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MFS Value Backtesting

MFS
MEIGX -- USA Fund  

USD 37.90  3.28  7.96%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Value Fund Class R1 and determine expected loss or profit from investing in MFS Value over given investment horizon. Additionally, see MFS Value Hype Analysis, MFS Value Correlation, Portfolio Optimization, MFS Value Volatility as well as analyze MFS Value Alpha and Beta and MFS Value Performance.
Symbol
Backtest

MFS Value 'What if' Analysis

0.00
11/29/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/27/2020
0.00
If you would invest  0.00  in MFS Value on November 29, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Value Fund Class R1 or generate 0.0% return on investment in MFS Value over 90 days. MFS Value is related to or competes with Columbia Dividend, Delaware Value, Putnam Equity, Invesco Comstock, Hartford Dividend, Hartford Dividend, and Diamond Hill. The fund normally invests the funds assets primarily in equity securities

MFS Value Upside/Downside Indicators

Information Ratio(0.034811)
Maximum Drawdown6.8
Value At Risk(1.90)
Potential Upside1.1

MFS Value Market Premium Indicators

Risk Adjusted Performance(0.14)
Jensen Alpha(0.13)
Total Risk Alpha(0.013659)
Treynor Ratio(0.46)

MFS Value Fund Backtested Returns

Macroaxis considers MFS Value to be not too volatile. MFS Value Fund has Sharpe Ratio of -0.1241 which conveys that the entity had -0.1241% 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 Value exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MFS Value Fund Class R1 Market Risk Adjusted Performance of (0.45), Risk Adjusted Performance of (0.14) and Mean Deviation of 0.793 to check out risk estimate we provide. The fund secures Beta (Market Risk) of 0.4117, which conveys that as returns on market increase, MFS Value returns are expected to increase less than the market. However during bear market, the loss on holding MFS Value will be expected to be smaller as well. Even though it is essential to pay attention to MFS Value Fund 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 Value exposes twenty-one different technical indicators, which can help you to evaluate its performance.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.21) 
correlation synergy

Weak reverse predictability

MFS Value Fund Class R1 has weak reverse predictability. Overlapping area represents the amount of predictability between MFS Value time series from November 29, 2019 to January 13, 2020 and January 13, 2020 to February 27, 2020. 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 -0.21 indicates that over 21.0% of current MFS Value price fluctuation can be explain by its past prices. Given that MFS Value Fund Class R1 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MFS Value for similar time interval.
Correlation Coefficient-0.21
Spearman Rank Test0.02
Residual Average0.0
Price Variance0.84

MFS Value Fund lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

MFS Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

MFS Value Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - MEIGX

MFS Value Fund Investor Sentiment

Macroaxis portfolio users are evenly split in their trading attitude regarding investing in MFS Value Fund Class R1. What is your trading attitude regarding investing in MFS Value Fund Class R1? Are you bullish or bearish?
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Additionally, see MFS Value Hype Analysis, MFS Value Correlation, Portfolio Optimization, MFS Value Volatility as well as analyze MFS Value Alpha and Beta and MFS Value Performance. Please also try Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.