MFS Emerging Backtesting

EMLMX -- USA Fund  

USD 6.92  0.03  0.44%

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

September 11, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 10, 2019
If you would invest  0.00  in MFS Emerging on September 11, 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, PIMCO Emerging, Eaton Vance, Eaton Vance, and Eaton Vance. The investment seeks total return with an emphasis on high current income, but also considering capital appreciation

MFS Emerging Upside/Downside Indicators

Downside Deviation0.46
Information Ratio(0.13)
Maximum Drawdown2.03
Value At Risk(0.58)
Potential Upside0.5831

MFS Emerging Market Premium Indicators

Risk Adjusted Performance0.0162
Jensen Alpha(0.00132)
Total Risk Alpha(0.030177)
Sortino Ratio(0.11)
Treynor Ratio0.04

MFS Emerging Markets Backtested Returns

We consider MFS Emerging not too volatile. MFS Emerging Markets has Sharpe Ratio of 0.0371 which conveys that the entity had 0.0371% 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 0.05, Risk Adjusted Performance of 0.0162 and Mean Deviation of 0.2833 to check out if risk estimate we provide are consistent with the epected return of 0.0146%. The fund secures Beta (Market Risk) of 0.0983 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 0.0146% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.04) 
correlation synergy

Very weak reverse predictability

MFS Emerging Markets Debt Local has very weak reverse predictability. Overlapping area represents the amount of predictability between MFS Emerging time series from September 11, 2019 to October 26, 2019 and October 26, 2019 to December 10, 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 -0.04 indicates that only as little as 4.0% 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-0.04
Spearman Rank Test-0.33
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.