Mfs Value Correlations

MEIIX Fund

USD 50.39 0.07 0.14%

The current 90-days correlation between Mfs Value Fund and Scharf Global Opportunity is 0.57 (i.e., Very weak 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

Good diversification

The correlation between Mfs Value Fund and DJI is -0.07 (i.e., Good 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 gross domestic product.

Moving together with Mfs Mutual Fund

0.69	LFTFX	Mfs Lifetime 2065	Pair Corr
0.69	LFTJX	Mfs Lifetime 2065	Pair Corr
0.68	LFTGX	Mfs Lifetime 2065	Pair Corr
0.7	LFTHX	Mfs Lifetime 2065	Pair Corr
0.65	LFTMX	Mfs Lifetime 2065	Pair Corr
0.65	LFTNX	Mfs Lifetime 2065	Pair Corr
0.64	LFTKX	Mfs Lifetime 2065	Pair Corr
0.69	LFTLX	Mfs Lifetime 2065	Pair Corr
0.69	HYPPX	Mfs High Yield	Pair Corr

Related Correlations Analysis

	WRLDX	FADZX	AUUIX	ABVCX	IAADX	FZNOPX	WABMSX	FSULTX
WRLDX		0.5	0.43	0.61	0.87	0.11	0.61	0.53	WRLDX
FADZX	0.5		-0.18	0.11	0.61	-0.38	0.17	0.87	FADZX
AUUIX	0.43	-0.18		0.65	0.05	0.8	0.89	-0.15	AUUIX
ABVCX	0.61	0.11	0.65		0.3	0.44	0.55	0.12	ABVCX
IAADX	0.87	0.61	0.05	0.3		-0.2	0.37	0.61	IAADX
FZNOPX	0.11	-0.38	0.8	0.44	-0.2		0.72	-0.35	FZNOPX
WABMSX	0.61	0.17	0.89	0.55	0.37	0.72		0.14	WABMSX
FSULTX	0.53	0.87	-0.15	0.12	0.61	-0.35	0.14		FSULTX
	WRLDX	FADZX	AUUIX	ABVCX	IAADX	FZNOPX	WABMSX	FSULTX

Click cells to compare fundamentals

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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

WABMSX	+ 0.89	AUUIX
IAADX	+ 0.87	WRLDX
FSULTX	+ 0.87	FADZX
FZNOPX	+ 0.8	AUUIX
WABMSX	+ 0.72	FZNOPX
ABVCX	+ 0.65	AUUIX

High negative correlations

FZNOPX	- 0.38	FADZX
FSULTX	- 0.35	FZNOPX
FZNOPX	- 0.2	IAADX
AUUIX	- 0.18	FADZX
FSULTX	- 0.15	AUUIX

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
WRLDX	0.63	(0.03)	0.00	0.15	0.00	0.00	1.24	(1.68)	2.96
FADZX	0.10	0.02	0.57	0.48	0.00	(0.15)	0.20	(0.20)	0.50
AUUIX	0.74	0.00	0.00	(0.08)	0.00	0.00	1.09	(1.54)	3.90
ABVCX	0.83	(0.21)	0.00	3.46	0.00	0.00	1.34	(1.75)	10.19
IAADX	0.20	0.01	0.33	1.16	0.16	(0.26)	0.44	(0.33)	0.88
FZNOPX	0.76	0.04	0.07	(0.01)	0.89	(0.83)	1.55	(1.63)	3.75
WABMSX	0.62	0.06	0.09	0.02	0.82	(0.62)	1.38	(1.29)	3.66
FSULTX	0.29	0.02	0.23	0.65	0.34	(0.30)	0.61	(0.51)	1.75

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