MFS Value Volatility

MV
MEIKX -- USA Fund  

USD 39.73  0.57  1.46%

We consider MFS Value very steady. MFS Value Fund has Sharpe Ratio of 0.09, which conveys that the entity had 0.09% of return per unit of standard deviation over the last 3 months. Our approach into estimating the 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-six technical indicators for MFS Value, which you can use to evaluate future volatility of the fund. Please verify MFS Value Fund market risk adjusted performance of (0.80), risk adjusted performance of 0.078, and mean deviation of 1.67 to check out if the risk estimate we provide is consistent with the expected return of 0.19%.

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MFS Value Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of MEIKX daily returns, and it is calculated using variance and standard deviation. We also use MEIKX's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of MFS Value volatility.

90 Days Market Risk

Very steady

Chance of Distress

Very Small

90 Days Economic Sensitivity

Moves indifferently to market moves

MFS Value Market Sensitivity And Downside Risk

MFS Value Fund beta coefficient measures the volatility of MEIKX stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents MEIKX stock's returns against your selected market. In other words, MFS Value's beta of -0.1043 provides an investor with an approximation of how much risk MFS Value stock can potentially add to one of your existing portfolios. Let's try to break down what MEIKX's beta means in this case. As returns on the market increase, returns on owning MFS Value are expected to decrease at a much lower rate. During the bear market, MFS Value is likely to outperform the market.
3 Months Beta |Analyze MFS Value Fund Demand Trend
Check current 30 days MFS Value correlation with market (DOW)
β

Current MFS Value Beta Coefficient

 = 

MFS Value Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by MFS Value's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of MFS Value stock's daily returns or price. Since the actual investment returns on holding a position in MFS Value stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in MFS Value.

MFS Value Fund Volatility Analysis

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

MFS Value Projected Return Density Against Market

Assuming the 30-days horizon, MFS Value Fund has a beta of -0.1043 . This indicates as returns on benchmark increase, returns on holding MFS Value are expected to decrease at a much lower rate. During the bear market, however, MFS Value Fund is likely to outperform the market. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to MFS Value or MFS sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that MFS Value stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a MEIKX stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 0.1038, implying that it can generate a 0.1 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

MFS Value Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to MFS Value or MFS sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that MFS Value stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a MEIKX stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Assuming the 30-days horizon, the coefficient of variation of MFS Value is 1110.98. The daily returns are destributed with a variance of 4.55 and standard deviation of 2.13. The mean deviation of MFS Value Fund is currently at 1.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.10
β
Beta against DOW=-0.1
σ
Overall volatility
=2.13
Ir
Information ratio =-0.04

MFS Value Return Volatility

MFS Value historical daily return volatility represents how much MFS Value stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 2.1331% volatility of returns over 30 . By contrast, DOW inherits 1.8047% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About MFS Value Volatility

Volatility is a rate at which the price of MFS Value or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of MFS Value may increase or decrease. In other words, similar to MEIKX's beta indicator, it measures the risk of MFS Value and helps estimate the fluctuations that may happen in a short period of time. So if prices of MFS Value fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
The fund normally invests the funds assets primarily in equity securities. MFS Value is traded on BATS Exchange in the United States.

MFS Value Investment Opportunity

MFS Value Fund has a volatility of 2.13 and is 1.18 times more volatile than DOW. 18  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 is lower than 18 () of all global equities and portfolios over the last 30 days. Use MFS Value Fund to enhance returns of your portfolios. The mutual fund experiences a large bullish trend. Check odds of MFS Value to be traded at $43.7 in 30 days. . Let's try to break down what MEIKX's beta means in this case. As returns on the market increase, returns on owning MFS Value are expected to decrease at a much lower rate. During the bear market, MFS Value is likely to outperform the market.

MFS Value correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Class R5 and equity matching DJI index in the same portfolio.

MFS Value Additional Risk Indicators

The analysis of various secondary risk indicators of MFS Value is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in MFS Value investment, and either accepting that risk or mitigating it. Along with some common measures of MFS Value stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.078
Market Risk Adjusted Performance(0.80)
Mean Deviation1.67
Semi Deviation2.34
Downside Deviation2.78
Coefficient Of Variation2382.73
Standard Deviation2.26

MFS Value Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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Additionally, see Stocks Correlation. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page