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Correlation Between MFS Value and Vanguard Index

Analyzing existing cross correlation between MFS Value Fund Class R1 and Vanguard Index Trust Vanguard V. You can compare the effects of market volatilities on MFS Value and Vanguard Index and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in MFS Value with a short position of Vanguard Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of MFS Value and Vanguard Index.

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Diversification Opportunities for MFS Value and Vanguard Index

MFS Value Fund Class R1 diversification synergy
0.88
MFS
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Very poor diversification

The 3 months correlation between MEIGX and Vanguard is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Class R1 and Vanguard Index Trust Vanguard in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Index Trust and MFS Value is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on MFS Value Fund Class R1 are associated (or correlated) with Vanguard Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Index Trust has no effect on the direction of MFS Value i.e. MFS Value and Vanguard Index go up and down completely randomly.

Pair Corralation between MFS Value and Vanguard Index

Assuming 30 trading days horizon, MFS Value Fund Class R1 is expected to generate 1.0 times more return on investment than Vanguard Index. However, MFS Value is 1.0 times more volatile than Vanguard Index Trust Vanguard V. It trades about 0.06 of its potential returns per unit of risk. Vanguard Index Trust Vanguard V is currently generating about 0.04 per unit of risk. If you would invest  4,291  in MFS Value Fund Class R1 on January 24, 2020 and sell it today you would earn a total of  96.00  from holding MFS Value Fund Class R1 or generate 2.24% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy98.46%
ValuesDaily Returns

MFS Value Fund Class R1  vs.  Vanguard Index Trust Vanguard

 Performance (%) 
    
  Timeline 
MFS Value Fund 
33

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MFS Value Fund Class R1 are ranked lower than 3 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly strong basic indicators, MFS Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.
Vanguard Index Trust 
22

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Index Trust Vanguard V are ranked lower than 2 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly strong basic indicators, Vanguard Index is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.

MFS Value and Vanguard Index Volatility Contrast

 Predicted Return Density 
    
  Returns 
Check out your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.