MFS Mid Backtesting

MFS
MCBVX -- USA Fund  

USD 23.54  0.05  0.21%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MFS Mid 'What if' Analysis

October 26, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 24, 2020
0.00
If you would invest  0.00  in MFS Mid on October 26, 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 Fidelity Low, JPMorgan Mid, JPMorgan Mid, WF Special, Virtus Ceredex, Virtus Ceredex, and Janus Henderson. 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 Deviation0.5146
Information Ratio(0.08)
Maximum Drawdown2.82
Value At Risk(0.71)
Potential Upside0.8776

MFS Mid Market Premium Indicators

Risk Adjusted Performance0.0826
Jensen Alpha0.0243
Total Risk Alpha(0.04738)
Sortino Ratio(0.08)
Treynor Ratio0.1733

MFS Mid Cap Backtested Returns

We consider MFS Mid very steady. MFS Mid Cap has Sharpe Ratio of 0.1605 which conveys that the entity had 0.1605% 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 Market Risk Adjusted Performance of 0.1833, Risk Adjusted Performance of 0.0826 and Mean Deviation of 0.365 to check out if risk estimate we provide are consistent with the epected return of 0.0821%. The fund secures Beta (Market Risk) of 0.4383 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 0.0821% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.58 
correlation synergy

Modest predictability

MFS Mid Cap Value Fund Class has modest predictability. Overlapping area represents the amount of predictability between MFS Mid time series from October 26, 2019 to December 10, 2019 and December 10, 2019 to January 24, 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 0.58 indicates that roughly 58.0% of current MFS Mid price fluctuation can be explain by its past prices.
Correlation Coefficient0.58
Spearman Rank Test0.44
Residual Average0.0
Price Variance0.04

MFS Mid Cap lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

MFS Mid regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

MFS Mid Lagged Returns

 Regressed Prices 
    
  Timeline 

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?
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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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.