MFS Value Backtesting

EBVLX -- USA Fund  

USD 43.16  0.31  0.71%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Value Fund Share Class 52 and determine expected loss or profit from investing in MFS Value over given investment horizon. Additionally see MFS Value Hype Analysis, MFS Value Correlation, Portfolio Optimization, MFS Value Volatility as well as analyze MFS Value Alpha and Beta and MFS Value Performance.
Horizon     30 Days    Login   to change

MFS Value 'What if' Analysis

September 15, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 14, 2019
If you would invest  0.00  in MFS Value on September 15, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Value Fund Share Class 52 or generate 0.0% return on investment in MFS Value over 90 days. MFS Value is related to or competes with Vanguard Index, American Mutual, Vanguard Value, American Mutual, Dodge Cox, American Mutual, and Vanguard Index. The fund normally invests the funds assets primarily in equity securities

MFS Value Upside/Downside Indicators

Downside Deviation0.9644
Information Ratio0.0133
Maximum Drawdown5.85
Value At Risk(1.52)
Potential Upside1.11

MFS Value Market Premium Indicators

Risk Adjusted Performance0.0481
Jensen Alpha0.0358
Total Risk Alpha(0.008598)
Sortino Ratio0.0121
Treynor Ratio0.123

MFS Value Fund Backtested Returns

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.0813 which conveys that the entity had 0.0813% 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 Value which you can use to evaluate future volatility of the organization. Please verify MFS Value Fund Share Class 52 Risk Adjusted Performance of 0.0481, Market Risk Adjusted Performance of 0.133 and Mean Deviation of 0.5904 to check out if risk estimate we provide are consistent with the epected return of 0.0723%. The fund secures Beta (Market Risk) of 0.453 which conveys that as returns on market increase, MFS Value returns are expected to increase less than the market. However during bear market, the loss on holding MFS Value will be expected to be smaller as well. Although it is extremely important to respect MFS Value Fund 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 Value Fund technical indicators you can now evaluate if the expected return of 0.0723% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.06) 
correlation synergy

Very weak reverse predictability

MFS Value Fund Share Class 52 has very weak reverse predictability. Overlapping area represents the amount of predictability between MFS Value time series from September 15, 2019 to October 30, 2019 and October 30, 2019 to December 14, 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 Value Fund price movement. The serial correlation of -0.06 indicates that barely 6.0% of current MFS Value price fluctuation can be explain by its past prices. Given that MFS Value Fund Share Class 52 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MFS Value for similar time interval.
Correlation Coefficient-0.06
Spearman Rank Test0.05
Residual Average0.0
Price Variance0.23

MFS Value Fund lagged returns against current returns

 Current and Lagged Values 

MFS Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Value Lagged Returns

 Regressed Prices 

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MFS Value Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Value and Vanguard Index Trust. 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 Value Hype Analysis, MFS Value Correlation, Portfolio Optimization, MFS Value Volatility as well as analyze MFS Value Alpha and Beta and MFS Value Performance. Please also try CEO Directory module to screen ceos from public companies around the world.