Large Cap Correlations

DFALX Fund

USD 36.71 1.12 2.96%

The current 90-days correlation between Large Cap International and Prudential Jennison Focused is 0.5 (i.e., Very weak 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

Very poor diversification

The correlation between Large Cap International and DJI is 0.83 (i.e., Very poor 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 board of governors.

Moving together with Large Mutual Fund

1.0	DIHRX	Intal High Relative	Pair Corr
0.98	DILRX	Dfa International	Pair Corr
0.77	DIPSX	Dfa Inflation Protected	Pair Corr
0.99	DISVX	Dfa International Small	Pair Corr
0.97	DISMX	Dfa International	Pair Corr
0.97	DMNBX	Dfa Mn Municipal	Pair Corr
0.84	DMREX	Dfa Municipal Real	Pair Corr
0.96	DNYMX	Dfa Ny Municipal	Pair Corr
0.98	DOGMX	Dfa Oregon Municipal	Pair Corr
0.95	DREIX	World Core Equity	Pair Corr
0.98	DRIIX	Dimensional 2045 Target	Pair Corr
0.96	DRIHX	Dimensional 2040 Target	Pair Corr
0.92	DRIGX	Dimensional 2035 Target	Pair Corr
0.91	DRIWX	Dimensional 2030 Target	Pair Corr
0.94	DRIUX	Dimensional 2025 Target	Pair Corr
0.9	DRIRX	Dimensional 2020 Target	Pair Corr
0.88	DRIQX	Dimensional 2015 Target	Pair Corr
0.97	DRILX	Dimensional 2060 Target	Pair Corr
0.97	DRIKX	Dimensional 2055 Target	Pair Corr
0.97	DRIJX	Dimensional 2050 Target	Pair Corr
0.99	DAADX	Dfa Emerging Markets	Pair Corr
0.94	DAABX	Dfa Sustainability	Pair Corr
1.0	DSCLX	Dfa International Social	Pair Corr
0.88	DSCGX	Dfa Small	Pair Corr
0.79	DSFIX	Dfa Social Fixed	Pair Corr
0.98	DSHGX	Dfa Selectively Hedged	Pair Corr
0.98	DSSMX	Dfa Selective State	Pair Corr
0.97	DTCPX	Dfa Targeted Credit	Pair Corr
0.97	DTDRX	Dimensional 2065 Target	Pair Corr
0.97	DCIBX	Dfa Ca Int	Pair Corr
0.9	DCMSX	Dfa Commodity Strategy	Pair Corr
0.92	DURPX	Us High Relative	Pair Corr
0.77	DUSQX	Us Lg Cap	Pair Corr
0.78	DUSLX	Dfa Large	Pair Corr
0.98	DEMSX	Emerging Markets Small	Pair Corr
0.98	DEMGX	Emerging Markets Targeted	Pair Corr
0.74	DWFIX	Dfa World Ex	Pair Corr
0.98	DESIX	Emerging Markets Sus	Pair Corr
0.95	DFARX	Dimensional 2070 Target	Pair Corr

Related Correlations Analysis

	HFCSX	LISIX	RLITX	FAMVX	AMKIX	PGWAX	GEMAX	MYSPX	BEQGX	SPFZX
HFCSX		-0.26	-0.32	-0.25	-0.19	-0.24	-0.22	-0.22	-0.27	-0.04	HFCSX
LISIX	-0.26		0.85	0.88	0.98	0.0	0.95	0.59	0.27	-0.52	LISIX
RLITX	-0.32	0.85		0.68	0.81	0.4	0.79	0.67	0.44	-0.19	RLITX
FAMVX	-0.25	0.88	0.68		0.89	-0.21	0.89	0.49	0.18	-0.58	FAMVX
AMKIX	-0.19	0.98	0.81	0.89		-0.08	0.98	0.52	0.19	-0.6	AMKIX
PGWAX	-0.24	0.0	0.4	-0.21	-0.08		-0.11	0.51	0.65	0.7	PGWAX
GEMAX	-0.22	0.95	0.79	0.89	0.98	-0.11		0.45	0.11	-0.64	GEMAX
MYSPX	-0.22	0.59	0.67	0.49	0.52	0.51	0.45		0.91	0.27	MYSPX
BEQGX	-0.27	0.27	0.44	0.18	0.19	0.65	0.11	0.91		0.55	BEQGX
SPFZX	-0.04	-0.52	-0.19	-0.58	-0.6	0.7	-0.64	0.27	0.55		SPFZX
	HFCSX	LISIX	RLITX	FAMVX	AMKIX	PGWAX	GEMAX	MYSPX	BEQGX	SPFZX

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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

AMKIX	+ 0.98	LISIX
GEMAX	+ 0.98	AMKIX
GEMAX	+ 0.95	LISIX
BEQGX	+ 0.91	MYSPX
AMKIX	+ 0.89	FAMVX
GEMAX	+ 0.89	FAMVX

High negative correlations

SPFZX	- 0.64	GEMAX
SPFZX	- 0.6	AMKIX
SPFZX	- 0.58	FAMVX
SPFZX	- 0.52	LISIX
RLITX	- 0.32	HFCSX
BEQGX	- 0.27	HFCSX

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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
HFCSX	1.78	(0.41)	0.00	(0.27)	0.00	0.00	2.94	(2.91)	32.22
LISIX	0.59	0.06	0.05	0.13	0.74	(0.63)	1.15	(1.08)	3.09
RLITX	1.18	0.55	0.63	0.62	0.00	(1.59)	1.20	(1.08)	34.99
FAMVX	0.60	0.02	0.03	0.07	0.67	(0.68)	1.30	(1.23)	3.18
AMKIX	0.83	0.14	0.09	0.21	1.18	(0.90)	1.92	(1.36)	4.05
PGWAX	0.79	0.03	(0.01)	(0.08)	1.02	(0.79)	1.51	(1.85)	7.62
GEMAX	0.70	0.27	0.28	(3.36)	0.36	(0.80)	1.91	(1.26)	4.14
MYSPX	0.50	(0.02)	(0.03)	0.01	0.70	(0.51)	0.81	(1.17)	3.52
BEQGX	0.58	(0.02)	(0.04)	0.01	0.79	(0.58)	0.98	(1.13)	4.04
SPFZX	0.73	(0.08)	0.00	(0.08)	0.00	0.00	1.32	(2.07)	4.59

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