MFS Blended Risk Analysis And Volatility Evaluation

BRKBX -- USA Fund  

USD 12.35  0.00  0.00%

Macroaxis considers MFS Blended to be unknown risk. MFS Blended Research has Sharpe Ratio of -0.0448 which conveys that MFS Blended Research had -0.0448% of return per unit of standard deviation over the last 2 months. 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 2.37, Mean Deviation of 1.29 and Risk Adjusted Performance of (0.18) 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.
2 Months Beta |Analyze MFS Blended Research Demand Trend
Check current 30 days MFS Blended correlation with market (DOW)
β = -0.0926

MFS Blended Central Daily Price Deviation

MFS Blended Research Technical Analysis

Transformation
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MFS Blended Projected Return Density Against Market

Assuming 30 trading days horizon, MFS Blended Research Em Mkts Eq B has beta of -0.0926 . 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. Additionally, MFS Blended Research Em Mkts Eq B has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MFS Blended is -2232.13. The daily returns are destributed with a variance of 2.21 and standard deviation of 1.49. The mean deviation of MFS Blended Research Em Mkts Eq B is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.23
β
Beta against DOW=0.09
σ
Overall volatility
=1.49
Ir
Information ratio =0.03

MFS Blended Return Volatility

MFS Blended Research Em Mkts Eq B shows 1.487% volatility of returns over 30 trading days. DOW inherits 1.3062% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MFS Blended Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

MFS Blended Investment Opportunity

MFS Blended Research Em Mkts Eq B has a volatility of 1.49 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 B is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use MFS Blended Research Em Mkts Eq B to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of MFS Blended to be traded at $12.23 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

correlation synergy
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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