MFS Diversified Backtesting

DIFEX -- USA Fund  

USD 13.16  0.01  0.08%

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

MFS Diversified 'What if' Analysis

August 23, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 21, 2019
If you would invest  0.00  in MFS Diversified on August 23, 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, BlackRock Funds, BlackRock Multi, JPMorgan Income, JPMorgan Income, JPMorgan Income, and Hartford Balanced. The investment seeks total return with emphasis on current income, but also considering capital appreciation

MFS Diversified Upside/Downside Indicators

Downside Deviation0.3037
Information Ratio(0.30)
Maximum Drawdown0.9945
Value At Risk(0.38)
Potential Upside0.3645

MFS Diversified Market Premium Indicators

Risk Adjusted Performance0.108
Jensen Alpha0.0182
Total Risk Alpha2.0E-4
Sortino Ratio(0.22)
Treynor Ratio0.2385

MFS Diversified Income Backtested Returns

We consider MFS Diversified very steady. MFS Diversified Income has Sharpe Ratio of 0.2065 which conveys that the entity had 0.2065% 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 Market Risk Adjusted Performance of 0.2485, Risk Adjusted Performance of 0.108 and Mean Deviation of 0.1731 to check out if risk estimate we provide are consistent with the epected return of 0.0443%. The fund secures Beta (Market Risk) of 0.1288 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 0.0443% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 
correlation synergy

Good predictability

MFS Diversified Income Fund Cla has good predictability. Overlapping area represents the amount of predictability between MFS Diversified 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 Diversified Income price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current MFS Diversified price fluctuation can be explain by its past prices.
Correlation Coefficient0.6
Spearman Rank Test0.42
Residual Average0.0
Price Variance0.0

MFS Diversified Income lagged returns against current returns

 Current and Lagged Values 

MFS Diversified regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Diversified Lagged Returns

 Regressed Prices 

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Fundamental Analysis

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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
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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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.