MFS Blended Risk Analysis And Volatility Evaluation

BRKAX -- USA Fund  

USD 12.69  0.04  0.32%

Macroaxis considers MFS Blended to be not very risky. MFS Blended Research has Sharpe Ratio of -0.0129 which conveys that MFS Blended Research had -0.0129% of return per unit of standard deviation over the last 1 month. 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 Blended exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MFS Blended Research Em Mkts Eq A Market Risk Adjusted Performance of 0.4417, Mean Deviation of 1.24 and Risk Adjusted Performance of 0.0707 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MFS Blended Market Sensitivity

As returns on market increase, MFS Blended returns are expected to increase less than the market. However during bear market, the loss on holding MFS Blended will be expected to be smaller as well.
One Month Beta |Analyze MFS Blended Research Demand Trend
Check current 30 days MFS Blended correlation with market (DOW)
β = 0.1687

MFS Blended Central Daily Price Deviation

MFS Blended Research Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. MFS Blended Research Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

MFS Blended Projected Return Density Against Market

Assuming 30 trading days horizon, MFS Blended has beta of 0.1687 . This suggests as returns on market go up, MFS Blended average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MFS Blended Research Em Mkts Eq A will be expected to be much smaller as well. Moreover, MFS Blended Research Em Mkts Eq A has an alpha of 0.0862 implying that it can potentially generate 0.0862% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MFS Blended is -7745.04. The daily returns are destributed with a variance of 2.24 and standard deviation of 1.5. The mean deviation of MFS Blended Research Em Mkts Eq A is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.09
β
Beta against DOW=0.17
σ
Overall volatility
=1.50
Ir
Information ratio =0.10

MFS Blended Return Volatility

MFS Blended Research Em Mkts Eq A shows 1.497% volatility of returns over 30 trading days. DOW inherits 1.3198% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MFS Blended Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

MFS Blended Investment Opportunity

MFS Blended Research Em Mkts Eq A has a volatility of 1.5 and is 1.14 times more volatile than DOW. 13% of all equities and portfolios are less risky than MFS Blended. Compared to the overall equity markets, volatility of historical daily returns of MFS Blended Research Em Mkts Eq A is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use MFS Blended Research Em Mkts Eq A to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of MFS Blended to be traded at $13.32 in 30 days. As returns on market increase, MFS Blended returns are expected to increase less than the market. However during bear market, the loss on holding MFS Blended will be expected to be smaller as well.

MFS Blended correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding MFS Blended Research Em Mkts E and equity matching DJI index in the same portfolio.

MFS Blended Volatility Indicators

MFS Blended Research Em Mkts Eq A Current Risk Indicators

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