Mfs Global New Fund Market Value
| GLNMX Fund | USD 21.99 0.22 1.01% |
| Symbol | Mfs |
Mfs Global 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Mfs Global's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Mfs Global.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Mfs Global on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Mfs Global New or generate 0.0% return on investment in Mfs Global over 270 days. Mfs Global is related to or competes with Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, Mfs Prudent, and Mfs Lifetime. The fund normally invests its assets primarily in U.S More
Mfs Global Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Mfs Global's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Mfs Global New upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7122 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.4 | |||
| Value At Risk | (0.91) | |||
| Potential Upside | 1.13 |
Mfs Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Global's standard deviation. In reality, there are many statistical measures that can use Mfs Global historical prices to predict the future Mfs Global's volatility.| Risk Adjusted Performance | 0.0218 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.0128 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mfs Global's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Mfs Global New Backtested Returns
We consider Mfs Global very steady. Mfs Global New has Sharpe Ratio of 0.0118, which conveys that the entity had a 0.0118% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mfs Global, which you can use to evaluate the volatility of the fund. Please verify Mfs Global's Risk Adjusted Performance of 0.0218, mean deviation of 0.5376, and Downside Deviation of 0.7122 to check out if the risk estimate we provide is consistent with the expected return of 0.0084%. The fund secures a Beta (Market Risk) of 1.05, which conveys a somewhat significant risk relative to the market. Mfs Global returns are very sensitive to returns on the market. As the market goes up or down, Mfs Global is expected to follow.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
Mfs Global New has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Mfs Global time series from 28th of July 2023 to 10th of December 2023 and 10th of December 2023 to 23rd of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Mfs Global New price movement. The serial correlation of -0.75 indicates that around 75.0% of current Mfs Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Mfs Global New lagged returns against current returns
Autocorrelation, which is Mfs Global mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Mfs Global's mutual fund expected returns. We can calculate the autocorrelation of Mfs Global returns to help us make a trade decision. For example, suppose you find that Mfs Global has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Mfs Global regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Mfs Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Global mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mfs Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Global Lagged Returns
When evaluating Mfs Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Global mutual fund have on its future price. Mfs Global autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Mfs Global autocorrelation shows the relationship between Mfs Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Global New.
Regressed Prices |
| Timeline |
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Mfs Global technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.