MFS Active Correlations

MFSM Etf

25.15 0.02 0.08%

The current 90-days correlation between MFS Active Intermediate and VCRM is 0.64 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as MFS Active moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MFS Active Intermediate moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

MFS Active Correlation With Market

Poor diversification

The correlation between MFS Active Intermediate and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MFS Active Intermediate and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with MFS Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in MFS Active Intermediate. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with MFS Etf

0.97	MUB	iShares National Muni Sell-off Trend	Pair Corr
0.98	VTEB	Vanguard Tax Exempt Sell-off Trend	Pair Corr
0.95	FMB	First Trust Managed	Pair Corr
0.92	ITM	VanEck Intermediate Muni	Pair Corr
0.95	DFNM	Dimensional ETF Trust	Pair Corr
0.98	MMIT	IQ MacKay Municipal	Pair Corr
0.97	HMOP	Hartford Municipal	Pair Corr
0.97	TAXF	American Century Div	Pair Corr
0.94	JMUB	JPMorgan Municipal Sell-off Trend	Pair Corr
0.91	MUST	Columbia Multi Sector	Pair Corr
0.84	GDXU	MicroSectors Gold Miners	Pair Corr
0.92	MUU	Direxion Daily MU Trending	Pair Corr
0.92	MULL	GraniteShares 2x Long Trending	Pair Corr
0.89	KORU	Direxion Daily South	Pair Corr
0.91	AGQ	ProShares Ultra Silver	Pair Corr
0.84	JNUG	Direxion Daily Junior	Pair Corr
0.85	NUGT	Direxion Daily Gold	Pair Corr
0.84	GDMN	WisdomTree Efficient Gold Low Volatility	Pair Corr
0.8	SHNY	Microsectors Gold	Pair Corr
0.85	SLVR	Sprott Silver Miners	Pair Corr
0.91	VEA	Vanguard FTSE Developed	Pair Corr
0.84	IEMG	iShares Core MSCI	Pair Corr
0.8	TPHD	Timothy Plan High	Pair Corr
0.64	GE	GE Aerospace	Pair Corr
0.92	AA	Alcoa Corp	Pair Corr
0.68	WMT	Walmart Common Stock	Pair Corr
0.75	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.87	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr
0.8	CVX	Chevron Corp Earnings Call This Week	Pair Corr
0.69	JNJ	Johnson Johnson	Pair Corr

Moving against MFS Etf

0.82	HPQ	HP Inc	Pair Corr
0.67	MSFT	Microsoft Earnings Call This Week	Pair Corr
0.66	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.58	0.29	-0.3	0.2	-0.12	0.52	-0.1	-0.31	-0.38	META
MSFT	0.58		0.78	-0.55	0.52	0.21	0.32	-0.3	-0.84	-0.75	MSFT
UBER	0.29	0.78		-0.46	0.42	0.42	-0.02	-0.43	-0.8	-0.51	UBER
F	-0.3	-0.55	-0.46		-0.66	-0.08	0.11	0.63	0.69	0.64	F
T	0.2	0.52	0.42	-0.66		0.5	-0.23	-0.47	-0.5	-0.64	T
A	-0.12	0.21	0.42	-0.08	0.5		-0.38	-0.25	-0.21	-0.3	A
CRM	0.52	0.32	-0.02	0.11	-0.23	-0.38		0.53	-0.06	-0.27	CRM
JPM	-0.1	-0.3	-0.43	0.63	-0.47	-0.25	0.53		0.53	0.28	JPM
MRK	-0.31	-0.84	-0.8	0.69	-0.5	-0.21	-0.06	0.53		0.76	MRK
XOM	-0.38	-0.75	-0.51	0.64	-0.64	-0.3	-0.27	0.28	0.76		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

UBER	+ 0.78	MSFT
XOM	+ 0.76	MRK
MRK	+ 0.69	F
XOM	+ 0.64	F
JPM	+ 0.63	F
MSFT	+ 0.58	META

High negative correlations

MRK	- 0.84	MSFT
MRK	- 0.8	UBER
XOM	- 0.75	MSFT
T	- 0.66	F
XOM	- 0.64	T
F	- 0.55	MSFT

MFS Active Competition Risk-Adjusted Indicators

There is a big difference between MFS Etf performing well and MFS Active ETF 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 Active'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
META	1.42	(0.24)	0.00	(0.13)	0.00	0.00	3.16	(2.67)	13.46
MSFT	1.01	(0.23)	0.00	(0.50)	0.00	0.00	1.65	(2.50)	4.90
UBER	1.48	(0.23)	0.00	(0.20)	0.00	0.00	2.60	(3.82)	10.23
F	1.49	0.10	0.10	0.16	1.32	(1.82)	3.69	(2.35)	16.30
T	0.88	(0.19)	0.00	(0.46)	0.00	0.00	1.53	(1.85)	4.30
A	1.19	(0.15)	0.00	(0.02)	0.00	0.00	2.90	(2.24)	7.85
CRM	1.57	(0.20)	0.00	(0.06)	0.00	0.00	3.59	(3.10)	12.37
JPM	1.12	(0.09)	(0.03)	0.03	1.69	(1.11)	2.00	(3.11)	7.38
MRK	1.24	0.33	0.22	0.53	1.06	(1.54)	3.59	(1.98)	8.09
XOM	1.06	0.27	0.15	3.31	0.96	(1.21)	2.38	(1.51)	5.82

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