Mfs Value Correlations

MEIIX Fund

USD 55.98 0.09 0.16%

The current 90-days correlation between Mfs Value Fund and Vanguard Value Index is 0.97 (i.e., Almost no 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

Almost no diversification

The correlation between Mfs Value Fund and DJI is 0.91 (i.e., Almost no 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

0.84	LFTJX	Mfs Lifetime 2065	Pair Corr
0.85	LFTMX	Mfs Lifetime 2065	Pair Corr
0.91	OTCJX	Mfs Mid Cap	Pair Corr
0.92	BRSDX	Mfs Blended Research	Pair Corr
0.95	BRUNX	Mfs Blended Research	Pair Corr
0.95	BRUGX	Mfs Blended Research	Pair Corr
0.97	MLVTX	Mfs Low Volatility	Pair Corr
0.89	MNDRX	Mfs New Discovery	Pair Corr
0.94	EQNRX	Mfs Equity Income	Pair Corr
0.91	NDVRX	Mfs New Discovery	Pair Corr
0.89	MRFIX	Mfs Research	Pair Corr
0.9	MRGHX	Mfs E Equity	Pair Corr
0.9	MRGGX	Mfs E Equity	Pair Corr
0.85	MAGQX	Mfs Series Trust	Pair Corr
0.84	MAGWX	Mfs Growth Allocation	Pair Corr
0.77	MAMAX	Mfs Moderate Allocation	Pair Corr
0.81	MTCCX	Mfs Technology	Pair Corr
0.81	MTCKX	Mfs Technology	Pair Corr
0.87	MUEUX	Mfs Blended Research	Pair Corr
0.87	MUEVX	Mfs Blended Research	Pair Corr

Moving against Mfs Mutual Fund

0.51	MRBHX	Mfs Total Return	Pair Corr
0.43	MRSIX	Mfs Research Interna	Pair Corr
0.47	MBRRX	Mfs Porate Bond	Pair Corr
0.46	MFBFX	Mfs Porate Bond	Pair Corr

Related Correlations Analysis

	VVIAX	DOXGX	AFMFX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX
VVIAX		0.95	0.96	0.96	0.96	0.95	0.95	0.95	0.95	1.0	VVIAX
DOXGX	0.95		0.87	0.87	0.87	0.87	0.87	0.86	1.0	0.95	DOXGX
AFMFX	0.96	0.87		1.0	1.0	1.0	1.0	1.0	0.87	0.96	AFMFX
FFMMX	0.96	0.87	1.0		1.0	1.0	1.0	1.0	0.87	0.96	FFMMX
FFFMX	0.96	0.87	1.0	1.0		1.0	1.0	1.0	0.87	0.96	FFFMX
AMRMX	0.95	0.87	1.0	1.0	1.0		1.0	1.0	0.87	0.96	AMRMX
AMFFX	0.95	0.87	1.0	1.0	1.0	1.0		1.0	0.87	0.95	AMFFX
AMFCX	0.95	0.86	1.0	1.0	1.0	1.0	1.0		0.86	0.95	AMFCX
DODGX	0.95	1.0	0.87	0.87	0.87	0.87	0.87	0.86		0.95	DODGX
VIVAX	1.0	0.95	0.96	0.96	0.96	0.96	0.95	0.95	0.95		VIVAX
	VVIAX	DOXGX	AFMFX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX

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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
VVIAX	0.51	0.00	(0.05)	0.11	0.38	(0.62)	1.05	(0.83)	3.45
DOXGX	0.52	(0.01)	(0.05)	0.10	0.44	(0.59)	0.94	(0.93)	4.22
AFMFX	0.46	(0.02)	(0.11)	0.09	0.43	(0.52)	0.90	(0.86)	2.68
FFMMX	0.46	(0.02)	(0.11)	0.09	0.43	(0.52)	0.90	(0.86)	2.66
FFFMX	0.45	(0.02)	(0.11)	0.09	0.42	(0.52)	0.90	(0.86)	2.68
AMRMX	0.46	(0.02)	(0.12)	0.08	0.43	(0.52)	0.91	(0.86)	2.66
AMFFX	0.46	(0.02)	(0.12)	0.08	0.43	(0.52)	0.90	(0.86)	2.68
AMFCX	0.46	(0.02)	(0.12)	0.08	0.43	(0.52)	0.90	(0.88)	2.68
DODGX	0.52	(0.01)	(0.05)	0.10	0.44	(0.59)	0.94	(0.94)	4.22
VIVAX	0.51	0.00	(0.05)	0.11	0.39	(0.62)	1.05	(0.83)	3.45

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