Mfs Utilities Fund Market Value
| MMUGX Fund | USD 20.14 0.24 1.21% |
| Symbol | Mfs |
Mfs Utilities '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 Utilities' 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 Utilities.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Mfs Utilities on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Mfs Utilities Fund or generate 0.0% return on investment in Mfs Utilities over 30 days. Mfs Utilities is related to or competes with Dominion Energy, Atlantica Sustainable, Consolidated Edison, Eversource Energy, FirstEnergy, Hawaiian Electric, and NiSource. The fund normally invests at least 80 percent of its net assets in securities of issuers in the utilities industry More
Mfs Utilities 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 Utilities' 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 Utilities Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.05 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.54 | |||
| Value At Risk | (1.84) | |||
| Potential Upside | 1.58 |
Mfs Utilities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Utilities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Utilities' standard deviation. In reality, there are many statistical measures that can use Mfs Utilities historical prices to predict the future Mfs Utilities' volatility.| Risk Adjusted Performance | 0.0236 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0263 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs Utilities' 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 Utilities Backtested Returns
We consider Mfs Utilities very steady. Mfs Utilities has Sharpe Ratio of 0.075, which conveys that the entity had a 0.075% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mfs Utilities, which you can use to evaluate the volatility of the fund. Please verify Mfs Utilities' Risk Adjusted Performance of 0.0236, mean deviation of 0.706, and Downside Deviation of 1.05 to check out if the risk estimate we provide is consistent with the expected return of 0.0716%. The fund secures a Beta (Market Risk) of 0.8, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mfs Utilities' returns are expected to increase less than the market. However, during the bear market, the loss of holding Mfs Utilities is expected to be smaller as well.
Auto-correlation | -0.39 |
Poor reverse predictability
Mfs Utilities Fund has poor reverse predictability. Overlapping area represents the amount of predictability between Mfs Utilities time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd 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 Utilities price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Mfs Utilities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Mfs Utilities lagged returns against current returns
Autocorrelation, which is Mfs Utilities 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 Utilities' mutual fund expected returns. We can calculate the autocorrelation of Mfs Utilities returns to help us make a trade decision. For example, suppose you find that Mfs Utilities 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 Utilities 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 Utilities mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Utilities 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 Utilities mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Utilities Lagged Returns
When evaluating Mfs Utilities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Utilities mutual fund have on its future price. Mfs Utilities 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 Utilities autocorrelation shows the relationship between Mfs Utilities mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Utilities 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 Utilities 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 Utilities' short interest history, or implied volatility extrapolated from Mfs Utilities options trading.
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Try AI Portfolio ArchitectCheck out Mfs Utilities Correlation, Mfs Utilities Volatility and Mfs Utilities Alpha and Beta module to complement your research on Mfs Utilities. Note that the Mfs Utilities information on this page should be used as a complementary analysis to other Mfs Utilities' 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
Mfs Utilities 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.