MFS Blended Risk Analysis And Volatility Evaluation

BRKBX -- USA Fund  

USD 13.21  0.13  0.99%

Macroaxis considers MFS Blended to be not too volatile. MFS Blended Research has Sharpe Ratio of -0.0964 which conveys that MFS Blended Research had -0.0964% 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 B Market Risk Adjusted Performance of 0.0715, Mean Deviation of 0.737 and Risk Adjusted Performance of 0.003634 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MFS Blended Market Sensitivity

As returns on market increase, returns on owning MFS Blended are expected to decrease at a much smaller rate. During bear market, MFS Blended is likely to outperform the market.
One Month Beta |Analyze MFS Blended Research Demand Trend
Check current 30 days MFS Blended correlation with market (DOW)
β = -0.5442
MFS Blended Almost negative betaMFS Blended Research Beta Legend

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 Research Em Mkts Eq B has beta of -0.5442 . This suggests as returns on benchmark increase, returns on holding MFS Blended are expected to decrease at a much smaller rate. During bear market, however, MFS Blended Research Em Mkts Eq B is likely to outperform the market. Moreover, MFS Blended Research Em Mkts Eq B has an alpha of 0.0165 implying that it can potentially generate 0.0165% 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 -1036.99. The daily returns are destributed with a variance of 0.86 and standard deviation of 0.93. The mean deviation of MFS Blended Research Em Mkts Eq B is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.0165
β
Beta against DOW=0.54
σ
Overall volatility
=0.93
Ir
Information ratio =0.13

MFS Blended Return Volatility

MFS Blended Research Em Mkts Eq B shows 0.9289% volatility of returns over 30 trading days. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MFS Blended Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

MFS Blended Investment Opportunity

MFS Blended Research Em Mkts Eq B has a volatility of 0.93 and is 2.38 times more volatile than DOW. 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 B is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use MFS Blended Research Em Mkts Eq B to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of MFS Blended to be traded at $14.53 in 30 days. As returns on market increase, returns on owning MFS Blended are expected to decrease at a much smaller rate. During bear market, MFS Blended is likely to outperform the market.

MFS Blended correlation with market

Very good 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 B Current Risk Indicators

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