MFS Value Risk Analysis And Volatility

MFS
EBVLX -- USA Fund  

USD 43.90  0.39  0.88%

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.1176 which conveys that the entity had 0.1176% 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 Value which you can use to evaluate future volatility of the organization. Please verify MFS Value Fund Share Class 52 Risk Adjusted Performance of 0.0692, Mean Deviation of 0.4677 and Market Risk Adjusted Performance of 0.2836 to check out if risk estimate we provide are consistent with the epected return of 0.0808%.

90 Days Market Risk

Very steady

Chance of Distress

Very Low

90 Days Economic Sensitivity

Slowly supersedes market
Horizon     30 Days    Login   to change

MFS Value Market Sensitivity

As returns on market increase, MFS Value returns are expected to increase less than the market. However during bear market, the loss on holding MFS Value will be expected to be smaller as well.
3 Months Beta |Analyze MFS Value Fund Demand Trend
Check current 30 days MFS Value correlation with market (DOW)
β = 0.3101

MFS Value Central Daily Price Deviation

MFS Value Fund Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of MFS Value Fund price series. View also all equity analysis or get more info about median price price transform indicator.

MFS Value Projected Return Density Against Market

Assuming 30 trading days horizon, MFS Value has beta of 0.3101 suggesting as returns on market go up, MFS Value average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MFS Value Fund Share Class 52 will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0505 implying that it can potentially generate 0.0505% 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 Value is 850.49. The daily returns are destributed with a variance of 0.47 and standard deviation of 0.69. The mean deviation of MFS Value Fund Share Class 52 is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.05
β
Beta against DOW=0.31
σ
Overall volatility
=0.69
Ir
Information ratio =0.04

MFS Value Return Volatility

the fund shows 0.6874% volatility of returns over 30 trading days. the entity inherits 0.6294% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

MFS Value Investment Opportunity

MFS Value Fund Share Class 52 has a volatility of 0.69 and is 1.1 times more volatile than DOW. of all equities and portfolios are less risky than MFS Value. Compared to the overall equity markets, volatility of historical daily returns of MFS Value Fund Share Class 52 is lower than 6 () of all global equities and portfolios over the last 30 days. Use MFS Value Fund Share Class 52 to protect your portfolios against small markets fluctuations. The mutual fund experiences moderate downward daily trend and can be a good diversifier. Check odds of MFS Value to be traded at $43.02 in 30 days. . As returns on market increase, MFS Value returns are expected to increase less than the market. However during bear market, the loss on holding MFS Value will be expected to be smaller as well.

MFS Value correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Share Class 52 and equity matching DJI index in the same portfolio.

MFS Value Current Risk Indicators

MFS Value Suggested Diversification Pairs

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