Dfa Emerging Correlations

DFESX Fund

USD 14.87 0.02 0.13%

The current 90-days correlation between Dfa Emerging Markets and International E Equity is 0.82 (i.e., Very poor diversification). The correlation of Dfa Emerging 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 Emerging Correlation With Market

Weak diversification

The correlation between Dfa Emerging Markets and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Emerging Markets 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 Emerging Markets. 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 state.

Moving together with Dfa Mutual Fund

0.64	DREIX	World Core Equity	Pair Corr
0.69	DRIHX	Dimensional 2040 Target	Pair Corr
0.62	DRIGX	Dimensional 2035 Target	Pair Corr
0.67	DRIBX	Dimensional 2010 Target	Pair Corr
0.87	DCMSX	Dfa Commodity Strategy	Pair Corr
0.98	DEMSX	Emerging Markets Small	Pair Corr
0.98	DEMGX	Emerging Markets Targeted	Pair Corr

Related Correlations Analysis

	DFIEX	DISVX	DFQTX	DFLVX	DFGBX
DFIEX		0.98	-0.43	-0.44	-0.64	DFIEX
DISVX	0.98		-0.32	-0.33	-0.55	DISVX
DFQTX	-0.43	-0.32		0.98	0.87	DFQTX
DFLVX	-0.44	-0.33	0.98		0.85	DFLVX
DFGBX	-0.64	-0.55	0.87	0.85		DFGBX
	DFIEX	DISVX	DFQTX	DFLVX	DFGBX

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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

DISVX	+ 0.98	DFIEX
DFLVX	+ 0.98	DFQTX
DFGBX	+ 0.87	DFQTX
DFGBX	+ 0.85	DFLVX

High negative correlations

DFGBX	- 0.64	DFIEX
DFGBX	- 0.55	DISVX
DFLVX	- 0.44	DFIEX
DFQTX	- 0.43	DFIEX
DFLVX	- 0.33	DISVX
DFQTX	- 0.32	DISVX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Emerging 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 Emerging'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
DISVX	0.65	(0.10)	0.00	(0.10)	0.00	0.00	1.85	(1.49)	4.14
DFQTX	0.59	0.00	0.00	0.12	0.60	(0.65)	1.34	(1.23)	4.63
DFLVX	0.62	(0.01)	(0.01)	0.11	0.45	(0.73)	1.18	(0.87)	4.67
DFGBX	0.03	0.01	0.00	(7.28)	0.00	0.00	0.10	0.00	0.10

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