Massachusetts Investors Correlations

MITGX Fund

USD 37.47 0.21 0.56%

The current 90-days correlation between Massachusetts Investors and Virtus Real Estate is 0.16 (i.e., Average diversification). The correlation of Massachusetts Investors 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.

Massachusetts Investors Correlation With Market

Very poor diversification

The correlation between Massachusetts Investors Trust and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Massachusetts Investors Trust 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 Massachusetts Investors Trust. 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 price.

Moving together with Massachusetts Mutual Fund

0.87	LFTFX	Mfs Lifetime 2065	Pair Corr
0.86	LFTJX	Mfs Lifetime 2065	Pair Corr
0.86	LFTGX	Mfs Lifetime 2065	Pair Corr
0.88	LFTHX	Mfs Lifetime 2065	Pair Corr
0.88	LFTMX	Mfs Lifetime 2065	Pair Corr
0.88	LFTNX	Mfs Lifetime 2065	Pair Corr
0.87	LFTKX	Mfs Lifetime 2065	Pair Corr
0.87	LFTLX	Mfs Lifetime 2065	Pair Corr
0.7	HYPPX	Mfs High Yield	Pair Corr
0.97	UIVIX	Mfs Intrinsic Value	Pair Corr
0.96	UIVCX	Mfs Intrinsic Value	Pair Corr
0.97	UIVPX	Mfs Intrinsic Value	Pair Corr
0.97	UIVQX	Mfs Intrinsic Value	Pair Corr
0.97	UIVNX	Mfs Intrinsic Value	Pair Corr
0.96	UIVMX	Mfs Intrinsic Value	Pair Corr
0.97	UIVVX	Mfs Intrinsic Value	Pair Corr
0.97	UIVRX	Mfs Intrinsic Value	Pair Corr
0.81	OTCHX	Mfs Mid Cap	Pair Corr
0.84	OTCIX	Mfs Mid Cap	Pair Corr
0.83	OTCJX	Mfs Mid Cap	Pair Corr
0.84	OTCKX	Mfs Mid Cap	Pair Corr
0.73	OTCGX	Mfs Mid Cap	Pair Corr
0.82	OTCAX	Mfs Mid Cap	Pair Corr

Moving against Massachusetts Mutual Fund

0.68	MKVCX	Mfs International Large	Pair Corr
0.68	MKVDX	Mfs International Large	Pair Corr
0.67	MKVBX	Mfs International Large	Pair Corr
0.67	MKVFX	Mfs International Large	Pair Corr
0.67	MKVEX	Mfs International Large	Pair Corr
0.66	MKVGX	Mfs International Large	Pair Corr
0.78	EMLBX	Mfs Emerging Markets	Pair Corr
0.78	EMLAX	Mfs Emerging Markets	Pair Corr
0.78	EMLNX	Mfs Emerging Markets	Pair Corr
0.66	MKVIX	Mfs International Large	Pair Corr
0.66	MKVHX	Mfs Series Trust	Pair Corr
0.33	BRKBX	Mfs Blended Research	Pair Corr

Related Correlations Analysis

	PHRAX	RRRZX	GURPX	FORFX	FIKMX	TIREX	SRPIX
PHRAX		0.89	0.97	0.05	0.62	0.92	-0.75	PHRAX
RRRZX	0.89		0.95	-0.38	0.82	0.98	-0.96	RRRZX
GURPX	0.97	0.95		-0.13	0.73	0.96	-0.85	GURPX
FORFX	0.05	-0.38	-0.13		-0.59	-0.32	0.6	FORFX
FIKMX	0.62	0.82	0.73	-0.59		0.76	-0.86	FIKMX
TIREX	0.92	0.98	0.96	-0.32	0.76		-0.93	TIREX
SRPIX	-0.75	-0.96	-0.85	0.6	-0.86	-0.93		SRPIX
	PHRAX	RRRZX	GURPX	FORFX	FIKMX	TIREX	SRPIX

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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

TIREX	+ 0.98	RRRZX
GURPX	+ 0.97	PHRAX
TIREX	+ 0.96	GURPX
GURPX	+ 0.95	RRRZX
TIREX	+ 0.92	PHRAX
RRRZX	+ 0.89	PHRAX

High negative correlations

SRPIX	- 0.96	RRRZX
SRPIX	- 0.93	TIREX
SRPIX	- 0.86	FIKMX
SRPIX	- 0.85	GURPX
SRPIX	- 0.75	PHRAX
FIKMX	- 0.59	FORFX

Risk-Adjusted Indicators

There is a big difference between Massachusetts Mutual Fund performing well and Massachusetts Investors 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 Massachusetts Investors' 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
PHRAX	0.65	(0.05)	0.00	(0.20)	0.00	0.00	1.22	(1.70)	3.44
RRRZX	0.70	(0.06)	0.00	(0.88)	0.00	0.00	1.23	(1.55)	3.61
GURPX	0.58	(0.05)	0.00	(0.19)	0.00	0.00	1.10	(1.19)	3.17
FORFX	0.06	0.02	0.00	0.85	0.00	0.00	0.11	0.00	0.93
FIKMX	0.21	(0.03)	0.00	(0.68)	0.00	0.00	0.49	(0.41)	1.22
TIREX	0.69	(0.08)	0.00	(0.54)	0.00	0.00	1.13	(1.43)	3.37
SRPIX	0.72	0.08	(0.02)	(1.28)	0.71	(0.83)	1.65	(1.25)	4.28

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