Mfs Moderate Correlations

MMACX Fund

USD 19.75 0.03 0.15%

The current 90-days correlation between Mfs Moderate Allocation and Mfs Growth Allocation is 0.97 (i.e., Almost no diversification). The correlation of Mfs Moderate 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 Moderate Correlation With Market

Very poor diversification

The correlation between Mfs Moderate Allocation and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Moderate Allocation 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 Moderate Allocation. 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 unemployment.

Moving together with Mfs Mutual Fund

0.79	OTCIX	Mfs Mid Cap	Pair Corr
0.75	OTCGX	Mfs Mid Cap	Pair Corr
0.8	BRKCX	Mfs Blended Research	Pair Corr
0.65	DIFIX	Mfs Diversified Income	Pair Corr
0.9	MLLEX	Mfs Lifetime Income	Pair Corr
0.86	MNDAX	Mfs New Discovery	Pair Corr
0.88	MNWAX	Mfs Managed Wealth	Pair Corr
0.88	MNWUX	Mfs Managed Wealth	Pair Corr
0.89	MQGIX	Mfs International Growth	Pair Corr
0.76	MRGAX	Mfs E Equity	Pair Corr
0.83	MRSAX	Mfs Research Interna	Pair Corr
0.88	MRSKX	Mfs Research Interna	Pair Corr
0.83	MRSRX	Mfs Research Interna	Pair Corr
0.9	MAAGX	Mfs Aggressive Growth	Pair Corr
0.64	MACBX	Mfs Servative Allocation	Pair Corr
0.81	MACFX	Mfs Servative Allocation	Pair Corr
1.0	MAGWX	Mfs Growth Allocation	Pair Corr
0.9	MAMAX	Mfs Moderate Allocation	Pair Corr
0.88	GLNAX	Mfs Global New	Pair Corr
0.73	MTCAX	Mfs Technology	Pair Corr
0.68	MCGWX	Mfs Growth Allocation	Pair Corr
0.82	MCSRX	Mfs Modity Strategy	Pair Corr
0.82	MCVIX	Mfs Mid Cap	Pair Corr
0.96	MDIDX	Mfs International	Pair Corr
0.96	MDIZX	Mfs International	Pair Corr
0.71	MEMJX	Mfs Emerging Markets	Pair Corr
0.77	MWEFX	Mfs Global Equity	Pair Corr
0.63	MWELX	Mfs Global Equity	Pair Corr
0.88	MWOFX	Mfs Global Growth	Pair Corr
0.69	MFFMX	Mfs Lifetime 2050	Pair Corr

Moving against Mfs Mutual Fund

0.53

MFEJX

Mfs Growth Fund

Pair Corr

Related Correlations Analysis

	MAGWX	TLQIX	GAB	PNOYX	PGGFX	PRRAX	HHHSX	TWCIX
MAGWX		0.91	0.8	0.78	0.97	-0.05	0.77	0.8	MAGWX
TLQIX	0.91		0.83	0.7	0.92	-0.24	0.75	0.92	TLQIX
GAB	0.8	0.83		0.79	0.76	-0.42	0.45	0.84	GAB
PNOYX	0.78	0.7	0.79		0.8	-0.28	0.43	0.65	PNOYX
PGGFX	0.97	0.92	0.76	0.8		-0.09	0.82	0.8	PGGFX
PRRAX	-0.05	-0.24	-0.42	-0.28	-0.09		-0.08	-0.37	PRRAX
HHHSX	0.77	0.75	0.45	0.43	0.82	-0.08		0.61	HHHSX
TWCIX	0.8	0.92	0.84	0.65	0.8	-0.37	0.61		TWCIX
	MAGWX	TLQIX	GAB	PNOYX	PGGFX	PRRAX	HHHSX	TWCIX

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

PGGFX	+ 0.97	MAGWX
PGGFX	+ 0.92	TLQIX
TWCIX	+ 0.92	TLQIX
TLQIX	+ 0.91	MAGWX
TWCIX	+ 0.84	GAB
GAB	+ 0.83	TLQIX

High negative correlations

PRRAX	- 0.42	GAB
TWCIX	- 0.37	PRRAX
PRRAX	- 0.28	PNOYX
PRRAX	- 0.24	TLQIX
PRRAX	- 0.09	PGGFX
HHHSX	- 0.08	PRRAX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Moderate 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 Moderate'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
MAGWX	0.40	0.00	(0.08)	0.08	0.42	(0.42)	0.76	(0.75)	1.76
TLQIX	0.31	0.04	(0.04)	0.19	0.12	(0.37)	0.64	(0.58)	3.68
GAB	0.61	0.03	(0.04)	0.19	0.59	(0.75)	1.48	(1.13)	3.62
PNOYX	0.50	(0.03)	(0.08)	0.05	0.64	(0.50)	1.16	(1.17)	3.08
PGGFX	0.59	0.01	(0.01)	0.10	0.67	(0.59)	1.22	(1.32)	3.59
PRRAX	0.53	(0.03)	0.00	(0.16)	0.00	0.00	0.94	(1.13)	2.65
HHHSX	0.68	0.11	0.06	0.43	0.57	(0.76)	1.29	(1.10)	3.56
TWCIX	0.91	0.16	0.11	0.43	0.81	(1.05)	1.71	(1.71)	13.56

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