Mfs Diversified Income Fund Market Value
| DIFAX Fund | USD 11.79 0.01 0.08% |
| Symbol | Mfs |
Mfs Diversified 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Mfs Diversified's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Mfs Diversified.
| 05/01/2023 |
| 04/25/2024 |
If you would invest 0.00 in Mfs Diversified on May 1, 2023 and sell it all today you would earn a total of 0.00 from holding Mfs Diversified Income or generate 0.0% return on investment in Mfs Diversified over 360 days. Mfs Diversified is related to or competes with Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, and Mfs Lifetime. The fund normally invests its assets primarily in a broad range of debt instruments and equity securities of U.S More
Mfs Diversified Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Mfs Diversified's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Mfs Diversified Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4912 | |||
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 2.02 | |||
| Value At Risk | (0.68) | |||
| Potential Upside | 0.5119 |
Mfs Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Diversified's standard deviation. In reality, there are many statistical measures that can use Mfs Diversified historical prices to predict the future Mfs Diversified's volatility.| Risk Adjusted Performance | 0.0159 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | 0.0077 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs Diversified's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Mfs Diversified Me Backtested Returns
We consider Mfs Diversified very steady. Mfs Diversified Me has Sharpe Ratio of 0.0159, which conveys that the entity had a 0.0159% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Mfs Diversified, which you can use to evaluate the volatility of the fund. Please verify Mfs Diversified's Downside Deviation of 0.4912, mean deviation of 0.2811, and Risk Adjusted Performance of 0.0159 to check out if the risk estimate we provide is consistent with the expected return of 0.0062%. The fund secures a Beta (Market Risk) of 0.47, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mfs Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mfs Diversified is expected to be smaller as well.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Mfs Diversified Income has insignificant reverse predictability. Overlapping area represents the amount of predictability between Mfs Diversified time series from 1st of May 2023 to 28th of October 2023 and 28th of October 2023 to 25th of April 2024. 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 Diversified Me price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Mfs Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Mfs Diversified Me lagged returns against current returns
Autocorrelation, which is Mfs Diversified mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Mfs Diversified's mutual fund expected returns. We can calculate the autocorrelation of Mfs Diversified returns to help us make a trade decision. For example, suppose you find that Mfs Diversified has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Mfs Diversified regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Mfs Diversified mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Diversified mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mfs Diversified mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Diversified Lagged Returns
When evaluating Mfs Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Diversified mutual fund have on its future price. Mfs Diversified autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Mfs Diversified autocorrelation shows the relationship between Mfs Diversified mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Diversified Income.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Mfs Diversified in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Mfs Diversified's short interest history, or implied volatility extrapolated from Mfs Diversified options trading.
Pair Trading with Mfs Diversified
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mfs Diversified position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mfs Diversified will appreciate offsetting losses from the drop in the long position's value.Moving together with Mfs Mutual Fund
| 0.85 | FPPJX | Mfs Prudent Investor | PairCorr |
| 0.85 | FPPQX | Mfs Prudent Investor | PairCorr |
| 0.84 | FPPRX | Mfs Prudent Investor | PairCorr |
| 0.85 | FPPSX | Mfs Prudent Investor | PairCorr |
| 0.85 | FPPUX | Mfs Prudent Investor | PairCorr |
The ability to find closely correlated positions to Mfs Diversified could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mfs Diversified when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mfs Diversified - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mfs Diversified Income to buy it.
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mfs Diversified moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mfs Diversified Me moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mfs Diversified can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Mfs Diversified Correlation, Mfs Diversified Volatility and Mfs Diversified Alpha and Beta module to complement your research on Mfs Diversified. Note that the Mfs Diversified Me information on this page should be used as a complementary analysis to other Mfs Diversified's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Mfs Diversified technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.