MFS Mid Backtesting

MCBVX -- USA Fund  

USD 23.52  0.14  0.59%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MFS Mid Cap Value Fund Class and determine expected loss or profit from investing in MFS Mid over given investment horizon. Additionally see MFS Mid Hype Analysis, MFS Mid Correlation, Portfolio Optimization, MFS Mid Volatility as well as analyze MFS Mid Alpha and Beta and MFS Mid Performance.

MFS Mid 'What if' Analysis

November 25, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 23, 2020
If you would invest  0.00  in MFS Mid on November 25, 2019 and sell it all today you would earn a total of 0.00 from holding MFS Mid Cap Value Fund Class or generate 0.0% return on investment in MFS Mid over 90 days. MFS Mid is related to or competes with Vanguard Mid, JPMorgan Mid, JPMorgan Mid, JPMorgan Mid, John Hancock, John Hancock, and John Hancock. The fund normally invests at least 80 percent of the funds net assets in issuers with medium market capitalizations

MFS Mid Upside/Downside Indicators

Downside Deviation0.8207
Information Ratio(0.00859)
Maximum Drawdown3.55
Value At Risk(1.02)
Potential Upside1.09

MFS Mid Market Premium Indicators

Risk Adjusted Performance0.0541
Jensen Alpha0.0343
Total Risk Alpha2.0E-4
Sortino Ratio(0.007094)
Treynor Ratio0.4415

MFS Mid Cap Backtested Returns

We consider MFS Mid very steady. MFS Mid Cap has Sharpe Ratio of 0.0563 which conveys that the entity had 0.0563% 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 Mid which you can use to evaluate future volatility of the organization. Please verify MFS Mid Cap Value Fund Class Mean Deviation of 0.478, Market Risk Adjusted Performance of 0.4515 and Risk Adjusted Performance of 0.0541 to check out if risk estimate we provide are consistent with the epected return of 0.0385%. The fund secures Beta (Market Risk) of 0.0862 which conveys that as returns on market increase, MFS Mid returns are expected to increase less than the market. However during bear market, the loss on holding MFS Mid will be expected to be smaller as well. Although it is extremely important to respect MFS Mid Cap price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into estimating future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting MFS Mid Cap technical indicators you can now evaluate if the expected return of 0.0385% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.01 
correlation synergy

Virtually no predictability

MFS Mid Cap Value Fund Class has virtually no predictability. Overlapping area represents the amount of predictability between MFS Mid time series from November 25, 2019 to January 9, 2020 and January 9, 2020 to February 23, 2020. 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 Mid Cap price movement. The serial correlation of 0.01 indicates that just 1.0% of current MFS Mid price fluctuation can be explain by its past prices.
Correlation Coefficient0.01
Spearman Rank Test0.42
Residual Average0.0
Price Variance0.06

MFS Mid Cap lagged returns against current returns

 Current and Lagged Values 

MFS Mid regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MFS Mid Lagged Returns

 Regressed Prices 

Current Sentiment - MCBVX

MFS Mid Cap Investor Sentiment

Macroaxis portfolio users are evenly split in their trading attitude regarding investing in MFS Mid Cap Value Fund Class. What is your trading attitude regarding investing in MFS Mid Cap Value Fund Class? Are you bullish or bearish?
50% Bullish
50% Bearish

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Additionally see MFS Mid Hype Analysis, MFS Mid Correlation, Portfolio Optimization, MFS Mid Volatility as well as analyze MFS Mid Alpha and Beta and MFS Mid Performance. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.