Mfs Intrinsic Correlations

UIVIX Fund

USD 12.25 0.08 0.66%

The current 90-days correlation between Mfs Intrinsic Value and Tax Managed Large Cap is 0.16 (i.e., Average diversification). The correlation of Mfs Intrinsic 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 Intrinsic Correlation With Market

Very weak diversification

The correlation between Mfs Intrinsic Value and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Intrinsic Value and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Mfs Intrinsic Value. 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

0.97	LFTFX	Mfs Lifetime 2065	Pair Corr
0.96	LFTJX	Mfs Lifetime 2065	Pair Corr
0.96	LFTGX	Mfs Lifetime 2065	Pair Corr
0.97	LFTHX	Mfs Lifetime 2065	Pair Corr
0.97	LFTMX	Mfs Lifetime 2065	Pair Corr
0.97	LFTNX	Mfs Lifetime 2065	Pair Corr
0.96	LFTKX	Mfs Lifetime 2065	Pair Corr
0.97	LFTLX	Mfs Lifetime 2065	Pair Corr
1.0	UIVCX	Mfs Intrinsic Value	Pair Corr
0.93	UIVPX	Mfs Intrinsic Value	Pair Corr
0.93	UIVQX	Mfs Intrinsic Value	Pair Corr
1.0	UIVNX	Mfs Intrinsic Value	Pair Corr
0.94	UIVMX	Mfs Intrinsic Value	Pair Corr
1.0	UIVVX	Mfs Intrinsic Value	Pair Corr
0.94	UIVRX	Mfs Intrinsic Value	Pair Corr
0.88	OTCHX	Mfs Mid Cap	Pair Corr
0.89	OTCIX	Mfs Mid Cap	Pair Corr
0.88	OTCJX	Mfs Mid Cap	Pair Corr
0.89	OTCKX	Mfs Mid Cap	Pair Corr
0.64	MKVCX	Mfs International Large	Pair Corr
0.65	MKVBX	Mfs International Large	Pair Corr
0.84	OTCGX	Mfs Mid Cap	Pair Corr
0.65	MKVGX	Mfs International Large	Pair Corr
0.65	MKVFX	Mfs International Large	Pair Corr
0.64	MKVEX	Mfs International Large	Pair Corr
0.64	MKVDX	Mfs International Large	Pair Corr
0.65	MKVIX	Mfs International Large	Pair Corr
0.65	MKVHX	Mfs Series Trust	Pair Corr
0.87	OTCAX	Mfs Mid Cap	Pair Corr

Related Correlations Analysis

	RETSX	ALCEX	SBQIX	ENGRX	ALCKX	LGPSX	FCLKX	TACLX
RETSX		0.78	0.78	-0.2	0.6	0.64	0.81	0.5	RETSX
ALCEX	0.78		0.94	-0.23	0.6	0.43	0.96	0.75	ALCEX
SBQIX	0.78	0.94		-0.29	0.66	0.42	0.94	0.77	SBQIX
ENGRX	-0.2	-0.23	-0.29		-0.68	0.42	-0.21	-0.68	ENGRX
ALCKX	0.6	0.6	0.66	-0.68		-0.1	0.61	0.88	ALCKX
LGPSX	0.64	0.43	0.42	0.42	-0.1		0.53	-0.15	LGPSX
FCLKX	0.81	0.96	0.94	-0.21	0.61	0.53		0.7	FCLKX
TACLX	0.5	0.75	0.77	-0.68	0.88	-0.15	0.7		TACLX
	RETSX	ALCEX	SBQIX	ENGRX	ALCKX	LGPSX	FCLKX	TACLX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

FCLKX	+ 0.96	ALCEX
SBQIX	+ 0.94	ALCEX
FCLKX	+ 0.94	SBQIX
TACLX	+ 0.88	ALCKX
FCLKX	+ 0.81	RETSX
ALCEX	+ 0.78	RETSX

High negative correlations

TACLX	- 0.68	ENGRX
ALCKX	- 0.68	ENGRX
ENGRX	- 0.29	SBQIX
ENGRX	- 0.23	ALCEX
FCLKX	- 0.21	ENGRX
ENGRX	- 0.2	RETSX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Intrinsic 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 Intrinsic'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
RETSX	0.55	0.02	0.00	0.39	0.80	(0.56)	1.19	(1.46)	5.40
ALCEX	0.58	0.03	0.03	0.12	0.67	(0.71)	1.29	(0.91)	7.05
SBQIX	0.81	0.00	(0.01)	0.03	1.03	(1.01)	1.75	(1.76)	7.62
ENGRX	0.45	0.08	0.00	1.02	0.00	0.00	0.88	(0.62)	9.66
ALCKX	0.88	(0.06)	0.00	(0.62)	0.00	0.00	1.46	(2.35)	9.24
LGPSX	0.80	0.07	0.05	0.25	1.02	(0.79)	1.65	(1.88)	5.88
FCLKX	0.52	0.03	0.02	0.10	0.69	(0.56)	1.11	(0.93)	5.36
TACLX	0.52	(0.03)	0.00	(0.10)	0.00	0.00	0.88	(0.97)	5.47

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC