MFS Diversified Backtesting

DIFHX -- USA Fund  

USD 13.06  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 Fd Cl R5 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 13, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 11, 2019
If you would invest  0.00  in MFS Diversified on August 13, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Diversified Income Fd Cl R5 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, BlackRock Multi, JPMorgan Income, Hartford Balanced, Hartford Balanced, and Hartford Balanced. The investment seeks total return with emphasis on current income, but also considering capital appreciation

MFS Diversified Upside/Downside Indicators

Downside Deviation0.3833
Information Ratio(0.18)
Maximum Drawdown1.62
Value At Risk(0.61)
Potential Upside0.4623

MFS Diversified Market Premium Indicators

Risk Adjusted Performance0.0554
Jensen Alpha0.0172
Total Risk Alpha(0.010008)
Sortino Ratio(0.15)
Treynor Ratio(2.65)

MFS Diversified Income Backtested Returns

We consider MFS Diversified very steady. MFS Diversified Income has Sharpe Ratio of 0.1038 which conveys that the entity had 0.1038% 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 Fd Cl R5 Risk Adjusted Performance of 0.0554, Mean Deviation of 0.2402 and Market Risk Adjusted Performance of (2.64) to check out if risk estimate we provide are consistent with the epected return of 0.0331%. The fund secures Beta (Market Risk) of -0.0063 which conveys that as returns on market increase, returns on owning MFS Diversified are expected to decrease at a much smaller rate. During bear market, MFS Diversified is likely to outperform the market. 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 0.0331% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 
correlation synergy

Good predictability

MFS Diversified Income Fd Cl R5 has good predictability. Overlapping area represents the amount of predictability between MFS Diversified time series from August 13, 2019 to September 27, 2019 and September 27, 2019 to November 11, 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 0.66 indicates that around 66.0% of current MFS Diversified price fluctuation can be explain by its past prices.
Correlation Coefficient0.66
Spearman Rank Test0.79
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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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.