Mfs Intermediate High Fund Volatility
| CIF Fund | USD 1.60 -0.03 -1.84% |
There are 23 technical indicators affecting the current volatility pattern. Recent trading patterns suggest Mfs Intermediate High maintains relatively low price volatility over the last 3 months. Mfs Intermediate High currently reflects a Sharpe ratio of -0.1, showing negative reward per unit of risk over the last 3 months.
Sharpe Ratio = -0.1027
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CIF |
Mfs Intermediate High reported a Market Risk Adjusted Performance of -0.1%, a Risk of 0.65, and a Risk Adjusted Performance of -0.1%. Moving average data indicates MFS Intermediate is not operating at maximum efficiency. Including it in a well-diversified portfolio may reduce unsystematic risk and improve returns. Within a multi-asset framework, MFS Intermediate position sizing affects the overall risk-return balance. This analysis highlights the gap between MFS Intermediate standalone and portfolio-level performance.
Key indicators related to MFS Intermediate's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for MFS Intermediate draws on both historical price data and forward-looking implied volatility. Periods of elevated MFS Intermediate volatility are typically followed by calmer conditions, and vice versa. The odds of financial distress provide a fundamental complement to statistical volatility measures for MFS Intermediate. A high-volatility MFS Intermediate's environment expands both upside and downside scenarios for MFS Intermediate investors.
MFS |
Volatility Strategy
Observed trading dispersion in Mfs Intermediate High can affect long-term allocation structure. Current statistical measures show total volatility near 0.65% with a beta coefficient of 0.3, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.1, evaluates return per unit of total risk. An alpha value of -0.0284 reflects performance relative to systematic market exposure. Expected return estimates near -0.0669% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to MFS Intermediate's market risk premium analysis include:
Beta 0.3 | Alpha -0.03 | Risk 0.65 | Sharpe Ratio -0.10 | Expected Return -0.07 |
Moving together with MFS Fund
| 0.91 | PFN | PIMCO Income Strategy | PairCorr |
| 0.69 | XNXJX | Nuveen New Jersey | PairCorr |
| 0.86 | PCF | Putnam High Income | PairCorr |
Moving against MFS Fund
| 0.8 | PCLNX | PIMCO Commoditiesplus | PairCorr |
| 0.51 | XPPRX | Voya Prime Rate | PairCorr |
| 0.51 | XMVTX | BlackRock Munivest | PairCorr |
| 0.47 | EMO | ClearBridge Energy MLP | PairCorr |
| 0.46 | MLPNX | Oppenheimer Steelpath Mlp | PairCorr |
| 0.41 | TRLDX | T Rowe Price | PairCorr |
| 0.35 | TWN | Taiwan Closed | PairCorr |
| 0.31 | ARMZX | Western Asset Adjustable | PairCorr |
Sensitivity To Market
MFS Intermediate systematic risk exposure is reflected in a beta value of 0.3. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.65%.Over the current lookback period, Mfs Intermediate High shows a minimal volatility profile, using downside deviation (0.0%) as a primary reference. Liquidity of underlying holdings can influence how smoothly fund values update in fast markets.
3 Months Beta |Analyze Mfs Intermediate High Demand TrendCheck current 90 days MFS Intermediate correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for MFS expresses the daily price volatility as a spread around the mean. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability. MFS standard deviation captures the average daily price deviation from the mean over the selected horizon. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for MFS.
Standard Deviation | 0.65 |
For MFS Intermediate investors, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of MFS Intermediate's returns. Standard deviation of MFS Intermediate measures total price dispersion, including upside moves. Using both metrics together provides a more complete view of MFS Intermediate's risk characteristics. Mfs Intermediate High reported a Maximum Drawdown of 2.98.
