Mfs Intrinsic Correlations

UIVCX Fund

USD 11.97 0.01 0.08%

The current 90-days correlation between Mfs Intrinsic Value and Blackrock Government Bond is 0.39 (i.e., Weak diversification). The correlation of Mfs Intrinsic 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 Intrinsic Correlation With Market

Poor diversification

The correlation between Mfs Intrinsic Value and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Intrinsic Value and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Mfs Intrinsic Value. 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 main economic indicators.

Moving together with Mfs Mutual Fund

0.92	LFTFX	Mfs Lifetime 2065	Pair Corr
0.93	LFTJX	Mfs Lifetime 2065	Pair Corr
0.93	LFTGX	Mfs Lifetime 2065	Pair Corr
0.87	LFTHX	Mfs Lifetime 2065	Pair Corr
0.91	LFTMX	Mfs Lifetime 2065	Pair Corr
0.83	LFTNX	Mfs Lifetime 2065	Pair Corr
0.92	LFTKX	Mfs Lifetime 2065	Pair Corr
0.83	LFTLX	Mfs Lifetime 2065	Pair Corr
1.0	UIVIX	Mfs Intrinsic Value	Pair Corr
1.0	UIVPX	Mfs Intrinsic Value	Pair Corr
1.0	UIVQX	Mfs Intrinsic Value	Pair Corr
1.0	UIVNX	Mfs Intrinsic Value	Pair Corr
1.0	UIVMX	Mfs Intrinsic Value	Pair Corr
1.0	UIVVX	Mfs Intrinsic Value	Pair Corr
1.0	UIVRX	Mfs Intrinsic Value	Pair Corr
0.86	OTCHX	Mfs Mid Cap	Pair Corr
0.87	OTCIX	Mfs Mid Cap	Pair Corr
0.87	OTCJX	Mfs Mid Cap	Pair Corr
0.87	OTCKX	Mfs Mid Cap	Pair Corr
0.72	MKVCX	Mfs International Large	Pair Corr
0.71	MKVBX	Mfs International Large	Pair Corr
0.83	OTCGX	Mfs Mid Cap	Pair Corr
0.73	MKVGX	Mfs International Large	Pair Corr
0.74	MKVFX	Mfs International Large	Pair Corr
0.71	MKVEX	Mfs International Large	Pair Corr
0.68	MKVDX	Mfs International Large	Pair Corr
0.7	MKVIX	Mfs International Large	Pair Corr
0.71	MKVHX	Mfs Series Trust	Pair Corr
0.86	OTCAX	Mfs Mid Cap	Pair Corr

Related Correlations Analysis

	BIGLX	SSAGX	RYAQX	SMAAX	FITSX	WABXX
BIGLX		0.14	-0.81	0.93	1.0	0.0	BIGLX
SSAGX	0.14		0.45	0.17	0.13	0.0	SSAGX
RYAQX	-0.81	0.45		-0.74	-0.8	0.0	RYAQX
SMAAX	0.93	0.17	-0.74		0.92	0.0	SMAAX
FITSX	1.0	0.13	-0.8	0.92		0.0	FITSX
WABXX	0.0	0.0	0.0	0.0	0.0		WABXX
	BIGLX	SSAGX	RYAQX	SMAAX	FITSX	WABXX

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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

FITSX	+ 1.0	BIGLX
SMAAX	+ 0.93	BIGLX
FITSX	+ 0.92	SMAAX
RYAQX	+ 0.45	SSAGX
SMAAX	+ 0.17	SSAGX
SSAGX	+ 0.14	BIGLX

High negative correlations

RYAQX	- 0.81	BIGLX
FITSX	- 0.8	RYAQX
SMAAX	- 0.74	RYAQX
WABXX	- 0.0	FITSX
WABXX	- 0.0	SMAAX
WABXX	- 0.0	RYAQX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Intrinsic 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 Intrinsic'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
BIGLX	0.27	0.03	0.08	0.32	0.25	(0.33)	0.66	(0.55)	1.78
SSAGX	0.06	0.01	0.18	(1.55)	0.00	(0.18)	0.10	(0.10)	0.51
RYAQX	0.63	(0.01)	0.00	0.13	0.00	0.00	1.21	(1.61)	3.22
SMAAX	0.13	0.00	0.03	0.17	0.18	(0.15)	0.30	(0.30)	1.09
FITSX	0.26	0.03	0.09	0.31	0.24	(0.32)	0.57	(0.46)	1.60
WABXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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