Mfs Value Correlations

MEIJX Fund

USD 55.12 0.35 0.64%

The current 90-days correlation between Mfs Value Fund and Ancorathelen Small Mid Cap is -0.03 (i.e., Good 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

Significant diversification

The correlation between Mfs Value Fund and DJI is 0.01 (i.e., Significant 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 inflation.

Moving together with Mfs Mutual Fund

0.63	LFTFX	Mfs Lifetime 2065	Pair Corr
0.63	LFTLX	Mfs Lifetime 2065	Pair Corr
0.65	HYPPX	Mfs High Yield	Pair Corr
0.78	OTCIX	Mfs Mid Cap	Pair Corr
0.78	OTCJX	Mfs Mid Cap	Pair Corr
0.78	OTCKX	Mfs Mid Cap	Pair Corr
0.7	OTCAX	Mfs Mid Cap	Pair Corr
0.76	BRUDX	Mfs Blended Research	Pair Corr
0.7	BRWCX	Mfs Blended Research	Pair Corr
0.86	MLVAX	Mfs Low Volatility	Pair Corr
0.75	MLVPX	Mfs Low Volatility	Pair Corr
0.74	MLVMX	Mfs Low Volatility	Pair Corr

Moving against Mfs Mutual Fund

0.42	EMLCX	Mfs Emerging Markets	Pair Corr
0.4	EMLAX	Mfs Emerging Markets	Pair Corr
0.52	MRBCX	Mfs Total Return	Pair Corr
0.46	MRSAX	Mfs Research Interna	Pair Corr
0.39	MRSGX	Mfs Research Interna	Pair Corr
0.38	MRSKX	Mfs Research Interna	Pair Corr

Related Correlations Analysis

	AATSX	MMGEX	MCSCX	QUAIX	VSCPX	JSCAX	KSCYX
AATSX		0.98	0.96	0.9	0.94	0.92	0.93	AATSX
MMGEX	0.98		0.97	0.92	0.93	0.91	0.89	MMGEX
MCSCX	0.96	0.97		0.87	0.89	0.95	0.83	MCSCX
QUAIX	0.9	0.92	0.87		0.97	0.79	0.86	QUAIX
VSCPX	0.94	0.93	0.89	0.97		0.84	0.92	VSCPX
JSCAX	0.92	0.91	0.95	0.79	0.84		0.78	JSCAX
KSCYX	0.93	0.89	0.83	0.86	0.92	0.78		KSCYX
	AATSX	MMGEX	MCSCX	QUAIX	VSCPX	JSCAX	KSCYX

Click cells to compare fundamentals

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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
AATSX	0.81	0.05	0.08	0.17	0.70	(0.90)	2.14	(1.37)	5.48
MMGEX	0.89	(0.01)	0.04	0.12	0.93	(0.99)	2.02	(1.54)	6.50
MCSCX	0.96	(0.03)	0.03	0.10	1.01	(1.12)	2.19	(1.52)	7.55
QUAIX	0.95	0.13	0.02	0.97	1.08	(1.03)	2.10	(2.14)	6.76
VSCPX	0.75	0.14	0.04	1.82	0.72	(0.85)	1.75	(1.25)	5.35
JSCAX	0.91	(0.05)	0.00	0.08	0.78	(1.13)	1.93	(1.66)	7.62
KSCYX	1.20	0.60	0.44	0.59	0.61	(1.49)	3.29	(1.42)	7.24

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