Mfs Modity Strategy Fund Market Value
| MCSAX Fund | USD 3.52 0.02 0.56% |
| Symbol | Mfs |
Mfs Modity '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 Modity'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 Modity.
| 11/17/2024 |
| 12/17/2024 |
If you would invest 0.00 in Mfs Modity on November 17, 2024 and sell it all today you would earn a total of 0.00 from holding Mfs Modity Strategy or generate 0.0% return on investment in Mfs Modity over 30 days. Mfs Modity is related to or competes with Needham Small, Lebenthal Lisanti, Ab Small, Sp Smallcap, Champlain Small, Siit Small, and Franklin Small. The fund seeks to achieve the funds objective by providing exposure to the commodities markets through investing in comm... More
Mfs Modity 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 Modity'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 Modity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.63 | |||
| Value At Risk | (1.15) | |||
| Potential Upside | 1.42 |
Mfs Modity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mfs Modity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mfs Modity's standard deviation. In reality, there are many statistical measures that can use Mfs Modity historical prices to predict the future Mfs Modity's volatility.| Risk Adjusted Performance | 0.0568 | |||
| Jensen Alpha | 0.0451 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.7699 |
Mfs Modity Strategy Backtested Returns
At this stage we consider Mfs Mutual Fund to be not too volatile. Mfs Modity Strategy has Sharpe Ratio of 0.0506, which conveys that the entity had a 0.0506% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mfs Modity, which you can use to evaluate the volatility of the fund. Please verify Mfs Modity's Mean Deviation of 0.5672, risk adjusted performance of 0.0568, and Downside Deviation of 1.03 to check out if the risk estimate we provide is consistent with the expected return of 0.0395%. The fund secures a Beta (Market Risk) of 0.0649, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mfs Modity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mfs Modity is expected to be smaller as well.
Auto-correlation | 0.18 |
Very weak predictability
Mfs Modity Strategy has very weak predictability. Overlapping area represents the amount of predictability between Mfs Modity time series from 17th of November 2024 to 2nd of December 2024 and 2nd of December 2024 to 17th of December 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 Modity Strategy price movement. The serial correlation of 0.18 indicates that over 18.0% of current Mfs Modity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Mfs Modity Strategy lagged returns against current returns
Autocorrelation, which is Mfs Modity 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 Modity's mutual fund expected returns. We can calculate the autocorrelation of Mfs Modity returns to help us make a trade decision. For example, suppose you find that Mfs Modity 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 Modity 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 Modity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mfs Modity 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 Modity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mfs Modity Lagged Returns
When evaluating Mfs Modity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mfs Modity mutual fund have on its future price. Mfs Modity 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 Modity autocorrelation shows the relationship between Mfs Modity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mfs Modity Strategy.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Mfs Mutual Fund
Mfs Modity financial ratios help investors to determine whether Mfs Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Mfs with respect to the benefits of owning Mfs Modity security.
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