MFS Blended Risk Analysis And Volatility

BRKBX -- USA Fund  

USD 13.23  0.03  0.23%

We consider MFS Blended not too volatile. MFS Blended Research has Sharpe Ratio of 0.1932 which conveys that the entity had 0.1932% 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 verify MFS Blended Research Em Mkts Eq B Mean Deviation of 0.5532, Market Risk Adjusted Performance of 0.31 and Risk Adjusted Performance of 0.0814 to check out if risk estimate we provide are consistent with the epected return of 0.145%.

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Slowly supersedes market
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 = 0.2734

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 0.2734 . 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 B will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0508 implying that it can potentially generate 0.0508% 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 517.48. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of MFS Blended Research Em Mkts Eq B is currently at 0.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
=0.05
β
Beta against DOW=0.27
σ
Overall volatility
=0.75
Ir
Information ratio =0.04

MFS Blended Return Volatility

the fund shows 0.7503% volatility of returns over 30 trading days. the entity inherits 0.5731% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

MFS Blended Investment Opportunity

MFS Blended Research Em Mkts Eq B has a volatility of 0.75 and is 1.32 times more volatile than DOW. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use MFS Blended Research Em Mkts Eq B to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of MFS Blended to be traded at $13.1 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
Modest 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 Current Risk Indicators

MFS Blended Suggested Diversification Pairs

Check also Trending Equities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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