Manulife Multifactor Correlations

MINT Etf

CAD 44.27 0.39 0.89%

The current 90-days correlation between Manulife Multifactor and RBC Quant Dividend is 0.67 (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 Developed moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Manulife Multifactor Correlation With Market

Modest diversification

The correlation between Manulife Multifactor Developed and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Manulife Multifactor Developed 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 Developed to buy it.

Moving together with Manulife Etf

0.75	XEF	iShares Core MSCI	Pair Corr
0.73	ZEA	BMO MSCI EAFE	Pair Corr
0.83	VIU	Vanguard FTSE Developed	Pair Corr
0.93	XIN	iShares MSCI EAFE	Pair Corr
0.95	XFH	iShares Core MSCI	Pair Corr
0.93	ZDM	BMO MSCI EAFE	Pair Corr
0.87	VDU	Vanguard FTSE Developed	Pair Corr
0.97	VEF	Vanguard FTSE Developed	Pair Corr
0.88	XIU	iShares SPTSX 60	Pair Corr
0.71	XSP	iShares Core SP	Pair Corr
0.87	XIC	iShares Core SPTSX	Pair Corr
0.87	ZCN	BMO SPTSX Capped	Pair Corr
0.92	ZEB	BMO SPTSX Equal	Pair Corr

Moving against Manulife Etf

0.58	TCLB	TD Canadian Long	Pair Corr
0.42	ZLI	BMO Low Volatility	Pair Corr
0.4	XBB	iShares Canadian Universe	Pair Corr
0.39	ZAG	BMO Aggregate Bond	Pair Corr

Related Correlations Analysis

	RUD	XDU	XEM	ZEO	DRFC	XPF	ZSU	FCUD	ENCL	TINF
RUD		0.43	0.34	-0.01	0.53	0.74	0.47	-0.17	0.01	-0.24	RUD
XDU	0.43		0.0	0.34	0.34	0.09	0.42	0.2	0.33	0.4	XDU
XEM	0.34	0.0		-0.21	-0.07	0.19	-0.11	0.11	-0.18	0.25	XEM
ZEO	-0.01	0.34	-0.21		0.1	-0.3	0.12	-0.04	1.0	0.08	ZEO
DRFC	0.53	0.34	-0.07	0.1		0.49	0.4	-0.05	0.11	-0.19	DRFC
XPF	0.74	0.09	0.19	-0.3	0.49		0.35	-0.39	-0.29	-0.33	XPF
ZSU	0.47	0.42	-0.11	0.12	0.4	0.35		-0.45	0.13	-0.06	ZSU
FCUD	-0.17	0.2	0.11	-0.04	-0.05	-0.39	-0.45		-0.04	0.38	FCUD
ENCL	0.01	0.33	-0.18	1.0	0.11	-0.29	0.13	-0.04		0.08	ENCL
TINF	-0.24	0.4	0.25	0.08	-0.19	-0.33	-0.06	0.38	0.08		TINF
	RUD	XDU	XEM	ZEO	DRFC	XPF	ZSU	FCUD	ENCL	TINF

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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

ENCL	+ 1.0	ZEO
XPF	+ 0.74	RUD
DRFC	+ 0.53	RUD
XPF	+ 0.49	DRFC
ZSU	+ 0.47	RUD
XDU	+ 0.43	RUD

High negative correlations

FCUD	- 0.45	ZSU
FCUD	- 0.39	XPF
TINF	- 0.33	XPF
XPF	- 0.3	ZEO
ENCL	- 0.29	XPF
TINF	- 0.24	RUD

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
RUD	0.55	0.00	(0.04)	0.08	0.70	(0.58)	1.19	(1.01)	3.71
XDU	0.51	(0.01)	(0.09)	0.04	0.64	(0.55)	1.18	(1.00)	2.93
XEM	0.72	0.06	0.02	0.24	0.81	(0.82)	1.45	(1.24)	4.63
ZEO	0.72	(0.01)	0.00	0.21	0.00	0.00	1.41	(1.65)	5.58
DRFC	0.89	0.06	0.01	0.21	1.80	(0.92)	1.25	(1.56)	11.03
XPF	0.25	0.00	(0.15)	0.09	0.27	(0.25)	0.39	(0.51)	1.48
ZSU	0.11	0.00	(0.46)	0.01	0.06	(0.16)	0.30	(0.22)	0.68
FCUD	0.53	(0.12)	0.00	(0.18)	0.00	0.00	1.09	(1.11)	7.24
ENCL	0.79	0.00	(0.06)	0.07	1.20	(0.79)	1.46	(1.70)	6.02
TINF	0.39	(0.01)	(0.12)	0.01	0.56	(0.36)	0.72	(1.04)	2.36

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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