Large Cap Correlations

DFALX Fund

USD 27.12 0.10 0.37%

The current 90-days correlation between Large Cap International and Intal High Relative is 0.98 (i.e., Almost no diversification). The correlation of Large Cap is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Large Cap Correlation With Market

Modest diversification

The correlation between Large Cap International and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap International and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Large Cap International. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis.

Moving together with Large Mutual Fund

0.99	DIHRX	Intal High Relative	Pair Corr
0.98	DILRX	Dfa International	Pair Corr
0.92	DIPSX	Dfa Inflation Protected	Pair Corr
0.99	DISVX	Dfa International Small	Pair Corr
0.98	DISMX	Dfa International	Pair Corr
0.7	DREIX	World Core Equity	Pair Corr
0.72	DRIHX	Dimensional 2040 Target	Pair Corr
0.81	DRIGX	Dimensional 2035 Target	Pair Corr
0.78	DRIBX	Dimensional 2010 Target	Pair Corr
0.82	DRIWX	Dimensional 2030 Target	Pair Corr
0.85	DRIUX	Dimensional 2025 Target	Pair Corr
0.85	DRIRX	Dimensional 2020 Target	Pair Corr
0.84	DRIQX	Dimensional 2015 Target	Pair Corr
0.93	DAADX	Dfa Emerging Markets	Pair Corr
0.87	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.98	DSCLX	Dfa International Social	Pair Corr
0.81	DSFIX	Dfa Social Fixed	Pair Corr
0.73	DSHGX	Dfa Selectively Hedged	Pair Corr
0.87	DEMSX	Emerging Markets Small	Pair Corr
0.88	DEMGX	Emerging Markets Targeted	Pair Corr

Moving against Large Mutual Fund

0.55	DNYMX	Dfa Ny Municipal	Pair Corr
0.48	DMNBX	Dfa Mn Municipal	Pair Corr
0.72	DFAIX	Dfa Short Duration	Pair Corr
0.7	DTCPX	Dfa Targeted Credit	Pair Corr

Related Correlations Analysis

	DIHRX	DILRX	DIPSX	DISVX	DISMX	DMNBX	DMREX	DNYMX	DOGMX	DREIX
DIHRX		0.99	0.91	0.97	0.97	-0.48	0.46	-0.53	0.4	0.64	DIHRX
DILRX	0.99		0.91	0.95	0.97	-0.44	0.44	-0.49	0.44	0.67	DILRX
DIPSX	0.91	0.91		0.92	0.92	-0.37	0.64	-0.48	0.49	0.79	DIPSX
DISVX	0.97	0.95	0.92		0.97	-0.49	0.55	-0.57	0.36	0.69	DISVX
DISMX	0.97	0.97	0.92	0.97		-0.52	0.5	-0.59	0.39	0.7	DISMX
DMNBX	-0.48	-0.44	-0.37	-0.49	-0.52		-0.32	0.93	0.43	-0.12	DMNBX
DMREX	0.46	0.44	0.64	0.55	0.5	-0.32		-0.45	0.21	0.72	DMREX
DNYMX	-0.53	-0.49	-0.48	-0.57	-0.59	0.93	-0.45		0.36	-0.25	DNYMX
DOGMX	0.4	0.44	0.49	0.36	0.39	0.43	0.21	0.36		0.55	DOGMX
DREIX	0.64	0.67	0.79	0.69	0.7	-0.12	0.72	-0.25	0.55		DREIX
	DIHRX	DILRX	DIPSX	DISVX	DISMX	DMNBX	DMREX	DNYMX	DOGMX	DREIX

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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

DILRX	+ 0.99	DIHRX
DISVX	+ 0.97	DIHRX
DISMX	+ 0.97	DIHRX
DISMX	+ 0.97	DILRX
DISMX	+ 0.97	DISVX
DISVX	+ 0.95	DILRX

High negative correlations

DNYMX	- 0.59	DISMX
DNYMX	- 0.57	DISVX
DNYMX	- 0.53	DIHRX
DMNBX	- 0.52	DISMX
DMNBX	- 0.49	DISVX
DNYMX	- 0.49	DILRX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large Cap 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 Large Cap'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
DIHRX	0.56	(0.12)	(0.69)	0.81	(1.35)	3.90
DILRX	0.57	(0.11)	(0.65)	0.82	(1.37)	3.71
DIPSX	0.21	(0.04)	(0.75)	0.37	(0.46)	1.29
DISVX	0.58	(0.09)	(0.30)	1.09	(1.46)	4.04
DISMX	0.54	(0.10)	(0.41)	0.92	(1.36)	3.64
DMNBX	0.03	0.00	(0.42)	0.10	(0.10)	0.41
DMREX	0.05	(0.02)	(1.88)	0.09	(0.09)	1.29
DNYMX	0.03	0.00	(0.16)	0.10	(0.10)	0.20
DOGMX	0.08	(0.02)	(1.30)	0.10	(0.20)	0.82
DREIX	0.52	(0.05)	(0.12)	0.91	(1.29)	4.28

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