MFS Blended Risk Analysis And Volatility

BRKAX -- USA Fund  

USD 12.77  0.12  0.95%

Macroaxis considers MFS Blended not too volatile given 2 months investment horizon. MFS Blended Research has Sharpe Ratio of 0.3248 which conveys that the entity had 0.3248% of return per unit of standard deviation over the last 2 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 Blended which you can use to evaluate future volatility of the organization. Please exercise MFS Blended Research Em Mkts Eq A Mean Deviation of 0.7265, Risk Adjusted Performance of 0.4013 and Market Risk Adjusted Performance of 0.5659 to check out if our risk estimates are consistent with your expectations.
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.
2 Months Beta |Analyze MFS Blended Research Demand Trend
Check current 30 days MFS Blended correlation with market (DOW)
β = 0.3685

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 thirty-nine. 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 0.3685 . 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, The company has an alpha of 0.1169 implying that it can potentially generate 0.1169% 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 307.86. The daily returns are destributed with a variance of 0.81 and standard deviation of 0.9. The mean deviation of MFS Blended Research Em Mkts Eq A is currently at 0.7. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.12
β
Beta against DOW=0.37
σ
Overall volatility
=0.90
Ir
Information ratio =0.04

MFS Blended Return Volatility

the fund shows 0.8985% volatility of returns over 30 trading days. the entity inherits 1.6367% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MFS Blended Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

MFS Blended Investment Opportunity

DOW has a standard deviation of returns of 1.64 and is 1.82 times more volatile than MFS Blended Research Em Mkts Eq A. 8% 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 8 (%) 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 moderate upward volatility. Check odds of MFS Blended to be traded at $14.05 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
Poor 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

Check also Trending Equities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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