Mfs Lifetime Correlations

MLLIX Fund

USD 12.54 0.01 0.08%

The current 90-days correlation between Mfs Lifetime Income and Abr 7525 Volatility is 0.47 (i.e., Very weak diversification). The correlation of Mfs Lifetime 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 Lifetime Correlation With Market

Poor diversification

The correlation between Mfs Lifetime Income and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Lifetime Income 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 Lifetime Income. 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

0.83	VTINX	Vanguard Target Reti	Pair Corr
0.83	LIRIX	Blackrock Lifepath Idx	Pair Corr
0.83	LIRAX	Blackrock Lfpth Idx	Pair Corr
0.79	JSIIX	Jpmorgan Smartretirement	Pair Corr
0.79	JSIZX	Jpmorgan Smartretirement	Pair Corr
0.79	JSIYX	Jpmorgan Smartretirement	Pair Corr
0.79	JSIPX	Jpmorgan Smartretirement	Pair Corr
0.79	JSIQX	Jpmorgan Smartretirement	Pair Corr
0.82	FNSHX	Fidelity Freedom Income	Pair Corr
0.71	PFN	Pimco Income Strategy	Pair Corr
0.75	LMISX	Qs Large Cap	Pair Corr
0.67	EMSLX	Shelton Emerging Markets	Pair Corr
0.71	CVX	Chevron Corp	Pair Corr
0.74	AA	Alcoa Corp	Pair Corr
0.83	BA	Boeing	Pair Corr

Moving against Mfs Mutual Fund

0.58	NXJ	Nuveen New Jersey	Pair Corr
0.35	XNBHX	Neuberger Berman Int	Pair Corr
0.49	MMM	3M Company	Pair Corr
0.4	TRV	The Travelers Companies	Pair Corr
0.34	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	FABWX	FANISX	OPTCX	TWBIX	MFTFX	VOLJX
FABWX		-0.64	0.95	0.82	0.94	0.85	FABWX
FANISX	-0.64		-0.64	-0.28	-0.64	-0.42	FANISX
OPTCX	0.95	-0.64		0.78	0.89	0.85	OPTCX
TWBIX	0.82	-0.28	0.78		0.68	0.95	TWBIX
MFTFX	0.94	-0.64	0.89	0.68		0.75	MFTFX
VOLJX	0.85	-0.42	0.85	0.95	0.75		VOLJX
	FABWX	FANISX	OPTCX	TWBIX	MFTFX	VOLJX

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

OPTCX	+ 0.95	FABWX
VOLJX	+ 0.95	TWBIX
MFTFX	+ 0.94	FABWX
MFTFX	+ 0.89	OPTCX
VOLJX	+ 0.85	FABWX
VOLJX	+ 0.85	OPTCX

High negative correlations

MFTFX	- 0.64	FANISX
OPTCX	- 0.64	FANISX
FANISX	- 0.64	FABWX
VOLJX	- 0.42	FANISX
TWBIX	- 0.28	FANISX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Lifetime 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 Lifetime'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
FABWX	0.64	0.05	0.04	0.10	0.86	(0.65)	1.22	(1.48)	3.81
FANISX	0.20	(0.04)	0.00	(0.32)	0.00	0.00	0.33	(0.43)	1.23
OPTCX	0.13	0.01	(0.14)	0.08	0.00	(0.20)	0.30	(0.20)	1.00
TWBIX	0.33	(0.03)	0.00	(0.03)	0.00	0.00	0.71	(0.75)	2.41
MFTFX	1.07	0.18	0.10	0.86	1.23	(1.15)	2.06	(2.15)	6.76
VOLJX	0.58	(0.04)	(0.05)	0.00	0.87	(0.59)	1.32	(1.24)	4.25

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