MFS® Global Alternative Strategy Fund

Performance Statistics

Performance Based

Updated monthly as of 10/31/16

BENCHMARK:
Bloomberg Barclays 1-3 Year U.S. Treasury Bond Index

 
3 Yr
5 Yr
10 Yr
Alpha
0.25
3.31
n/a
Beta
-0.07
0.21
n/a
R-squared
0.02
0.10
n/a
Standard Deviation %
4.12
4.16
n/a
Sharpe Ratio
0.01
0.79
n/a
Tracking Error
4.19
4.19
n/a
Information Ratio
-0.16
0.64
n/a
Upside Capture %
48.38
306.78
n/a
Downside Capture %
95.42
9.30
n/a
Treynor Ratio
-0.51
15.88
n/a

Performance-based characteristics are only calculated for Class A shares at NAV.

Top 10 Holdings

As of 10/31/16

CDX NA IG 27 1.000 DEC 20 21
MSCI EM Index Future DEC 16 16
Aud Bond 10Yr Future DEC 15 16
TOPIX Index Future DEC 08 16
DJ Euro Stoxx 50 Future DEC 16 16
ITRAXX EUR XOVER SER 26 5.000 DEC 20 21
S&P 400 Mid Cap Future DEC 16 16*
Russell 2000 E-Mini Future DEC 16 16*
NIKKEI 225 Future DEC 08 16*
S&P 500 Future DEC 15 16*

70.17% long and 43.69% short (*) positions of total net assets

Total number of holdings: 916

Full and Historical Holdings

Fund Positions %

As of 10/31/16

 
Actively Managed
Overlay Impact1
Net Exposure
  Fixed Income
 
Total
66.97
U.S.
16.49
35.45
51.95
Asia/Pacific ex-Japan
0.10
8.08
8.18
Europe ex-U.K.
0.42
5.09
5.51
North America ex-U.S.
0.50
0.00
0.50
United Kingdom
0.47
0.00
0.47
Emerging Markets
0.27
0.00
0.27
Developed - Middle East/Africa
0.10
0.00
0.10
  Equity
 
Total
20.06
Emerging Markets
2.13
11.21
13.34
U.S. Small/Mid Cap
17.52
-10.91
6.62
Europe ex-U.K.
8.49
-2.73
5.77
Japan
3.46
-2.91
0.55
Developed - Middle East/Africa
0.20
0.00
0.20
United Kingdom
3.70
-4.71
-1.01
North America ex-U.S.
0.97
-2.45
-1.48
U.S. Large Cap
26.22
-28.08
-1.86
Asia/Pacific ex-Japan
1.14
-3.20
-2.06
  Real Estate Related
 
Total
3.41
U.S.
3.02
0.00
3.02
Non-U.S.
0.39
0.00
0.39
Cash & Cash Equivalents
 
12.96
Other2
 
-3.40
Total Net Exposure Summary
88.63
11.37
100.00

1Represents the Fund's exposure to various markets using derivative instruments.

2Other consists of: (i) currency derivatives and/or (ii) any derivative offsets.

Important Characteristics Information

Portfolio characteristic data are based on unaudited net assets.

The portfolio is actively managed, and current holdings may be different.

Portfolio characteristics are based on equivalent exposure, which measures how a portfolio's value would change due to price changes in an asset held either directly or, in the case of a derivative contract, indirectly. The market value of the holding may differ.

*Short positions, unlike long positions, lose value if the underlying asset gains value.

Definitions

Alpha: Alpha is a measure of the portfolio's risk-adjusted performance. When compared to the portfolio's beta, a positive alpha indicates better-than-expected portfolio performance and a negative alpha worse-than-expected portfolio performance.

Beta: Beta is a measure of the volatility of a portfolio relative to the overall market. A beta less than 1.0 indicates lower risk than the market; a beta greater than 1.0 indicates higher risk than the market. It is most reliable as a risk measure when the return fluctuations of the portfolio are highly correlated with the return fluctuations of the index chosen to represent the market.

Information Ratio: Information ratio is a measure of consistency in excess return. The annualized excess return over a benchmark divided by the annualized standard deviation of excess return.

R-squared: R2 represents the percentage of the portfolio's movements that can be explained by the general movements of the market. Index portfolios will tend to have values very close to 100.

Sharpe Ratio: The Sharpe Ratio is a risk-adjusted measure calculated to determine reward per unit of risk. It uses a standard deviation and excess return. The higher the Sharpe Ratio, the better the portfolio's historical risk-adjusted performance.

Standard Deviation: Standard deviation is an indicator of the portfolio's total return volatility, which is based on a minimum of 36 monthly returns. The larger the portfolio's standard deviation, the greater the portfolio's volatility.

Tracking Error: Tracking error is the active risk of the portfolio that measures the dispersion of the portfolio's return minus the benchmark's annualized return.

Treynor Ratio: Treynor Ratio is a risk adjusted measure of performance. It is the ratio of the annualized excess return of the portfolio over the risk free rate for a given period divided by the Beta of the portfolio versus its benchmark for the same period. It measures the amount of excess return over the risk free rate earned per unit of systematic risk (beta) assumed.

Upside / Downside Capture %: The upside and downside capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. To calculate the up capture, we first form new series from the manager and benchmark series by dropping all time periods where the benchmark return is zero or negative. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The down capture is calculated analogously.

Weighted Average IBES Long Term EPS Growth: Weighted Average IBES Long Term EPS Growth sourced from: Thomson Reuters.

This publication is authorized for distribution only when preceded or accompanied by a prospectus, or summary prospectus, for the portfolio being offered. Consider the fund's investment objectives, risks, charges and expenses. Contact MFS or view online. Read it carefully.