Mfs Low Correlations

MLVMX Fund

USD 22.04 0.08 0.36%

The current 90-days correlation between Mfs Low Volatility and Msif Real Estate is -0.1 (i.e., Good diversification). The correlation of Mfs Low 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 Low Correlation With Market

Very poor diversification

The correlation between Mfs Low Volatility and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Low Volatility 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 Low Volatility. 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 population.

Moving together with Mfs Mutual Fund

0.83	LFTFX	Mfs Lifetime 2065	Pair Corr
0.83	LFTJX	Mfs Lifetime 2065	Pair Corr
0.82	LFTGX	Mfs Lifetime 2065	Pair Corr
0.83	LFTHX	Mfs Lifetime 2065	Pair Corr
0.83	LFTMX	Mfs Lifetime 2065	Pair Corr
0.83	LFTNX	Mfs Lifetime 2065	Pair Corr
0.77	LFTKX	Mfs Lifetime 2065	Pair Corr
0.83	LFTLX	Mfs Lifetime 2065	Pair Corr
0.89	UIVIX	Mfs Intrinsic Value	Pair Corr
0.89	UIVCX	Mfs Intrinsic Value	Pair Corr
0.89	UIVPX	Mfs Intrinsic Value	Pair Corr
0.89	UIVQX	Mfs Intrinsic Value	Pair Corr
0.89	UIVNX	Mfs Intrinsic Value	Pair Corr
0.89	UIVMX	Mfs Intrinsic Value	Pair Corr
0.89	UIVVX	Mfs Intrinsic Value	Pair Corr
0.89	UIVRX	Mfs Intrinsic Value	Pair Corr
0.86	OTCHX	Mfs Mid Cap	Pair Corr
0.86	OTCIX	Mfs Mid Cap	Pair Corr
0.86	OTCJX	Mfs Mid Cap	Pair Corr
0.86	OTCKX	Mfs Mid Cap	Pair Corr
0.86	OTCGX	Mfs Mid Cap	Pair Corr
0.86	OTCAX	Mfs Mid Cap	Pair Corr

Moving against Mfs Mutual Fund

0.42	EMLAX	Mfs Emerging Markets	Pair Corr
0.42	EMLNX	Mfs Emerging Markets	Pair Corr
0.39	EMLBX	Mfs Emerging Markets	Pair Corr

Related Correlations Analysis

	MURSX	JADBX	HTMIX	PNDIX	CNREX	FHETX	TIRRX
MURSX		0.38	0.75	0.74	0.36	0.32	0.01	MURSX
JADBX	0.38		0.72	0.1	0.81	0.92	0.82	JADBX
HTMIX	0.75	0.72		0.43	0.52	0.71	0.51	HTMIX
PNDIX	0.74	0.1	0.43		0.19	0.0	-0.42	PNDIX
CNREX	0.36	0.81	0.52	0.19		0.69	0.57	CNREX
FHETX	0.32	0.92	0.71	0.0	0.69		0.9	FHETX
TIRRX	0.01	0.82	0.51	-0.42	0.57	0.9		TIRRX
	MURSX	JADBX	HTMIX	PNDIX	CNREX	FHETX	TIRRX

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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

FHETX	+ 0.92	JADBX
TIRRX	+ 0.9	FHETX
TIRRX	+ 0.82	JADBX
CNREX	+ 0.81	JADBX
HTMIX	+ 0.75	MURSX
PNDIX	+ 0.74	MURSX

High negative correlations

TIRRX	- 0.42	PNDIX
FHETX	- 0.0	PNDIX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Low 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 Low'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
MURSX	0.45	0.08	(0.05)	(6.04)	0.35	(0.74)	1.28	(0.80)	3.61
JADBX	0.68	0.03	(0.06)	0.21	0.82	(0.69)	1.21	(1.43)	3.49
HTMIX	0.40	0.02	(0.12)	0.27	0.42	(0.60)	1.12	(0.75)	3.59
PNDIX	0.04	0.02	0.00	(5.70)	0.00	0.00	0.10	0.00	0.10
CNREX	0.62	0.01	(0.08)	0.16	0.78	(0.65)	1.22	(1.53)	3.86
FHETX	0.66	0.06	(0.06)	0.66	0.72	(0.68)	1.39	(1.19)	3.54
TIRRX	0.70	0.02	(0.09)	0.24	0.85	(0.72)	1.33	(1.31)	3.78

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