Fund Volatility Analysis
Volatility describes the degree to which MFS Intermediate fund price fluctuates in either direction. It captures how much MFS Intermediate's price fluctuates, helping investors set appropriate position sizes. Volatility in MFS Intermediate reflects the degree of uncertainty around MFS Intermediate's fund price. Periods of elevated volatility in MFS Intermediate can reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Mfs Intermediate High Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Considering the 90-day investment horizon MFS Intermediate has a beta of 0.2979 suggesting as returns on the market go up, MFS Intermediate's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Mfs Intermediate High is expected to be smaller as well.Systematic risk links MFS Intermediate to overall fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Mfs Intermediate High reported a Mean Deviation of 0.38 and a Standard Deviation of 0.60.
Predicted Return Distribution |
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What Drives MFS Intermediate's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Financial Services sector can move MFS Intermediate's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for MFS Intermediate.MFS Intermediate's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in MFS Intermediate's shares.Fund Risk Measures
Considering the 90-day investment horizon the coefficient of variation of MFS Intermediate is -973.34. The daily returns are distributed with a variance of 0.42 and standard deviation of 0.65. The mean deviation of Mfs Intermediate High is currently at 0.43. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.0284 | |
β | Beta against Dow Jones | 0.30 | |
σ | Overall volatility | 0.65 | |
Ir | Information ratio | 0.02 |
Fund Return Volatility
MFS Intermediate historical daily return volatility represents how much of MFS Intermediate fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The mutual fund reported 0.6516% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8481% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Strong recent returns in MFS Fund do not always mean MFS Intermediate Fund is outperforming peers on business quality. Without risk-adjusted context, investors may overweight short-term returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WSCVX | 0.77 | 0.16 | 0.17 | 0.11 | 0.80 | 1.91 | 4.74 | |||
| TEEAX | 0.60 | 0.13 | 0.23 | 0.49 | 0.38 | 2.37 | 5.06 | |||
| PLBEX | 0.84 | -0.02 | 0.00 | -0.08 | 0.00 | 1.69 | 5.21 | |||
| FCO | 1.35 | 0.23 | 0.11 | 0.74 | 2.06 | 3.02 | 12.26 | |||
| ICHKX | 0.68 | 0.01 | 0.00 | -0.03 | 0.00 | 1.27 | 5.01 | |||
| FRNKX | 0.95 | 0.27 | 0.26 | 0.24 | 0.80 | 1.51 | 14.47 | |||
| FHSNX | 0.28 | 0.03 | 0.13 | 0.02 | 0.38 | 0.55 | 1.91 | |||
| ZSCCX | 0.96 | -0.02 | 0.04 | 0.02 | 1.21 | 1.97 | 5.31 |
Risk Metrics, Assumptions & Methodology
Beta exposure for MFS Intermediate estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Low beta does not mean low volatility; it means volatility is driven more by idiosyncratic than systematic factors.
Mfs Intermediate High metrics are compiled from fund disclosures and market reference feeds and normalized before display. Not all fields update in real time. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Gabriel Shpitalnik - Member of Macroaxis Editorial BoardMFS Intermediate Investment Opportunity
Dow Jones Industrial is about 1.31 times more volatile than Mfs Intermediate High based on recent return behavior. The lower-risk profile may improve diversification efficiency, but it still needs to be judged against return quality and market sensitivity.You can use Mfs Intermediate High to protect the portfolio against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of MFS Intermediate to be traded at $1.552 in 90 days.Minimal diversification benefit
Across the chosen horizon, MFS Intermediate and Dow Jones show a correlation of 0.91 and fall into the Minimal diversification benefit bucket. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
MFS Intermediate Additional Risk Indicators
A broader risk-indicator set for Mfs Intermediate High can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | -0.05 | |||
| Market Risk Adjusted Performance | -0.14 | |||
| Mean Deviation | 0.384 | |||
| Coefficient Of Variation | -1,718 | |||
| Standard Deviation | 0.6004 | |||
| Variance | 0.3605 | |||
| Information Ratio | 0.0176 |
MFS Intermediate Suggested Diversification Pairs
A pair strategy built around Mfs Intermediate High is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against MFS Intermediate as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. MFS Intermediate's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, MFS Intermediate's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Mfs Intermediate High.