MFS Emerging Backtesting

EMLIX -- USA Fund  

USD 6.86  0.02  0.29%

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

MFS Emerging 'What if' Analysis

August 14, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 12, 2019
If you would invest  0.00  in MFS Emerging on August 14, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Emerging Markets Debt Local or generate 0.0% return on investment in MFS Emerging over 90 days. MFS Emerging is related to or competes with PIMCO Emerging, Eaton Vance, T Rowe, MFS Emerging, MFS Emerging, MFS Emerging, and MFS Emerging. The investment seeks total return with an emphasis on high current income, but also considering capital appreciation

MFS Emerging Upside/Downside Indicators

Downside Deviation0.4184
Information Ratio(0.19)
Maximum Drawdown2.19
Value At Risk(0.59)
Potential Upside0.5988

MFS Emerging Market Premium Indicators

Risk Adjusted Performance0.0089
Jensen Alpha(0.007025)
Total Risk Alpha(0.032046)
Sortino Ratio(0.17)
Treynor Ratio(0.005106)

MFS Emerging Markets Backtested Returns

We consider MFS Emerging not too volatile. MFS Emerging Markets has Sharpe Ratio of 0.0514 which conveys that the entity had 0.0514% 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 Emerging which you can use to evaluate future volatility of the organization. Please verify MFS Emerging Markets Debt Local Market Risk Adjusted Performance of 0.0049, Risk Adjusted Performance of 0.0089 and Mean Deviation of 0.2779 to check out if risk estimate we provide are consistent with the epected return of 0.0193%. The fund secures Beta (Market Risk) of 0.0904 which conveys that as returns on market increase, MFS Emerging returns are expected to increase less than the market. However during bear market, the loss on holding MFS Emerging will be expected to be smaller as well. Although it is extremely important to respect MFS Emerging Markets 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 Emerging Markets technical indicators you can now evaluate if the expected return of 0.0193% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 
correlation synergy

Good predictability

MFS Emerging Markets Debt Local has good predictability. Overlapping area represents the amount of predictability between MFS Emerging time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 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 Emerging Markets price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current MFS Emerging price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.45
Residual Average0.0
Price Variance0.0

MFS Emerging Markets lagged returns against current returns

 Current and Lagged Values 

MFS Emerging regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Emerging Lagged Returns

 Regressed Prices 

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MFS Emerging Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for MFS Emerging and PIMCO Emerging Markets. 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 Emerging Hype Analysis, MFS Emerging Correlation, Portfolio Optimization, MFS Emerging Volatility as well as analyze MFS Emerging Alpha and Beta and MFS Emerging Performance. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.