Dfa Investment Correlations

DFAPX Fund

USD 10.13 0.10 1.00%

The current 90-days correlation between Dfa Investment Grade and International E Equity is 0.21 (i.e., Modest diversification). The correlation of Dfa Investment 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.

Dfa Investment Correlation With Market

Good diversification

The correlation between Dfa Investment Grade and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Investment Grade 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 Dfa Investment Grade. 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 american community survey.

Moving together with Dfa Mutual Fund

0.76	DIHRX	Intal High Relative	Pair Corr
0.75	DILRX	Dfa International	Pair Corr
0.96	DIPSX	Dfa Inflation Protected	Pair Corr
0.67	DISVX	Dfa International Small	Pair Corr
0.75	DISMX	Dfa International	Pair Corr
0.85	DOGMX	Dfa Oregon Municipal	Pair Corr
0.78	DRIWX	Dimensional 2030 Target	Pair Corr
0.87	DRIUX	Dimensional 2025 Target	Pair Corr
0.8	DRIRX	Dimensional 2020 Target	Pair Corr
0.67	DRIQX	Dimensional 2015 Target	Pair Corr
0.71	DAADX	Dfa Emerging Markets	Pair Corr
0.98	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.72	DSCLX	Dfa International Social	Pair Corr
1.0	DSFIX	Dfa Social Fixed	Pair Corr
0.63	DSSMX	Dfa Selective State	Pair Corr
0.7	DCIBX	Dfa Ca Int	Pair Corr
0.93	DWFIX	Dfa World Ex	Pair Corr

Moving against Dfa Mutual Fund

0.62	DNYMX	Dfa Ny Municipal	Pair Corr
0.6	DMREX	Dfa Municipal Real	Pair Corr
0.58	DRIIX	Dimensional 2045 Target	Pair Corr
0.48	DREIX	World Core Equity	Pair Corr
0.73	DUSQX	Us Lg Cap	Pair Corr
0.68	DTCPX	Dfa Targeted Credit	Pair Corr
0.66	DSCGX	Dfa Small	Pair Corr
0.65	DAABX	Dfa Sustainability	Pair Corr
0.65	DURPX	Us High Relative	Pair Corr
0.62	DUSLX	Dfa Large	Pair Corr
0.58	DSHGX	Dfa Selectively Hedged	Pair Corr
0.57	DRIKX	Dimensional 2055 Target	Pair Corr
0.57	DTDRX	Dimensional 2065 Target	Pair Corr
0.56	DRILX	Dimensional 2060 Target	Pair Corr
0.56	DRIJX	Dimensional 2050 Target	Pair Corr
0.78	DFFGX	Dfa Short Term	Pair Corr
0.75	DFAIX	Dfa Short Duration	Pair Corr
0.72	DFEQX	Dfa Short Term	Pair Corr
0.72	DFEOX	Us E Equity	Pair Corr

Related Correlations Analysis

	DFIEX	DFQTX	DFGBX	DFCEX	DFIHX
DFIEX		-0.43	-0.64	0.56	-0.62	DFIEX
DFQTX	-0.43		0.87	0.28	0.87	DFQTX
DFGBX	-0.64	0.87		0.19	0.99	DFGBX
DFCEX	0.56	0.28	0.19		0.24	DFCEX
DFIHX	-0.62	0.87	0.99	0.24		DFIHX
	DFIEX	DFQTX	DFGBX	DFCEX	DFIHX

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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

DFIHX	+ 0.99	DFGBX
DFGBX	+ 0.87	DFQTX
DFIHX	+ 0.87	DFQTX
DFCEX	+ 0.56	DFIEX
DFCEX	+ 0.28	DFQTX
DFIHX	+ 0.24	DFCEX

High negative correlations

DFGBX	- 0.64	DFIEX
DFIHX	- 0.62	DFIEX
DFQTX	- 0.43	DFIEX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Investment 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 Dfa Investment'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
DFIEX	0.61	(0.11)	0.00	(0.12)	0.00	0.00	1.63	(1.29)	3.67
DFQTX	0.59	0.00	0.00	0.12	0.60	(0.65)	1.34	(1.23)	4.63
DFGBX	0.03	0.01	0.00	(7.28)	0.00	0.00	0.10	0.00	0.10
DFCEX	0.66	(0.06)	(0.15)	(0.02)	0.85	(0.68)	1.31	(1.67)	4.10
DFIHX	0.03	0.01	0.00	(0.86)	0.00	0.00	0.10	0.00	0.20

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