MFS Diversified Backtesting

DIFDX -- USA Fund  

USD 13.04  0.02  0.15%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Diversified Income Fund Cla and determine expected loss or profit from investing in MFS Diversified over given investment horizon. Additionally see MFS Diversified Hype Analysis, MFS Diversified Correlation, Portfolio Optimization, MFS Diversified Volatility as well as analyze MFS Diversified Alpha and Beta and MFS Diversified Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MFS Diversified 'What if' Analysis

July 15, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 13, 2019
0.00
If you would invest  0.00  in MFS Diversified on July 15, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Diversified Income Fund Cla or generate 0.0% return on investment in MFS Diversified over 90 days. MFS Diversified is related to or competes with Franklin Income, Franklin Income, Franklin Income, Franklin Income, Vanguard Wellesley, BlackRock Funds, and BlackRock Funds. The investment seeks total return with emphasis on current income, but also considering capital appreciation

MFS Diversified Upside/Downside Indicators

Downside Deviation0.3414
Information Ratio0.1371
Maximum Drawdown1.33
Value At Risk(0.47)
Potential Upside0.393

MFS Diversified Market Premium Indicators

Risk Adjusted Performance0.0749
Jensen Alpha0.0238
Total Risk Alpha0.0257
Sortino Ratio0.1174
Treynor Ratio0.0929

MFS Diversified Income Backtested Returns

We consider MFS Diversified very steady. MFS Diversified Income has Sharpe Ratio of 0.1026 which conveys that the entity had 0.1026% 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 Diversified which you can use to evaluate future volatility of the organization. Please verify MFS Diversified Income Fund Cla Mean Deviation of 0.2286, Market Risk Adjusted Performance of 0.1029 and Risk Adjusted Performance of 0.0749 to check out if risk estimate we provide are consistent with the epected return of 0.0302%. The fund secures Beta (Market Risk) of 0.21 which conveys that as returns on market increase, MFS Diversified returns are expected to increase less than the market. However during bear market, the loss on holding MFS Diversified will be expected to be smaller as well. Although it is extremely important to respect MFS Diversified Income 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 Diversified Income technical indicators you can now evaluate if the expected return of 0.0302% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.16 
correlation synergy

Very weak predictability

MFS Diversified Income Fund Cla has very weak predictability. Overlapping area represents the amount of predictability between MFS Diversified time series from July 15, 2019 to August 29, 2019 and August 29, 2019 to October 13, 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 Diversified Income price movement. The serial correlation of 0.16 indicates that over 16.0% of current MFS Diversified price fluctuation can be explain by its past prices.
Correlation Coefficient0.16
Spearman Rank Test0.41
Residual Average0.0
Price Variance0.0

MFS Diversified Income lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MFS Diversified regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MFS Diversified Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run My Watchlist Analysis Now

   

My Watchlist Analysis

Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like
All  Next Launch Module

MFS Diversified Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Diversified and Franklin Income Fund. 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
Run Pair Correlation  
Additionally see MFS Diversified Hype Analysis, MFS Diversified Correlation, Portfolio Optimization, MFS Diversified Volatility as well as analyze MFS Diversified Alpha and Beta and MFS Diversified Performance. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
Search macroaxis.com