MFS Value Backtesting

MEIGX -- USA Fund  

USD 42.45  0.22  0.52%

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. Please see also 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MFS Value 'What if' Analysis

August 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 12, 2019
0.00
If you would invest  0.00  in MFS Value on August 14, 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 American Mutual, American Mutual, American Mutual, American Mutual, American Mutual, American Mutual, and American Mutual. The fund normally invests the funds assets primarily in equity securities

MFS Value Upside/Downside Indicators

Downside Deviation1.09
Information Ratio(0.01957)
Maximum Drawdown4.1
Value At Risk(1.87)
Potential Upside1.18

MFS Value Market Premium Indicators

Risk Adjusted Performance0.0657
Jensen Alpha0.003
Total Risk Alpha(0.016891)
Sortino Ratio(0.015564)
Treynor Ratio0.0768

MFS Value Fund Backtested Returns

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.0795 which conveys that the entity had 0.0795% 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 Value which you can use to evaluate future volatility of the organization. Please verify MFS Value Fund Class R1 Market Risk Adjusted Performance of 0.0868, Risk Adjusted Performance of 0.0657 and Mean Deviation of 0.6313 to check out if risk estimate we provide are consistent with the epected return of 0.0685%. The fund secures Beta (Market Risk) of 0.7242 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. Although it is extremely important to respect MFS Value Fund 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 Value Fund technical indicators you can now evaluate if the expected return of 0.0685% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.79 
correlation synergy

Good predictability

MFS Value Fund Class R1 has good predictability. Overlapping area represents the amount of predictability between MFS Value time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 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 Value Fund price movement. The serial correlation of 0.79 indicates that around 79.0% of current MFS Value price fluctuation can be explain by its past prices.
Correlation Coefficient0.79
Spearman Rank Test0.75
Residual Average0.0
Price Variance0.56

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 

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Please see also 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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