Correlation Analysis Between MFS Value and PIMCO 1

This module allows you to analyze existing cross correlation between MFS Value Fund Class R5 and PIMCO 1 5 Year U S TIPS Index. You can compare the effects of market volatilities on MFS Value and PIMCO 1 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 PIMCO 1. See also your portfolio center. Please also check ongoing floating volatility patterns of MFS Value and PIMCO 1.
Horizon     30 Days    Login   to change
Symbolsvs
Check Efficiency

Comparative Performance

MFS Value Fund  
00

Risk-Adjusted Fund Performance

Over the last 30 days MFS Value Fund Class R5 has generated negative risk-adjusted returns adding no value to fund investors. 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.
PIMCO 1 5  
00

Risk-Adjusted Performance

Over the last 30 days PIMCO 1 5 Year U S TIPS Index has generated negative risk-adjusted returns adding no value to investors with long positions. Inspite fairly strong basic indicators, PIMCO 1 is not utilizing all of its potentials. The late stock price disturbance, may contribute to short term losses for the investors.

MFS Value and PIMCO 1 Volatility Contrast

 Predicted Return Density 
      Returns 

MFS Value Fund Class R5  vs.  PIMCO 1 5 Year U S TIPS Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MFS Value Fund Class R5 is expected to generate 8.41 times more return on investment than PIMCO 1. However, MFS Value is 8.41 times more volatile than PIMCO 1 5 Year U S TIPS Index. It trades about 0.01 of its potential returns per unit of risk. PIMCO 1 5 Year U S TIPS Index is currently generating about -0.01 per unit of risk. If you would invest  4,180  in MFS Value Fund Class R5 on September 17, 2019 and sell it today you would earn a total of  10.00  from holding MFS Value Fund Class R5 or generate 0.24% return on investment over 30 days.

Pair Corralation between MFS Value and PIMCO 1

-0.46
Time Period3 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for MFS Value and PIMCO 1

MFS Value Fund Class R5 diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Class R5 and PIMCO 1 5 Year U S TIPS Index in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on PIMCO 1 5 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 R5 are associated (or correlated) with PIMCO 1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO 1 5 has no effect on the direction of MFS Value i.e. MFS Value and PIMCO 1 go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.


 
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