MFS Value Backtesting

EBVLX -- USA Fund  

USD 42.78  0.30  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
SymbolX
Backtest

MFS Value 'What if' Analysis

August 21, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
0.00
If you would invest  0.00  in MFS Value on August 21, 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 Delaware Value, Equity Income, Invesco Comstock, JPMorgan Value, JPMorgan Value, Federated Strategic, and AIG Focused. The fund normally invests the funds assets primarily in equity securities

MFS Value Upside/Downside Indicators

Downside Deviation1.04
Information Ratio(0.02095)
Maximum Drawdown5.4
Value At Risk(1.52)
Potential Upside1.11

MFS Value Market Premium Indicators

Risk Adjusted Performance0.0689
Jensen Alpha(0.017464)
Total Risk Alpha(0.043528)
Sortino Ratio(0.01817)
Treynor Ratio0.0757

MFS Value Fund Backtested Returns

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.1004 which conveys that the entity had 0.1004% 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 Market Risk Adjusted Performance of 0.0857, Mean Deviation of 0.5964 and Risk Adjusted Performance of 0.0689 to check out if risk estimate we provide are consistent with the epected return of 0.0916%. The fund secures Beta (Market Risk) of 0.9837 which conveys that MFS Value returns are very sensitive to returns on the market. as market goes up or down, MFS Value is expected to follow. 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 0.0916% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.40 
correlation synergy

Average predictability

MFS Value Fund Share Class 52 has average predictability. Overlapping area represents the amount of predictability between MFS Value time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 0.4 indicates that just about 40.0% of current MFS Value price fluctuation can be explain by its past prices.
Correlation Coefficient0.4
Spearman Rank Test0.39
Residual Average0.0
Price Variance0.62

MFS Value Fund lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MFS Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MFS Value Lagged Returns

 Regressed Prices 
      Timeline 

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MFS Value Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Value and Delaware Value 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 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 Transaction History module to view history of all your transactions and understand their impact on performance.
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