Mfs Value Fund Market Value
| MEIGX Fund | USD 47.61 0.23 0.48% |
| Symbol | Mfs |
Mfs Value '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 Value'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 Value.
| 04/27/2022 |
| 04/16/2024 |
If you would invest 0.00 in Mfs Value on April 27, 2022 and sell it all today you would earn a total of 0.00 from holding Mfs Value Fund or generate 0.0% return on investment in Mfs Value over 720 days. Mfs Value is related to or competes with Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, and Mfs Lifetime. The fund normally invests the funds assets primarily in equity securities More
Mfs Value 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 Value'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 Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6156 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.99 | |||
| Value At Risk | (0.89) | |||
| Potential Upside | 0.789 |
Mfs Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Value's standard deviation. In reality, there are many statistical measures that can use Mfs Value historical prices to predict the future Mfs Value's volatility.| Risk Adjusted Performance | 0.0582 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0511 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs Value'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 Value Fund Backtested Returns
We consider Mfs Value very steady. Mfs Value Fund has Sharpe Ratio of 0.14, which conveys that the entity had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mfs Value, which you can use to evaluate the volatility of the fund. Please verify Mfs Value's Mean Deviation of 0.4148, downside deviation of 0.6156, and Risk Adjusted Performance of 0.0582 to check out if the risk estimate we provide is consistent with the expected return of 0.0758%. The fund secures a Beta (Market Risk) of 0.81, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mfs Value's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mfs Value is expected to be smaller as well.
Auto-correlation | 0.31 |
Below average predictability
Mfs Value Fund has below average predictability. Overlapping area represents the amount of predictability between Mfs Value time series from 27th of April 2022 to 22nd of April 2023 and 22nd of April 2023 to 16th 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 Value Fund price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Mfs Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 5.37 |
Mfs Value Fund lagged returns against current returns
Autocorrelation, which is Mfs Value 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 Value's mutual fund expected returns. We can calculate the autocorrelation of Mfs Value returns to help us make a trade decision. For example, suppose you find that Mfs Value 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 Value 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 Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Value 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 Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Value Lagged Returns
When evaluating Mfs Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Value mutual fund have on its future price. Mfs Value 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 Value autocorrelation shows the relationship between Mfs Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Value Fund.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Mfs Value in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Mfs Value's short interest history, or implied volatility extrapolated from Mfs Value options trading.
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Try AI Portfolio ArchitectCheck out Mfs Value Correlation, Mfs Value Volatility and Mfs Value Alpha and Beta module to complement your research on Mfs Value. Note that the Mfs Value Fund information on this page should be used as a complementary analysis to other Mfs Value'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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Mfs Value 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.