completion	Pair Corr
0.99	XCS	iShares SPTSX Small	Pair Corr
0.92	XIU	iShares SPTSX 60	Pair Corr
0.67	XSP	iShares Core SP	Pair Corr
0.96	XIC	iShares Core SPTSX	Pair Corr
0.96	ZCN	BMO SPTSX Capped	Pair Corr
0.85	ZEB	BMO SPTSX Equal	Pair Corr
0.8	ZUD	BMO Dividend Hedged	Pair Corr
0.86	HXU	BetaPro SP TSX	Pair Corr
0.71	XSTB	iShares ESG Aware	Pair Corr
0.78	ZBK	BMO Equal Weight	Pair Corr
0.99	HAC	Global X Seasonal	Pair Corr
0.89	MINT-B	Manulife Multifactor	Pair Corr
0.95	XEN	iShares Jantzi Social	Pair Corr
0.96	PDIV	Purpose Enhanced Dividend	Pair Corr
0.78	TCLV	TD Q Canadian	Pair Corr
0.98	NMNG	Ninepoint Mining Evo	Pair Corr
0.83	WSHR	Wealthsimple Shariah	Pair Corr
0.84	TERM	Manulife Smart Short	Pair Corr
0.75	XSB	iShares Canadian Short	Pair Corr
0.93	DGRC	CI Canada Quality	Pair Corr
0.9	DXBG	Dynamic Global Fixed	Pair Corr
0.79	HPF	Harvest Energy Leaders	Pair Corr
0.85	XSH	iShares Core Canadian	Pair Corr
0.93	DXAU	Dynamic Active Global	Pair Corr
0.87	ZCON	BMO Conservative ETF	Pair Corr
0.89	UDIV	Manulife Smart Dividend	Pair Corr
0.94	GCTB	Guardian Ultra Short	Pair Corr
0.85	ZMID	BMO SP Mid	Pair Corr
0.97	AMAX	Hamilton Gold Producer	Pair Corr
0.66	FLUS	Franklin Large Cap	Pair Corr

Related Correlations Analysis

	MCLC	XCSR	ZDJ	ZUB	XMU	FXM	XMH	DANC
MCLC		0.54	0.91	0.84	-0.15	0.96	0.96	0.64	MCLC
XCSR	0.54		0.61	0.55	-0.21	0.32	0.48	0.71	XCSR
ZDJ	0.91	0.61		0.94	-0.22	0.83	0.95	0.7	ZDJ
ZUB	0.84	0.55	0.94		-0.39	0.78	0.89	0.66	ZUB
XMU	-0.15	-0.21	-0.22	-0.39		-0.13	-0.13	-0.39	XMU
FXM	0.96	0.32	0.83	0.78	-0.13		0.93	0.51	FXM
XMH	0.96	0.48	0.95	0.89	-0.13	0.93		0.59	XMH
DANC	0.64	0.71	0.7	0.66	-0.39	0.51	0.59		DANC
	MCLC	XCSR	ZDJ	ZUB	XMU	FXM	XMH	DANC

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

FXM	+ 0.96	MCLC
XMH	+ 0.96	MCLC
XMH	+ 0.95	ZDJ
ZUB	+ 0.94	ZDJ
XMH	+ 0.93	FXM
ZDJ	+ 0.91	MCLC

High negative correlations

DANC	- 0.39	XMU
XMU	- 0.39	ZUB
XMU	- 0.22	ZDJ
XMU	- 0.21	XCSR
XMU	- 0.15	MCLC
XMH	- 0.13	XMU

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
MCLC	0.55	0.13	0.09	0.36	0.72	(0.56)	1.11	(1.14)	3.83
XCSR	0.73	0.05	0.03	0.15	0.98	(0.77)	1.57	(1.57)	5.03
ZDJ	0.60	0.04	0.02	0.12	0.55	(0.69)	1.23	(0.95)	3.94
ZUB	0.93	0.24	0.20	0.50	0.74	(1.07)	2.36	(1.34)	5.97
XMU	0.41	(0.02)	(0.15)	(0.02)	0.47	(0.51)	0.93	(0.79)	2.53
FXM	0.56	0.18	0.12	0.61	0.69	(0.63)	1.30	(1.19)	3.84
XMH	0.70	0.15	0.16	0.32	0.49	(0.83)	1.75	(1.28)	4.79
DANC	0.09	(0.01)	(0.39)	(0.16)	0.13	(0.11)	0.22	(0.22)	0.90

Be your own money manager

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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