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^NYATR vs. MFC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NYATR and MFC is 0.70, 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.


-0.50.00.51.00.7

Performance

^NYATR vs. MFC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Composite Total Return (^NYATR) and Manulife Financial Corporation (MFC). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
7.30%
20.47%
^NYATR
MFC

Key characteristics

Sharpe Ratio

^NYATR:

1.71

MFC:

2.20

Sortino Ratio

^NYATR:

2.38

MFC:

3.26

Omega Ratio

^NYATR:

1.31

MFC:

1.41

Calmar Ratio

^NYATR:

2.85

MFC:

4.20

Martin Ratio

^NYATR:

10.15

MFC:

14.31

Ulcer Index

^NYATR:

1.79%

MFC:

3.30%

Daily Std Dev

^NYATR:

10.59%

MFC:

21.47%

Max Drawdown

^NYATR:

-37.81%

MFC:

-83.74%

Current Drawdown

^NYATR:

-5.56%

MFC:

-7.19%

Returns By Period

In the year-to-date period, ^NYATR achieves a 15.86% return, which is significantly lower than MFC's 43.98% return. Over the past 10 years, ^NYATR has underperformed MFC with an annualized return of 8.34%, while MFC has yielded a comparatively higher 9.77% annualized return.


^NYATR

YTD

15.86%

1M

-3.02%

6M

7.30%

1Y

16.82%

5Y*

9.13%

10Y*

8.34%

MFC

YTD

43.98%

1M

-5.72%

6M

20.47%

1Y

45.96%

5Y*

15.03%

10Y*

9.77%

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Risk-Adjusted Performance

^NYATR vs. MFC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NYSE Composite Total Return (^NYATR) and Manulife Financial Corporation (MFC). 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.


Sharpe ratio
The chart of Sharpe ratio for ^NYATR, currently valued at 1.71, compared to the broader market0.001.002.001.712.20
The chart of Sortino ratio for ^NYATR, currently valued at 2.38, compared to the broader market-1.000.001.002.003.002.383.26
The chart of Omega ratio for ^NYATR, currently valued at 1.31, compared to the broader market0.901.001.101.201.301.401.311.41
The chart of Calmar ratio for ^NYATR, currently valued at 2.85, compared to the broader market0.001.002.003.002.854.20
The chart of Martin ratio for ^NYATR, currently valued at 10.15, compared to the broader market0.005.0010.0015.0020.0010.1514.31
^NYATR
MFC

The current ^NYATR Sharpe Ratio is 1.71, which is comparable to the MFC Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of ^NYATR and MFC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.504.004.50JulyAugustSeptemberOctoberNovemberDecember
1.71
2.20
^NYATR
MFC

Drawdowns

^NYATR vs. MFC - Drawdown Comparison

The maximum ^NYATR drawdown since its inception was -37.81%, smaller than the maximum MFC drawdown of -83.74%. Use the drawdown chart below to compare losses from any high point for ^NYATR and MFC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.56%
-7.19%
^NYATR
MFC

Volatility

^NYATR vs. MFC - Volatility Comparison

The current volatility for NYSE Composite Total Return (^NYATR) is 3.52%, while Manulife Financial Corporation (MFC) has a volatility of 5.73%. This indicates that ^NYATR experiences smaller price fluctuations and is considered to be less risky than MFC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.52%
5.73%
^NYATR
MFC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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