Mfs Commodity Correlations

Mutual Funds USA . 
Fund . Mfs Commodity Strategy
MCSFX Fund  USD 3.95  0.00  0.00%   
The current 90-days correlation between Mfs Commodity Strategy and Brown Advisory Small Cap is 0.03 (i.e., Significant diversification). The correlation of Mfs Commodity 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 Commodity Correlation With Market

Poor diversification

The correlation between Mfs Commodity Strategy and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Commodity Strategy 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 Commodity Strategy. 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 census.

Moving together with Mfs Mutual Fund

  0.83LFTJX Mfs Lifetime 2065PairCorr
  0.83LFTHX Mfs Lifetime 2065PairCorr
  0.83LFTMX Mfs Lifetime 2065PairCorr
  0.83LFTNX Mfs Lifetime 2065PairCorr
  0.83LFTLX Mfs Lifetime 2065PairCorr
  0.78HYPPX Mfs High YieldPairCorr
  0.74UIVRX Mfs Intrinsic ValuePairCorr
  0.89MKVIX Mfs International LargePairCorr
  0.88BRKCX Mfs Blended ResearchPairCorr
  0.93EMLBX Mfs Emerging MarketsPairCorr
  0.89BRKRX Mfs Blended ResearchPairCorr
  0.86DIFIX Mfs Diversified IncomePairCorr
  0.92EMLJX Mfs Emerging MarketsPairCorr
  0.91EMLIX Mfs Emerging MarketsPairCorr
  0.72BRSYX Mfs Blended ResearchPairCorr
  0.86BRUJX Mfs Blended ResearchPairCorr
  0.91BRXUX Mfs Blended ResearchPairCorr
  0.84MLFBX Mfs Lifetime 2040PairCorr
  0.81MLFJX Mfs Lifetime 2040PairCorr
  0.92BRXAX Mfs Blended ResearchPairCorr
  0.84MLLCX Mfs Lifetime RetirementPairCorr
  0.8MMACX Mfs Moderate AllocationPairCorr
  0.73MMHBX Mfs Municipal HighPairCorr
  0.7MNDCX Mfs New DiscoveryPairCorr
  0.75MNDAX Mfs New DiscoveryPairCorr
  0.71MNDKX Mfs New DiscoveryPairCorr
  0.71MNDHX Mfs New DiscoveryPairCorr
  0.69MPMAX Mfs MassachusettsPairCorr
  0.64MPMNX Mfs Municipal IncomePairCorr
  0.8MQGIX Mfs International GrowthPairCorr
  0.74NDVCX Mfs New DiscoveryPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Commodity 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 Commodity'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TWSAX  0.53  0.10  0.13  0.19  0.37 
(0.64)
 1.02 
(1.01)
 7.35 
AREVX  0.62  0.20  0.30  0.33  0.00 
(0.76)
 0.94 
(0.87)
 14.41 
TWSMX  0.44  0.09  0.12  0.20  0.30 
(0.56)
 0.95 
(0.78)
 6.76 
NDASX  0.50  0.03  0.02  0.09  0.60 
(0.53)
 1.07 
(1.17)
 2.71 
HGHYX  0.65  0.10  0.11  0.21  0.51 
(0.74)
 1.91 
(1.05)
 3.95 
STMGX  0.81 (0.08) 0.00 (0.03) 0.00 
 0.00 
 1.45 
(1.76)
 3.71 
CLSYX  0.57  0.19  0.23  0.33  0.36 
(0.67)
 1.33 
(1.09)
 3.20 
CSVFX  0.57  0.19  0.24  0.33  0.37 
(0.66)
 1.33 
(1.09)
 3.15 
BIASX  0.81 (0.01) 0.00  0.04  0.89 
(0.86)
 2.14 
(1.58)
 4.30 
BASAX  1.21  0.36  0.38  0.40  0.50 
(1.57)
 2.18 
(1.58)
 24.99 

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