MFS Value Backtesting

MEIKX -- USA Fund  

USD 38.48  0.38  0.98%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Value Fund 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.

MFS Value 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in MFS Value on April 9, 2020 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 90 days. MFS Value is related to or competes with Dodge Cox, MFS Series, MFS Value, T Rowe, Columbia Fds, Invesco Diversified, and Invesco Diversified. The fund normally invests the funds assets primarily in equity securities

MFS Value Upside/Downside Indicators

Downside Deviation2.85
Information Ratio0.0714
Maximum Drawdown14.89
Value At Risk(3.94)
Potential Upside4.07

MFS Value Market Premium Indicators

Risk Adjusted Performance0.2573
Jensen Alpha0.4024
Total Risk Alpha0.1055
Sortino Ratio0.0685
Treynor Ratio(2.19)

MFS Value Fund Backtested Returns

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.0413, which conveys that the entity had 0.0413% of return per unit of standard deviation over the last 3 months. Our approach into estimating the 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 fund. Please verify MFS Value Fund mean deviation of 2.0, risk adjusted performance of 0.2573, and market risk adjusted performance of (2.18) to check out if the risk estimate we provide is consistent with the expected return of 0.0954%. The fund secures a Beta (Market Risk) of -0.1702, which conveys not very significant fluctuations relative to the market. Let's try to break down what MEIKX's beta means in this case. As returns on the market increase, returns on owning MFS Value are expected to decrease at a much lower rate. During the bear market, MFS Value is likely to outperform the market. 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 0.0954% will be sustainable into the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.17) 
correlation synergy

Insignificant reverse predictability

MFS Value Fund has insignificant reverse predictability. Overlapping area represents the amount of predictability between MFS Value time series from 9th of April 2020 to 24th of May 2020 and 24th of May 2020 to 8th of July 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 -0.17 indicates that over 17.0% of current MFS Value price fluctuation can be explain by its past prices. Given that MFS Value Fund 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-0.17
Spearman Rank Test-0.04
Residual Average0.0
Price Variance1.0

MFS Value Fund lagged returns against current returns

 Current and Lagged Values 

MFS Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Value Lagged Returns

 Regressed Prices 

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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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page