MFS Blended Backtesting

BRLTX -- USA Fund  

USD 12.23  0.04  0.33%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Blended Research Global Equ 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

MFS Blended 'What if' Analysis

August 23, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 21, 2019
If you would invest  0.00  in MFS Blended on August 23, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Blended Research Global Equ or generate 0.0% return on investment in MFS Blended over 90 days. MFS Blended is related to or competes with American Funds, American Funds, American Funds, Capital World, American Funds, American Funds, and Capital World. The fund normally invests at least 80 percent of the funds net assets in equity securities

MFS Blended Upside/Downside Indicators

Downside Deviation0.7538
Information Ratio0.0342
Maximum Drawdown3.14
Value At Risk(1.14)
Potential Upside1.07

MFS Blended Market Premium Indicators

Risk Adjusted Performance0.1383
Jensen Alpha0.0379
Total Risk Alpha0.029
Sortino Ratio0.0303
Treynor Ratio0.1422

MFS Blended Research Backtested Returns

We consider MFS Blended not too volatile. MFS Blended Research has Sharpe Ratio of 0.2476 which conveys that the entity had 0.2476% of return per unit of standard deviation over the last 3 months. Our approach into estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for MFS Blended which you can use to evaluate future volatility of the organization. Please verify MFS Blended Research Global Equ Mean Deviation of 0.4994, Market Risk Adjusted Performance of 0.1522 and Risk Adjusted Performance of 0.1383 to check out if risk estimate we provide are consistent with the epected return of 0.152%. The fund secures Beta (Market Risk) of 0.845 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. Although it is extremely important to respect MFS Blended Research price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into estimating future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting MFS Blended Research technical indicators you can now evaluate if the expected return of 0.152% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.58 
correlation synergy

Modest predictability

MFS Blended Research Global Equ has modest predictability. Overlapping area represents the amount of predictability between MFS Blended time series from August 23, 2019 to October 7, 2019 and October 7, 2019 to November 21, 2019. 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 0.58 indicates that roughly 58.0% of current MFS Blended price fluctuation can be explain by its past prices.
Correlation Coefficient0.58
Spearman Rank Test0.37
Residual Average0.0
Price Variance0.08

MFS Blended Research lagged returns against current returns

 Current and Lagged Values 

MFS Blended regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Blended Lagged Returns

 Regressed Prices 

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MFS Blended Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Blended and American Funds Capital. 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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.