MFS Diversified Risk Analysis And Volatility

DIFEX -- USA Fund  

USD 13.05  0.02  0.15%

We consider MFS Diversified very steady. MFS Diversified Income has Sharpe Ratio of 0.1133 which conveys that the entity had 0.1133% 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 Diversified which you can use to evaluate future volatility of the organization. Please verify MFS Diversified Income Fund Cla Market Risk Adjusted Performance of 0.1103, Risk Adjusted Performance of 0.0799 and Mean Deviation of 0.2186 to check out if risk estimate we provide are consistent with the epected return of 0.0331%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Slowly supersedes market
Horizon     30 Days    Login   to change

MFS Diversified Market Sensitivity

As returns on market increase, MFS Diversified returns are expected to increase less than the market. However during bear market, the loss on holding MFS Diversified will be expected to be smaller as well.
3 Months Beta |Analyze MFS Diversified Income Demand Trend
Check current 30 days MFS Diversified correlation with market (DOW)
β = 0.2057

MFS Diversified Central Daily Price Deviation

MFS Diversified Income Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. MFS Diversified Typical Price indicator is an average of each day price and can be used instead of closing price when creating different MFS Diversified Income moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

MFS Diversified Projected Return Density Against Market

Assuming 30 trading days horizon, MFS Diversified has beta of 0.2057 suggesting as returns on market go up, MFS Diversified average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MFS Diversified Income Fund Cla will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0249 implying that it can potentially generate 0.0249% 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 Diversified is 882.71. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.29. The mean deviation of MFS Diversified Income Fund Cla is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.0249
β
Beta against DOW=0.21
σ
Overall volatility
=0.29
Ir
Information ratio =0.14

MFS Diversified Return Volatility

the fund shows 0.2921% volatility of returns over 30 trading days. the entity inherits 0.973% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

MFS Diversified Investment Opportunity

DOW has a standard deviation of returns of 0.97 and is 3.34 times more volatile than MFS Diversified Income Fund Cla. of all equities and portfolios are less risky than MFS Diversified. Compared to the overall equity markets, volatility of historical daily returns of MFS Diversified Income Fund Cla is lower than 2 () of all global equities and portfolios over the last 30 days. Use MFS Diversified Income Fund Cla to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of MFS Diversified to be traded at $13.7 in 30 days. . As returns on market increase, MFS Diversified returns are expected to increase less than the market. However during bear market, the loss on holding MFS Diversified will be expected to be smaller as well.

MFS Diversified correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding MFS Diversified Income Fund Cl and equity matching DJI index in the same portfolio.

MFS Diversified Current Risk Indicators

MFS Diversified Suggested Diversification Pairs

Additionally see Investing Opportunities. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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