Mfs Diversified Correlations

DIFIX Fund

USD 12.30 0.02 0.16%

The current 90-days correlation between Mfs Diversified Income and Vanguard Money Market is 0.14 (i.e., Average diversification). The correlation of Mfs Diversified 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 Diversified Correlation With Market

Poor diversification

The correlation between Mfs Diversified Income and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Diversified Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Mfs Diversified Income. 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	LFTFX	Mfs Lifetime 2065	Pair Corr
0.64	LFTGX	Mfs Lifetime 2065	Pair Corr
0.64	UIVIX	Mfs Intrinsic Value	Pair Corr
0.64	UIVCX	Mfs Intrinsic Value	Pair Corr
0.64	UIVPX	Mfs Intrinsic Value	Pair Corr
0.64	UIVQX	Mfs Intrinsic Value	Pair Corr
0.64	UIVNX	Mfs Intrinsic Value	Pair Corr
0.63	UIVMX	Mfs Intrinsic Value	Pair Corr
0.64	UIVVX	Mfs Intrinsic Value	Pair Corr
0.63	OTCIX	Mfs Mid Cap	Pair Corr
0.63	OTCJX	Mfs Mid Cap	Pair Corr
0.63	OTCKX	Mfs Mid Cap	Pair Corr
0.65	BRKBX	Mfs Blended Research	Pair Corr
0.66	BRKCX	Mfs Blended Research	Pair Corr
0.63	OTCAX	Mfs Mid Cap	Pair Corr
0.67	EMLBX	Mfs Emerging Markets	Pair Corr
0.66	EMLAX	Mfs Emerging Markets	Pair Corr
0.66	BRKUX	Mfs Blended Research	Pair Corr
0.65	BRKVX	Mfs Blended Research	Pair Corr
0.66	BRKRX	Mfs Blended Research	Pair Corr
0.65	BRKTX	Mfs Blended Research	Pair Corr
0.66	BRKIX	Mfs Blended Research	Pair Corr
0.67	EMLNX	Mfs Emerging Markets	Pair Corr
0.68	EMLMX	Mfs Emerging Markets	Pair Corr
0.67	DIFHX	Mfs Diversified Income	Pair Corr
0.67	EMLKX	Mfs Emerging Markets	Pair Corr
0.67	DIFGX	Mfs Diversified Income	Pair Corr
0.67	DIFFX	Mfs Diversified Income	Pair Corr
0.67	EMLIX	Mfs Emerging Markets	Pair Corr
0.67	DIFEX	Mfs Diversified Income	Pair Corr
0.67	DIFDX	Mfs Diversified Income	Pair Corr
0.63	DIFCX	Mfs Diversified Income	Pair Corr

Related Correlations Analysis

	VMRXX	AEYXX	GABXX	STPXX	TIMTX	GMBXX
VMRXX		0.0	0.27	0.84	0.76	0.52	VMRXX
AEYXX	0.0		0.0	0.0	0.0	0.0	AEYXX
GABXX	0.27	0.0		0.46	0.37	0.83	GABXX
STPXX	0.84	0.0	0.46		0.7	0.68	STPXX
TIMTX	0.76	0.0	0.37	0.7		0.55	TIMTX
GMBXX	0.52	0.0	0.83	0.68	0.55		GMBXX
	VMRXX	AEYXX	GABXX	STPXX	TIMTX	GMBXX

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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

STPXX	+ 0.84	VMRXX
GMBXX	+ 0.83	GABXX
TIMTX	+ 0.76	VMRXX
TIMTX	+ 0.7	STPXX
GMBXX	+ 0.68	STPXX
GMBXX	+ 0.55	TIMTX

High negative correlations

GMBXX	- 0.0	AEYXX
TIMTX	- 0.0	AEYXX
STPXX	- 0.0	AEYXX
GABXX	- 0.0	AEYXX
AEYXX	- 0.0	VMRXX

Risk-Adjusted Indicators

There is a big difference between Mfs Mutual Fund performing well and Mfs Diversified 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 Diversified'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VMRXX	0.03	0.02	0.00	(0.09)	0.00	0.00	0.00	1.01
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GABXX	0.03	0.00	0.00	0.39	0.00	0.00	0.00	1.01
STPXX	0.03	0.01	0.00	(0.17)	0.00	0.00	0.00	1.01
TIMTX	0.13	0.01	(0.68)	0.45	(0.18)	0.29	(0.20)	0.97
GMBXX	0.03	0.01	0.00	(1.35)	0.00	0.00	0.00	1.01

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