Mfs Utilities Correlations

MURRX Fund

USD 24.81 0.03 0.12%

The current 90-days correlation between Mfs Utilities and Nuveen Arizona Municipal is 0.28 (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

Average diversification

The correlation between Mfs Utilities Fund and DJI is 0.11 (i.e., Average 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 metropolitan statistical area.

Moving together with MFS Mutual Fund

0.63	D	Dominion Energy	Pair Corr
0.78	SO	Southern	Pair Corr
0.61	CMS-PB	Consumers Energy	Pair Corr
0.77	BEP	Brookfield Renewable	Pair Corr
0.68	BIP	Brookfield Infrastructure	Pair Corr
0.74	CEG	Constellation Energy Corp	Pair Corr
0.9	CMS	CMS Energy	Pair Corr

Moving against MFS Mutual Fund

0.42

Hawaiian Electric

Pair Corr

Related Correlations Analysis

	FAZTX	PCMNX	BBINX	IMLXX	BCHIX	BIDPX
FAZTX		0.82	0.96	-0.21	0.99	0.9	FAZTX
PCMNX	0.82		0.9	-0.44	0.84	0.96	PCMNX
BBINX	0.96	0.9		-0.35	0.97	0.91	BBINX
IMLXX	-0.21	-0.44	-0.35		-0.22	-0.3	IMLXX
BCHIX	0.99	0.84	0.97	-0.22		0.9	BCHIX
BIDPX	0.9	0.96	0.91	-0.3	0.9		BIDPX
	FAZTX	PCMNX	BBINX	IMLXX	BCHIX	BIDPX

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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

BCHIX	+ 0.99	FAZTX
BCHIX	+ 0.97	BBINX
BBINX	+ 0.96	FAZTX
BIDPX	+ 0.96	PCMNX
BIDPX	+ 0.91	BBINX
BIDPX	+ 0.9	FAZTX

High negative correlations

IMLXX	- 0.44	PCMNX
IMLXX	- 0.35	BBINX
BIDPX	- 0.3	IMLXX
BCHIX	- 0.22	IMLXX
IMLXX	- 0.21	FAZTX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FAZTX	0.14	0.02	(0.33)	(0.21)	0.16	(0.19)	0.30	(0.29)	1.29
PCMNX	0.11	(0.01)	(0.40)	(0.15)	0.18	(0.16)	0.25	(0.25)	1.07
BBINX	0.12	0.01	(0.42)	(0.05)	0.13	(0.19)	0.29	(0.29)	1.07
IMLXX	0.03	0.01	0.00	(0.37)	0.00	0.00	0.00	0.00	1.01
BCHIX	0.17	0.03	(0.25)	(0.17)	0.21	(0.22)	0.41	(0.40)	1.53
BIDPX	0.15	0.00	(0.33)	0.14	0.21	(0.18)	0.27	(0.45)	1.36

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