MFS Emerging Backtesting

EMLMX -- USA Fund  

USD 6.92  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
SymbolX
Backtest

MFS Emerging 'What if' Analysis

July 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 17, 2019
0.00
If you would invest  0.00  in MFS Emerging on July 19, 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, PIMCO Emerging, PIMCO Emerging, Hartford Emerging, Hartford Emerging, Hartford Emerging, and Ivy Pictet. The investment seeks total return with an emphasis on high current income, but also considering capital appreciation

MFS Emerging Upside/Downside Indicators

Information Ratio4.0E-4
Maximum Drawdown1.73
Value At Risk(0.72)
Potential Upside0.7289

MFS Emerging Market Premium Indicators

Risk Adjusted Performance(0.029387)
Jensen Alpha(0.013825)
Total Risk Alpha(0.009443)
Treynor Ratio(0.12)

MFS Emerging Markets Backtested Returns

Macroaxis considers MFS Emerging to be not too volatile. MFS Emerging Markets has Sharpe Ratio of -0.0445 which conveys that the entity had -0.0445% of return per unit of standard deviation over the last 3 months. Macroaxis approach into estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. MFS Emerging exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MFS Emerging Markets Debt Local Risk Adjusted Performance of (0.029387), Market Risk Adjusted Performance of (0.11) and Mean Deviation of 0.297 to check out risk estimate we provide. The fund secures Beta (Market Risk) of 0.1356 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. Even though it is essential to pay attention to MFS Emerging Markets price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis approach into estimating future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. MFS Emerging exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.14) 
correlation synergy

Insignificant reverse predictability

MFS Emerging Markets Debt Local has insignificant reverse predictability. Overlapping area represents the amount of predictability between MFS Emerging time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 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 -0.14 indicates that less than 14.0% of current MFS Emerging price fluctuation can be explain by its past prices. Given that MFS Emerging Markets Debt Local has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MFS Emerging for similar time interval.
Correlation Coefficient-0.14
Spearman Rank Test-0.37
Residual Average0.0
Price Variance0.0

MFS Emerging Markets lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MFS Emerging regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MFS Emerging Lagged Returns

 Regressed Prices 
      Timeline 

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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
Run Pair Correlation  
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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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