Mfs Moderate Allocation Fund Volatility
| MAMJX Fund | USD 19.75 -0.08 -0.40% |
Mfs Moderate Allocation is presently characterized by a minimal volatility profile over the designated horizon. Measured over the selected window, Mfs Moderate Allocation has a Sharpe Ratio (Efficiency) of -0.013, highlighting weak risk-adjusted behavior across the last 3 months. We reviewed 20 technical indicators influencing the latest risk profile.
Sharpe Ratio = -0.013
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | MAMJX |
Mfs Moderate Allocation posted a Market Risk Adjusted Performance of -0.01%, a Risk of 0.43, and a Risk Adjusted Performance of -0.01% for the reported period. Mfs Moderate has not yet reached full return potential based on monthly moving average. Including it in a well-diversified portfolio may reduce unsystematic risk and boost returns.
Key indicators related to Mfs Moderate's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Mfs Moderate's volatility is not constant - it tends to cluster and exhibits mean-reversion properties over time. Periods of elevated Mfs Moderate volatility are typically followed by calmer conditions, and vice versa.
Mfs |
Volatility Strategy
Mfs Moderate Allocation volatility patterns may influence portfolio-level risk metrics. Current statistical measures show total volatility near 0.43% with a beta coefficient of 0.47, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.013, evaluates return per unit of total risk. An alpha value of 0.009686 reflects performance relative to systematic market exposure. Expected return estimates near -0.0056% 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 Moderate's market risk premium analysis include:
Beta 0.47 | Alpha 0.009686 | Risk 0.43 | Sharpe Ratio -0.01 | Expected Return -0.01 |
Moving together with Mfs Mutual Fund
| 0.95 | LFTFX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTJX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTGX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTHX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTMX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTNX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTKX | Mfs Lifetime 2065 | PairCorr |
| 0.95 | LFTLX | Mfs Lifetime 2065 | PairCorr |
| 0.86 | HYPPX | Mfs High Yield | PairCorr |
| 0.7 | UIVIX | Mfs Intrinsic Value | PairCorr |
| 0.7 | UIVCX | Mfs Intrinsic Value | PairCorr |
| 0.71 | UIVPX | Mfs Intrinsic Value | PairCorr |
| 0.72 | UIVQX | Mfs Intrinsic Value | PairCorr |
| 0.71 | UIVNX | Mfs Intrinsic Value | PairCorr |
| 0.7 | UIVMX | Mfs Intrinsic Value | PairCorr |
| 0.71 | UIVVX | Mfs Intrinsic Value | PairCorr |
| 0.72 | UIVRX | Mfs Intrinsic Value | PairCorr |
| 0.94 | MKVCX | Mfs International Large | PairCorr |
| 0.94 | MKVBX | Mfs International Large | PairCorr |
| 0.94 | MKVGX | Mfs International Large | PairCorr |
| 0.94 | MKVFX | Mfs International Large | PairCorr |
| 0.94 | MKVEX | Mfs International Large | PairCorr |
| 0.94 | MKVDX | Mfs International Large | PairCorr |
| 0.94 | MKVIX | Mfs International Large | PairCorr |
| 0.94 | MKVHX | Mfs Series Trust | PairCorr |
Sensitivity To Market
Mfs Moderate'sThrough regression modeling, beta measures how Mfs Moderate Allocation reacts to market-wide movements. A beta of 0.47 implies defined sensitivity to systematic risk factors. Total volatility is around 0.43%.Mfs Moderate Allocation has recorded return dispersion that can be summarized through standard deviation (0.44%) and semi-deviation (0.0%). Global funds can add currency-related movement on top of underlying asset volatility.
3 Months Beta |Analyze Mfs Moderate Allocation Demand TrendCheck current 90 days Mfs Moderate correlation with market (Dow Jones Industrial)Downside Risk
Mfs standard deviation captures how much its daily price fluctuates around the historical average over the selected period. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability.
