Dfa Calfrna Correlations

DFCMX Fund

USD 10.22 0.01 0.1%

The current 90-days correlation between Dfa Calfrna Shrt and Fa 529 Aggressive is -0.05 (i.e., Good diversification). The correlation of Dfa Calfrna 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 Calfrna Correlation With Market

Good diversification

The correlation between Dfa Calfrna Shrt and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Calfrna Shrt 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 Calfrna Shrt. 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 population.

Moving together with Dfa Mutual Fund

0.64	DMNBX	Dfa Mn Municipal	Pair Corr
0.89	DMREX	Dfa Municipal Real	Pair Corr
0.94	DNYMX	Dfa Ny Municipal	Pair Corr
0.65	DREIX	World Core Equity	Pair Corr
0.73	DRIIX	Dimensional 2045 Target	Pair Corr
0.71	DRILX	Dimensional 2060 Target	Pair Corr
0.71	DRIKX	Dimensional 2055 Target	Pair Corr
0.71	DRIJX	Dimensional 2050 Target	Pair Corr
0.74	DAABX	Dfa Sustainability	Pair Corr
0.78	DSCGX	Dfa Small	Pair Corr
0.7	DSHGX	Dfa Selectively Hedged	Pair Corr
0.9	DTCPX	Dfa Targeted Credit	Pair Corr
0.71	DTDRX	Dimensional 2065 Target	Pair Corr
0.9	DCARX	Dfa California Municipal	Pair Corr
0.78	DURPX	Us High Relative	Pair Corr
0.82	DUSQX	Us Lg Cap	Pair Corr
0.77	DUSLX	Dfa Large	Pair Corr

Moving against Dfa Mutual Fund

0.71	DIHRX	Intal High Relative	Pair Corr
0.69	DILRX	Dfa International	Pair Corr
0.62	DAADX	Dfa Emerging Markets	Pair Corr
0.6	DISMX	Dfa International	Pair Corr
0.57	DIPSX	Dfa Inflation Protected	Pair Corr
0.53	DISVX	Dfa International Small	Pair Corr
0.39	DRIUX	Dimensional 2025 Target	Pair Corr
0.68	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.64	DFALX	Large Cap International	Pair Corr
0.59	DFAPX	Dfa Investment Grade	Pair Corr
0.58	DSFIX	Dfa Social Fixed	Pair Corr
0.55	DSCLX	Dfa International Social	Pair Corr
0.44	DWFIX	Dfa World Ex	Pair Corr

Related Correlations Analysis

	FFCGX	ABVCX	WRLDX	TQAAX	VOLMX	LMUSX	CPUCX
FFCGX		0.78	0.82	0.82	0.8	0.83	-0.41	FFCGX
ABVCX	0.78		0.87	0.96	0.97	0.98	-0.67	ABVCX
WRLDX	0.82	0.87		0.88	0.79	0.83	-0.34	WRLDX
TQAAX	0.82	0.96	0.88		0.96	0.96	-0.56	TQAAX
VOLMX	0.8	0.97	0.79	0.96		0.99	-0.72	VOLMX
LMUSX	0.83	0.98	0.83	0.96	0.99		-0.7	LMUSX
CPUCX	-0.41	-0.67	-0.34	-0.56	-0.72	-0.7		CPUCX
	FFCGX	ABVCX	WRLDX	TQAAX	VOLMX	LMUSX	CPUCX

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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

LMUSX	+ 0.99	VOLMX
LMUSX	+ 0.98	ABVCX
VOLMX	+ 0.97	ABVCX
TQAAX	+ 0.96	ABVCX
VOLMX	+ 0.96	TQAAX
LMUSX	+ 0.96	TQAAX

High negative correlations

CPUCX	- 0.72	VOLMX
CPUCX	- 0.7	LMUSX
CPUCX	- 0.67	ABVCX
CPUCX	- 0.56	TQAAX
CPUCX	- 0.41	FFCGX
CPUCX	- 0.34	WRLDX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Calfrna 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 Calfrna'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
FFCGX	0.56	(0.04)	(0.10)	0.07	0.69	(0.60)	1.26	(1.23)	3.41
ABVCX	0.53	0.04	0.03	0.17	0.27	(0.66)	1.09	(0.80)	3.88
WRLDX	0.49	(0.02)	(0.13)	0.09	0.45	(0.55)	0.92	(0.97)	2.75
TQAAX	0.81	(0.03)	0.00	0.10	0.98	(0.83)	1.75	(1.51)	6.10
VOLMX	0.60	0.00	(0.01)	0.13	0.58	(0.70)	1.14	(1.35)	4.49
LMUSX	0.60	0.03	0.02	0.17	0.72	(0.69)	1.28	(1.49)	4.08
CPUCX	0.25	(0.01)	0.00	0.33	0.00	0.00	0.44	(0.54)	1.29

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