We consider MFS Blended not too volatile. MFS Blended Research has Sharpe Ratio of 0.006 which conveys that the entity had 0.006% of return per unit of standard deviation over the last 3 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 Global Equ Risk Adjusted Performance of 0.0039, Mean Deviation of 0.7212 and Market Risk Adjusted Performance of 0.0022 to check out if risk estimate we provide are consistent with the epected return of 0.0056%.
90 Days Market Risk
Not too volatile
Chance of Distress in 24 months
90 Days Economic Sensitivity
Follows market closely
|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. 3 Months Beta |Analyze MFS Blended Research Demand TrendCheck current 30 days MFS Blended correlation with market (DOW)|
β = 0.7392
MFS Blended Central Daily Price Deviation
MFS Blended Research Technical Analysis
MFS Blended Projected Return Density Against MarketAssuming 30 trading days horizon, MFS Blended has beta of 0.7392 . 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 Global Equ will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0141 implying that it can potentially generate 0.0141% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of MFS Blended is 16601.47. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of MFS Blended Research Global Equ is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
|Alpha over DOW||=||0.0141|
|Beta against DOW||=||0.74|
MFS Blended Return Volatilitythe fund shows 0.931% volatility of returns over 30 trading days. the entity inherits 0.9949% risk (volatility on return distribution) over the 30 days horizon.
MFS Blended Investment Opportunity
DOW has a standard deviation of returns of 0.99 and is 1.06 times more volatile than MFS Blended Research Global Equ. 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 Global Equ is lower than 8 () of all global equities and portfolios over the last 30 days. Use MFS Blended Research Global Equ to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of MFS Blended to be traded at $13.02 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
MFS Blended Current Risk Indicators
|Risk Adjusted Performance||0.0039|
|Market Risk Adjusted Performance||0.0022|
|Coefficient Of Variation||21854.37|
MFS Blended Suggested Diversification Pairs