Standard Deviation | 0.43 |
Upside risk in Mfs Moderate is captured by its standard deviation, which includes both favorable and unfavorable price movements. Downside risk - the risk of loss specifically - is better measured by semi-deviation or downside deviation of Mfs Moderate's returns. Mfs Moderate Allocation posted a Maximum Drawdown of 2.27 for the reported period.
Mutual Fund Volatility Analysis
Mfs Moderate mutual fund volatility is a key input for most investment risk models. It captures how much Mfs Moderate's price fluctuates, helping investors set appropriate position sizes. Periods of high volatility for Mfs Moderate can present both risks and opportunities for traders.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Mfs Moderate Allocation 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.
Mfs Moderate Projected Return Density Against Market
Assuming a 90-day horizon Mfs Moderate has a beta of 0.4693 . This indicates as returns on the market go up, Mfs Moderate's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Mfs Moderate Allocation is expected to be smaller as well.Mfs Moderate price behavior is shaped by macro trends and company or sector-specific developments. Nonmarket risk can be diversified across assets, yet systematic exposure to the mutual fund market remains constant. Mfs Moderate Allocation posted a Mean Deviation of 0.35 and a Standard Deviation of 0.44 for the reported period.
Predicted Return Density |
| Returns |
What Drives a Mfs Moderate Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Mfs Moderate is -7696.59. The daily returns are distributed with a variance of 0.19 and standard deviation of 0.43. The mean deviation of Mfs Moderate Allocation is currently at 0.34. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.47 | |
σ | Overall volatility | 0.43 | |
Ir | Information ratio | 0.08 |
Mutual Fund Return Volatility
Mfs Moderate historical daily return volatility represents how much of Mfs Moderate fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.4316% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7855% volatility on return distribution over a 90-day horizon. Performance |
| Timeline |
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Mfs Mutual Fund performing well and Mfs Moderate Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Mfs Moderate's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| LCFYX | 0.84 | 0.09 | 0.09 | 0.07 | 1.00 | 1.99 | 5.20 | |||
| ARBOX | 0.11 | 0.00 | 1.29 | 0.00 | 0.00 | 0.17 | 3.52 | |||
| PRCCX | 0.77 | 0.06 | 0.07 | 0.03 | 0.98 | 1.56 | 5.11 | |||
| CCD | 0.74 | 0.10 | 0.11 | 0.08 | 0.89 | 2.13 | 5.28 | |||
| FSAWX | 0.11 | 0.01 | 0.10 | 0.92 | 0.22 | 0.19 | 0.91 |
Risk Metrics, Assumptions & Methodology
Volatility for Mfs Moderate reflects NAV dispersion and exposure stability across disclosure periods. Lower volatility often implies pricing stability in calmer regimes.
Macroaxis compiles Mfs Moderate Allocation metrics from fund disclosures and market reference feeds and applies consistent transformation rules 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:
Ellen Johnson - Member of Macroaxis Editorial BoardMfs Moderate Investment Opportunity
Measured over the selected horizon, Dow Jones Industrial carries roughly 1.84 times the return volatility of Mfs Moderate Allocation. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use Mfs Moderate Allocation to protect your portfolios against small market fluctuations. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It is intended to separate routine noise from more speculative bursts in price action. a normal downward trend and little activity. Check odds of Mfs Moderate to be traded at $19.55 in 90 days.Poor diversification
Across the chosen horizon, MAMJX and DJI show a correlation of 0.76 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Mfs Moderate Additional Risk Indicators
Risk analysis around Mfs Moderate Allocation becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | -0.01 | |||
| Mean Deviation | 0.3466 | |||
| Coefficient Of Variation | -32,394 | |||
| Standard Deviation | 0.4383 | |||
| Variance | 0.1921 | |||
| Information Ratio | 0.0764 |
Mfs Moderate Suggested Diversification Pairs
Pair trading with Mfs Moderate can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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| Dupont De vs. Mfs Moderate | ||
| Microsoft vs. Mfs Moderate | ||
| GM vs. Mfs Moderate | ||
| Citigroup vs. Mfs Moderate | ||
| SentinelOne vs. Mfs Moderate | ||
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 Moderate 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 Moderate'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 Moderate'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 Moderate Allocation.