MFS Blended Backtesting

BRKAX -- USA Fund  

USD 12.44  0.11  0.89%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Blended Research Em Mkts Eq A and determine expected loss or profit from investing in MFS Blended over given investment horizon. Check also MFS Blended Hype Analysis, MFS Blended Correlation, Portfolio Optimization, MFS Blended Volatility as well as analyze MFS Blended Alpha and Beta and MFS Blended Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MFS Blended 'What if' Analysis

October 16, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 15, 2018
0.00
If you would invest  0.00  in MFS Blended on October 16, 2018 and sell it all today you would earn a total of 0.00 from holding MFS Blended Research Em Mkts Eq A or generate 0.0% return on investment in MFS Blended over 30 days. MFS Blended is related to or competes with Vanguard Emerging, Vanguard Emerging, Oppenheimer Developing, Oppenheimer Developing, Oppenheimer Developing, American Funds, and American Funds. The fund normally invests at least 80 percent of the fund net assets in equity securities of issuers that are tied econo...

MFS Blended Upside/Downside Indicators

Information Ratio0.0257
Maximum Drawdown4.62
Value At Risk2.63
Potential Upside1.97
  

MFS Blended Market Premium Indicators

Risk Adjusted Performance0.048818
Jensen Alpha0.06
Total Risk Alpha0.0785
Treynor Ratio0.69

MFS Blended Research Backtested Returns

Macroaxis considers MFS Blended to be not very risky. MFS Blended Research has Sharpe Ratio of -0.1033 which conveys that MFS Blended Research had -0.1033% of return per unit of standard deviation over the last 1 month. Macroaxis approach into estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. MFS Blended exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MFS Blended Research Em Mkts Eq A Market Risk Adjusted Performance of 0.68, Mean Deviation of 1.38 and Risk Adjusted Performance of 0.048818 to check out risk estimate we provide. The fund secures Beta (Market Risk) of 0.1131 which conveys that as returns on market increase, MFS Blended returns are expected to increase less than the market. However during bear market, the loss on holding MFS Blended will be expected to be smaller as well.. Even though it is essential to pay attention to MFS Blended Research price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis approach into estimating future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. MFS Blended exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.18 
correlation synergy

Very weak predictability

MFS Blended Research Em Mkts Eq A has very weak predictability. Overlapping area represents the amount of predictability between MFS Blended time series from October 16, 2018 to October 31, 2018 and October 31, 2018 to November 15, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MFS Blended Research price movement. The serial correlation of 0.18 indicates that over 18.0% of current MFS Blended price fluctuation can be explain by its past prices.
Correlation Coefficient0.18
Spearman Rank Test0.34
Residual Average0.0
Price Variance0.05

MFS Blended Research lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MFS Blended regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MFS Blended Lagged Returns

 Regressed Prices 
      Timeline 

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Performance Analysis

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MFS Blended Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Blended and Vanguard Emerging Mkts. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also MFS Blended Hype Analysis, MFS Blended Correlation, Portfolio Optimization, MFS Blended Volatility as well as analyze MFS Blended Alpha and Beta and MFS Blended Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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