Correlation Between Mfs Value and Dodge Cox

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.

By analyzing existing cross correlation between Mfs Value Fund and Dodge Stock Fund, 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.

Diversification Opportunities for Mfs Value and Dodge Cox

0.95

Correlation Coefficient

Mfs Value  Dodge Cox

Almost no diversification

The 3 months correlation between Mfs and Dodge is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Mfs Value Fund and Dodge Stock Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dodge Stock Fund 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 Stock Fund 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 90 days horizon Mfs Value Fund is expected to under-perform the Dodge Cox. In addition to that, Mfs Value is 1.03 times more volatile than Dodge Stock Fund. It trades about -0.12 of its total potential returns per unit of risk. Dodge Stock Fund is currently generating about -0.08 per unit of volatility. If you would invest  25,415  in Dodge Stock Fund on January 24, 2024 and sell it today you would lose (295.00) from holding Dodge Stock Fund or give up 1.16% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Mfs Value Fund  vs.  Dodge Stock Fund

Mfs Value Fund

Risk-Adjusted Performance

11 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Mfs Value Fund are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward-looking signals, Mfs Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Dodge Stock Fund

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Dodge Stock Fund are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Dodge Cox is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Mfs Value and Dodge Cox

The main advantage of trading using opposite Mfs Value and Dodge Cox positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mfs Value position performs unexpectedly, Dodge Cox can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Dodge Cox will offset losses from the drop in Dodge Cox's long position.

The idea behind Mfs Value Fund and Dodge Stock Fund pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.