Mfs International Value Fund Market Value
| MGIAX Fund | USD 38.97 0.16 0.41% |
| Symbol | Mfs |
Mfs International '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 International'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 International.
| 02/16/2024 |
| 04/16/2024 |
If you would invest 0.00 in Mfs International on February 16, 2024 and sell it all today you would earn a total of 0.00 from holding Mfs International Value or generate 0.0% return on investment in Mfs International over 60 days. Mfs International 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 its assets primarily in foreign equity securities, including emerging market equity securities More
Mfs International 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 International'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 International Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.749 | |||
| Information Ratio | 0.0486 | |||
| Maximum Drawdown | 2.91 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.14 |
Mfs International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs International's standard deviation. In reality, there are many statistical measures that can use Mfs International historical prices to predict the future Mfs International's volatility.| Risk Adjusted Performance | 0.0898 | |||
| Jensen Alpha | 0.0369 | |||
| Total Risk Alpha | 0.0289 | |||
| Sortino Ratio | 0.0435 | |||
| Treynor Ratio | 0.0929 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs International'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 International Value Backtested Returns
We consider Mfs International very steady. Mfs International Value has Sharpe Ratio of 0.2, which conveys that the entity had a 0.2% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mfs International, which you can use to evaluate the volatility of the fund. Please verify Mfs International's Risk Adjusted Performance of 0.0898, downside deviation of 0.749, and Mean Deviation of 0.5072 to check out if the risk estimate we provide is consistent with the expected return of 0.13%. The fund secures a Beta (Market Risk) of 0.92, which conveys possible diversification benefits within a given portfolio. Mfs International returns are very sensitive to returns on the market. As the market goes up or down, Mfs International is expected to follow.
Auto-correlation | -0.24 |
Weak reverse predictability
Mfs International Value has weak reverse predictability. Overlapping area represents the amount of predictability between Mfs International time series from 16th of February 2024 to 17th of March 2024 and 17th of March 2024 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 International Value price movement. The serial correlation of -0.24 indicates that over 24.0% of current Mfs International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Mfs International Value lagged returns against current returns
Autocorrelation, which is Mfs International 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 International's mutual fund expected returns. We can calculate the autocorrelation of Mfs International returns to help us make a trade decision. For example, suppose you find that Mfs International 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 International 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 International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs International 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 International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs International Lagged Returns
When evaluating Mfs International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs International mutual fund have on its future price. Mfs International 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 International autocorrelation shows the relationship between Mfs International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs International Value.
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 International 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 International's short interest history, or implied volatility extrapolated from Mfs International options trading.
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Try AI Portfolio ArchitectCheck out Mfs International Correlation, Mfs International Volatility and Mfs International Alpha and Beta module to complement your research on Mfs International. Note that the Mfs International Value information on this page should be used as a complementary analysis to other Mfs International'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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Mfs International 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.