Mfs Servative Allocation Fund Market Value
| MACBX Fund | USD 16.22 0.04 0.25% |
| Symbol | Mfs |
Mfs Servative 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Mfs Servative's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Mfs Servative.
| 01/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Mfs Servative on January 20, 2024 and sell it all today you would earn a total of 0.00 from holding Mfs Servative Allocation or generate 0.0% return on investment in Mfs Servative over 90 days. Mfs Servative is related to or competes with Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, and Mfs Lifetime. The fund is designed to provide diversification among different asset classes by investing its assets in other mutual fu... More
Mfs Servative Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Mfs Servative's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Mfs Servative Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4048 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 1.58 | |||
| Value At Risk | (0.56) | |||
| Potential Upside | 0.4944 |
Mfs Servative Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Servative's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Servative's standard deviation. In reality, there are many statistical measures that can use Mfs Servative historical prices to predict the future Mfs Servative's volatility.| Risk Adjusted Performance | 0.0099 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.14) | |||
| Treynor Ratio | (0.0001) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs Servative's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Mfs Servative Allocation Backtested Returns
We consider Mfs Servative very steady. Mfs Servative Allocation has Sharpe Ratio of 0.0135, which conveys that the entity had a 0.0135% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Mfs Servative, which you can use to evaluate the volatility of the fund. Please verify Mfs Servative's Downside Deviation of 0.4048, mean deviation of 0.2552, and Risk Adjusted Performance of 0.0099 to check out if the risk estimate we provide is consistent with the expected return of 0.0045%. The fund secures a Beta (Market Risk) of 0.49, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mfs Servative's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mfs Servative is expected to be smaller as well.
Auto-correlation | -0.67 |
Very good reverse predictability
Mfs Servative Allocation has very good reverse predictability. Overlapping area represents the amount of predictability between Mfs Servative time series from 20th of January 2024 to 5th of March 2024 and 5th of March 2024 to 19th of April 2024. 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 Servative Allocation price movement. The serial correlation of -0.67 indicates that around 67.0% of current Mfs Servative price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.67 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Mfs Servative Allocation lagged returns against current returns
Autocorrelation, which is Mfs Servative mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Mfs Servative's mutual fund expected returns. We can calculate the autocorrelation of Mfs Servative returns to help us make a trade decision. For example, suppose you find that Mfs Servative has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Mfs Servative regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Mfs Servative mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Servative mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mfs Servative mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Servative Lagged Returns
When evaluating Mfs Servative's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Servative mutual fund have on its future price. Mfs Servative autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Mfs Servative autocorrelation shows the relationship between Mfs Servative mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Servative Allocation.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Mfs Servative Correlation, Mfs Servative Volatility and Mfs Servative Alpha and Beta module to complement your research on Mfs Servative. Note that the Mfs Servative Allocation information on this page should be used as a complementary analysis to other Mfs Servative's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
Mfs Servative technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.