Manulife Financial Corp Stock Volatility
| MFC Stock | CAD 54.72 0.66 1.22% |
Sharpe Ratio = 0.0833
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Estimated Market Risk
| 1.44 actual daily | 12 Higher volatility than 12% of comparable assets |
Expected Return
| 0.12 actual daily | 2 Outperformed by 98% of comparable assets |
Risk-Adjusted Return
| 0.08 actual daily | 6 6th percentile in risk-adjusted performance |
Latest disclosures for Manulife Financial Corp show a Market Risk Adjusted Performance of -1.6%, a Risk of 1.44, and a Risk Adjusted Performance of 0.1%. Monthly moving average analysis places it at roughly 6% of its prior performance bandwidth.
Key indicators related to Manulife Financial's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Manulife Financial (3 Months):
Beta -0.05 | Alpha 0.08 | Risk 1.44 | Sharpe Ratio 0.08 | Expected Return 0.12 |
Assets With Similar Volatility
| 0.64 | BLK | BlackRock CDR | PairCorr |
| 0.64 | BLK | BLACKROCK CDR | PairCorr |
| 0.63 | ZMIC | Micron Technology BMO | PairCorr |
| 0.96 | LCS | Brompton Lifeco Split | PairCorr |
Lower Correlation Assets
Sensitivity To Market
Manulife Financial Corp beta of -0.0492 quantifies how much of its total volatility (1.44%) is attributable to market-wide factors versus idiosyncratic drivers. Manulife Financial Corp return dispersion over the lookback window shows standard deviation near 1.44% and semi-deviation near 1.41%, providing a baseline for comparison across peer instruments. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Manulife Financial Corp Demand TrendCurrent 90-day Manulife Financial correlation with market (Dow Jones Industrial)Downside Risk
Manulife daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. Shifting the lookback window for Manulife reveals whether current dispersion is consistent with its longer-term pattern. Changes in Manulife standard deviation over successive periods may signal shifts in the underlying return regime.
Standard Deviation | 1.44 |
An important distinction for Manulife Financial is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in Manulife Financial's daily returns from favorable moves. Total dispersion for Manulife Financial captures both favorable and adverse price swings. Downside deviation focuses exclusively on the adverse side of Manulife Financial's return distribution. Latest disclosures for Manulife Financial Corp show a Downside Deviation of 1.49, a Downside Variance of 2.22, and a Maximum Drawdown of 6.69.
Stock Volatility Analysis
Tracking Manulife Financial volatility quantifies the degree of price uncertainty over a given period. Highly volatile stocks like Manulife Financial tend to experience wider price swings in both directions. Periods of high volatility for Manulife Financial present both elevated risk and wider price ranges for traders. When Manulife Financial experiences high volatility, its stock price shifts dramatically in a short period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Manulife Financial Corp's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, Manulife Financial Corp has a beta of -0.0492. This indicates that as returns on the benchmark increase, returns on Manulife Financial tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Manulife Financial Corp tends to outperform the market.Market risk ties Manulife Financial to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. Latest disclosures for Manulife Financial Corp show a Downside Deviation of 1.49, a Mean Deviation of 1.11, and a Semi Deviation of 1.41.
Predicted Return Distribution |
| Density |
What Drives Manulife Financial's Price Volatility?
Industry Dynamics
Sector-level catalysts in the Insurance sector often set the baseline volatility regime for Manulife Financial.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.Manulife Financial's Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for Manulife Financial's.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of Manulife Financial is 1200.47. The daily returns are distributed with a variance of 2.08 and standard deviation of 1.44. The mean deviation of Manulife Financial Corp is currently at 1.1. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | -0.0492 | |
σ | Overall volatility | 1.44 | |
Ir | Information ratio | 0.05 |
Stock Return Volatility
Manulife Financial daily volatility tracks how widely stock returns have moved around the mean across the selected time frame. The firm reflects 1.4437% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9237% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.97 | 0.91 | 0.85 | 0.14 | 0.02 | 0.08 | GWO | ||
| 0.97 | 0.91 | 0.87 | 0.05 | 0.11 | 0.13 | POW | ||
| 0.91 | 0.91 | 0.81 | 0.18 | -0.03 | 0.06 | NA | ||
| 0.85 | 0.87 | 0.81 | 0.14 | 0.33 | 0.37 | SLF | ||
| 0.14 | 0.05 | 0.18 | 0.14 | -0.34 | 0.16 | FFH | ||
| 0.02 | 0.11 | -0.03 | 0.33 | -0.34 | 0.58 | PWF-PZ | ||
| 0.08 | 0.13 | 0.06 | 0.37 | 0.16 | 0.58 | IFC | ||
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
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Risk-Adjusted Indicators
Return momentum in Manulife Stock is more useful when tested against peer-relative fundamentals and risk. Reviewing Manulife Financial's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GWO | 0.92 | 0.30 | 0.23 | 29.29 | 0.95 | 2.05 | 4.92 | |||
| POW | 1.15 | 0.24 | 0.14 | 0.95 | 1.49 | 2.48 | 6.48 | |||
| NA | 1.01 | 0.36 | 0.34 | -2.29 | 0.65 | 2.32 | 8.89 | |||
| SLF | 1.04 | 0.13 | 0.09 | -2.16 | 1.31 | 2.02 | 8.92 | |||
| FFH | 1.08 | -0.02 | 0.00 | -0.07 | 0.00 | 2.45 | 11.30 | |||
| PWF-PZ | 0.37 | -0.01 | 0.00 | -0.22 | 0.00 | 0.98 | 2.41 | |||
| IFC | 1.06 | -0.01 | 0.00 | -0.03 | 1.49 | 1.90 | 6.90 |
Risk Metrics, Assumptions & Methodology
Beta for Manulife Financial measures the share of volatility attributable to broad market movements versus company-specific factors. Robust trading turnover may support smoother transaction execution. Manulife Financial has a market cap of 90.22 billion, P/E of 9.64, ROE of 11.49%.
Manulife Financial Corp inputs come from periodic company reporting and market reference feeds and are mapped into a consistent reporting framework. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Manulife Financial Corp is more volatile than Dow Jones Industrial by approximately 1.57x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 12% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Manulife Financial Corp with characteristics aligned to broad market upside participation. This move summary looks at how the current session may translate into a basic near-term setup. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Manulife Financial probability analysis.
Poor diversification
The correlation between Manulife Financial and Dow Jones is 0.71, which Macroaxis classifies as Poor diversification for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Secondary risk indicators for Manulife Financial Corp evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | 0.0613 | |||
| Market Risk Adjusted Performance | -1.55 | |||
| Mean Deviation | 1.11 | |||
| Semi Deviation | 1.41 | |||
| Downside Deviation | 1.49 | |||
| Coefficient Of Variation | 1661.74 | |||
| Standard Deviation | 1.44 |
Manulife Financial Suggested Diversification Pairs
A pair-trading setup around Manulife Financial shifts the return benchmark from the broad market to a second position, altering the risk profile. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for Manulife Financial persists even in a well-constructed pair. The benefit is in offsetting Manulife Financial's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Manulife Financial Corp.