Mfs Utilities Correlations

MMUIX Fund

USD 24.70 0.01 0.04%

The current 90-days correlation between Mfs Utilities and Fidelity Capital Income is 0.2 (i.e., Modest diversification). The correlation of Mfs Utilities 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 Utilities Correlation With Market

Significant diversification

The correlation between Mfs Utilities Fund and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Utilities 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 Utilities 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 gross domestic product.

Moving together with Mfs Mutual Fund

0.64	D	Dominion Energy	Pair Corr
0.8	SO	Southern	Pair Corr
0.8	CMS-PB	Consumers Energy	Pair Corr
0.68	CMS-PC	CMS Energy	Pair Corr
0.83	BEP	Brookfield Renewable	Pair Corr
0.73	BIP	Brookfield Infrastructure	Pair Corr
0.79	CEG	Constellation Energy Corp	Pair Corr
0.88	CMS	CMS Energy	Pair Corr

Moving against Mfs Mutual Fund

0.59	HE	Hawaiian Electric	Pair Corr
0.31	ADN	Advent Technologies	Pair Corr

Related Correlations Analysis

	FAGIX	BHYRX	PHSCX	NMHYX	DAHYX	JHYZX	SGYAX
FAGIX		0.78	0.8	0.86	0.85	0.89	0.89	FAGIX
BHYRX	0.78		0.97	0.94	0.94	0.93	0.89	BHYRX
PHSCX	0.8	0.97		0.96	0.93	0.95	0.93	PHSCX
NMHYX	0.86	0.94	0.96		0.97	0.99	0.91	NMHYX
DAHYX	0.85	0.94	0.93	0.97		0.96	0.85	DAHYX
JHYZX	0.89	0.93	0.95	0.99	0.96		0.93	JHYZX
SGYAX	0.89	0.89	0.93	0.91	0.85	0.93		SGYAX
	FAGIX	BHYRX	PHSCX	NMHYX	DAHYX	JHYZX	SGYAX

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Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Utilities 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 Utilities' 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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FAGIX	0.20	0.05	(0.22)	3.42	(0.28)	0.41	(0.30)	1.21
BHYRX	0.12	0.02	(0.52)	(1.47)	(0.23)	0.28	(0.28)	0.85
PHSCX	0.11	0.02	(0.60)	(0.73)	(0.18)	0.22	(0.22)	0.98
NMHYX	0.09	0.02	(0.64)	1.52	(0.16)	0.24	(0.12)	0.48
DAHYX	0.11	0.02	(0.64)	1.44	(0.15)	0.23	(0.23)	0.57
JHYZX	0.11	0.02	(0.58)	1.01	(0.21)	0.31	(0.15)	0.47
SGYAX	0.14	0.04	(0.48)	(0.65)	(0.25)	0.29	(0.14)	1.28

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