Correlation Between MFS Value and Dodge Cox

By analyzing existing cross correlation between MFS Value Fund and Dodge Cox Stock, you can compare the effects of market volatilities on MFS Value and Dodge Cox and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in MFS Value with a short position of Dodge Cox. Check out your portfolio center. Please also check ongoing floating volatility patterns of MFS Value and Dodge Cox.

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Can any of the company-specific risk be diversified away by investing in both MFS Value and Dodge Cox at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining MFS Value and Dodge Cox into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for MFS Value and Dodge Cox

0.96
  Correlation Coefficient
MFS Value Fund
Dodge Cox Stock

Almost no diversification

The 3 months correlation between MEIKX and Dodge is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Class R5 and Dodge Cox Stock Fund in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Dodge Cox Stock and MFS Value is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on MFS Value Fund are associated (or correlated) with Dodge Cox. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dodge Cox Stock has no effect on the direction of MFS Value i.e. MFS Value and Dodge Cox go up and down completely randomly.

Pair Corralation between MFS Value and Dodge Cox

Assuming the 30-days horizon, MFS Value is expected to generate 1.47 times less return on investment than Dodge Cox. But when comparing it to its historical volatility, MFS Value Fund is 1.32 times less risky than Dodge Cox. It trades about 0.09 of its potential returns per unit of risk. Dodge Cox Stock is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  14,250  in Dodge Cox Stock on June 15, 2020 and sell it today you would earn a total of  2,359  from holding Dodge Cox Stock or generate 16.55% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

MFS Value Fund Class R5  vs.  Dodge Cox Stock Fund

 Performance (%) 
      Timeline 
MFS Value Fund 
66

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MFS Value Fund are ranked lower than 6 (%) of all funds and portfolios of funds over the last 30 days. In spite of fairly weak basic indicators, MFS Value may actually be approaching a critical reversion point that can send shares even higher in August 2020.
Dodge Cox Stock 
66

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Dodge Cox Stock are ranked lower than 6 (%) of all funds and portfolios of funds over the last 30 days. In spite of fairly weak technical and fundamental indicators, Dodge Cox showed solid returns over the last few months and may actually be approaching a breakup point.

MFS Value and Dodge Cox Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.


 
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