Mfs Value Correlations

MEIHX Fund

USD 49.44 0.26 0.52%

The current 90-days correlation between Mfs Value Fund and Rbb Fund is 0.03 (i.e., Significant diversification). The correlation of Mfs Value is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Mfs Value Correlation With Market

Poor diversification

The correlation between Mfs Value Fund and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Value Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Mfs Value Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Mfs Mutual Fund

0.73	FPPJX	Mfs Prudent Investor	Pair Corr
0.73	FPPQX	Mfs Prudent Investor	Pair Corr
0.73	FPPRX	Mfs Prudent Investor	Pair Corr
0.72	FPPSX	Mfs Prudent Investor	Pair Corr
0.72	FPPUX	Mfs Prudent Investor	Pair Corr
0.73	FPPVX	Mfs Prudent Investor	Pair Corr
0.68	LFTFX	Mfs Lifetime 2065	Pair Corr
0.67	LFTJX	Mfs Lifetime 2065	Pair Corr
0.66	LFTGX	Mfs Lifetime 2065	Pair Corr
0.69	LFTHX	Mfs Lifetime 2065	Pair Corr
0.69	LFTMX	Mfs Lifetime 2065	Pair Corr
0.7	LFTNX	Mfs Lifetime 2065	Pair Corr
0.68	LFTKX	Mfs Lifetime 2065	Pair Corr
0.68	LFTLX	Mfs Lifetime 2065	Pair Corr
0.77	HYPPX	Mfs High Yield	Pair Corr
0.67	MKVCX	Mfs International Large	Pair Corr
0.67	MKVBX	Mfs International Large	Pair Corr
0.67	MKVGX	Mfs International Large	Pair Corr
0.67	MKVFX	Mfs International Large	Pair Corr
0.67	MKVEX	Mfs International Large	Pair Corr
0.67	MKVDX	Mfs International Large	Pair Corr
0.67	MKVIX	Mfs International Large	Pair Corr
0.67	MKVHX	Mfs Series Trust	Pair Corr

Related Correlations Analysis

	BPGSX	MSTGX	GGIJX	SGMAX	WRLDX	RGHYX	VGRLX	DBLGX
BPGSX		0.98	0.75	0.67	0.84	0.85	0.86	0.89	BPGSX
MSTGX	0.98		0.73	0.7	0.9	0.91	0.88	0.89	MSTGX
GGIJX	0.75	0.73		0.57	0.54	0.62	0.61	0.76	GGIJX
SGMAX	0.67	0.7	0.57		0.8	0.62	0.74	0.75	SGMAX
WRLDX	0.84	0.9	0.54	0.8		0.89	0.86	0.74	WRLDX
RGHYX	0.85	0.91	0.62	0.62	0.89		0.75	0.71	RGHYX
VGRLX	0.86	0.88	0.61	0.74	0.86	0.75		0.82	VGRLX
DBLGX	0.89	0.89	0.76	0.75	0.74	0.71	0.82		DBLGX
	BPGSX	MSTGX	GGIJX	SGMAX	WRLDX	RGHYX	VGRLX	DBLGX

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Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Value Mutual Fund 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 Mfs Value'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
BPGSX	0.63	0.10	0.20	(1.30)	0.74	(0.67)	1.15	(0.98)	5.23
MSTGX	0.31	0.04	0.23	(0.68)	0.35	(0.34)	0.74	(0.62)	1.58
GGIJX	0.61	0.10	0.13	0.13	0.92	(0.62)	1.46	(1.70)	3.84
SGMAX	0.57	(0.05)	0.00	(0.18)	0.00	0.00	0.95	(0.77)	9.52
WRLDX	0.64	(0.02)	0.00	0.10	0.00	0.00	1.24	(1.68)	2.96
RGHYX	0.13	0.01	0.32	(0.01)	0.13	(0.16)	0.20	(0.30)	1.13
VGRLX	0.57	0.00	0.10	(0.08)	0.75	(0.57)	1.18	(1.34)	2.97
DBLGX	0.22	0.01	0.27	0.18	0.19	(0.30)	0.48	(0.36)	1.21

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Mfs Value Correlations

Mfs Value Correlation With Market

Poor diversification

Moving together with Mfs Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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