MFS Blended Risk Analysis And Volatility

BRLYX -- USA Fund  

USD 11.84  0.07  0.59%

Macroaxis considers MFS Blended to be somewhat reliable. MFS Blended Research has Sharpe Ratio of -0.0065 which conveys that the entity had -0.0065% of return per unit of standard deviation over the last 3 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 Global Equ Risk Adjusted Performance of (0.002166), Mean Deviation of 0.7163 and Market Risk Adjusted Performance of (0.28) to check out risk estimate we provide.

90 Days Market Risk

Somewhat reliable

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Barely shadows 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.
3 Months Beta |Analyze MFS Blended Research Demand Trend
Check current 30 days MFS Blended correlation with market (DOW)
β = 0.0412

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 sixty-one. MFS Blended Typical Price indicator is an average of each day price and can be used instead of closing price when creating different MFS Blended Research moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

MFS Blended Projected Return Density Against Market

Assuming 30 trading days horizon, MFS Blended has beta of 0.0412 . 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. MFS Blended Research is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MFS Blended is -15499.06. The daily returns are destributed with a variance of 1.0 and standard deviation of 1.0. The mean deviation of MFS Blended Research Global Equ is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.01
β
Beta against DOW=0.0412
σ
Overall volatility
=1.00
Ir
Information ratio =0.0123

MFS Blended Return Volatility

the fund shows 1.0019% volatility of returns over 30 trading days. the entity inherits 0.989% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

MFS Blended Investment Opportunity

MFS Blended Research Global Equ has a volatility of 1.0 and is 1.01 times more volatile than DOW. 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 moderate upward volatility. 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

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding MFS Blended Research Global Eq 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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