Emerging Markets Correlations

DFEVX Fund

USD 37.93 0.14 0.37%

The current 90-days correlation between Emerging Markets Value and Dfa International Value is 0.67 (i.e., Poor diversification). The correlation of Emerging Markets 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.

Emerging Markets Correlation With Market

Very weak diversification

The correlation between Emerging Markets Value and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Value 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 Emerging Markets Value. 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 services.

Moving together with Emerging Mutual Fund

0.76	DIHRX	Intal High Relative	Pair Corr
0.62	DNYMX	Dfa Ny Municipal	Pair Corr
0.67	DOGMX	Dfa Oregon Municipal	Pair Corr
0.67	DREIX	World Core Equity	Pair Corr
0.79	DRIIX	Dimensional 2045 Target	Pair Corr
0.73	DRIHX	Dimensional 2040 Target	Pair Corr
0.64	DRIGX	Dimensional 2035 Target	Pair Corr
0.8	DRILX	Dimensional 2060 Target	Pair Corr
0.8	DRIKX	Dimensional 2055 Target	Pair Corr
0.79	DRIJX	Dimensional 2050 Target	Pair Corr
0.95	DAADX	Dfa Emerging Markets	Pair Corr
0.68	DSCLX	Dfa International Social	Pair Corr
0.75	DSHGX	Dfa Selectively Hedged	Pair Corr
0.7	DSSMX	Dfa Selective State	Pair Corr
0.8	DTDRX	Dimensional 2065 Target	Pair Corr
0.68	DCIBX	Dfa Ca Int	Pair Corr
0.73	DCMSX	Dfa Commodity Strategy	Pair Corr
0.79	DUSQX	Us Lg Cap	Pair Corr
0.69	DEMGX	Emerging Markets Targeted	Pair Corr
0.69	DESIX	Emerging Markets Sus	Pair Corr

Related Correlations Analysis

	DFIVX	DFAPX	DISVX	HIMFX	JMGFX	CBTAX	DFUSX	DFISX	MRSKX	RLEMX
DFIVX		0.15	0.95	0.5	-0.15	0.59	0.76	0.86	0.9	0.85	DFIVX
DFAPX	0.15		0.18	0.55	0.1	0.55	0.26	0.23	0.15	0.21	DFAPX
DISVX	0.95	0.18		0.35	-0.02	0.46	0.69	0.93	0.97	0.68	DISVX
HIMFX	0.5	0.55	0.35		-0.37	0.96	0.43	0.19	0.28	0.78	HIMFX
JMGFX	-0.15	0.1	-0.02	-0.37		-0.36	0.37	0.27	0.1	-0.25	JMGFX
CBTAX	0.59	0.55	0.46	0.96	-0.36		0.48	0.29	0.4	0.82	CBTAX
DFUSX	0.76	0.26	0.69	0.43	0.37	0.48		0.75	0.7	0.76	DFUSX
DFISX	0.86	0.23	0.93	0.19	0.27	0.29	0.75		0.94	0.54	DFISX
MRSKX	0.9	0.15	0.97	0.28	0.1	0.4	0.7	0.94		0.63	MRSKX
RLEMX	0.85	0.21	0.68	0.78	-0.25	0.82	0.76	0.54	0.63		RLEMX
	DFIVX	DFAPX	DISVX	HIMFX	JMGFX	CBTAX	DFUSX	DFISX	MRSKX	RLEMX

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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

MRSKX	+ 0.97	DISVX
CBTAX	+ 0.96	HIMFX
DISVX	+ 0.95	DFIVX
MRSKX	+ 0.94	DFISX
DFISX	+ 0.93	DISVX
MRSKX	+ 0.9	DFIVX

High negative correlations

JMGFX	- 0.37	HIMFX
CBTAX	- 0.36	JMGFX
RLEMX	- 0.25	JMGFX
JMGFX	- 0.15	DFIVX
JMGFX	- 0.02	DISVX

Risk-Adjusted Indicators

There is a big difference between Emerging Mutual Fund performing well and Emerging Markets 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 Emerging Markets' 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
DFIVX	0.57	0.09	0.09	0.17	0.62	(0.64)	1.22	(1.19)	2.97
DFAPX	0.15	0.00	(0.23)	0.13	0.13	(0.19)	0.30	(0.30)	0.98
DISVX	0.65	0.12	0.14	0.20	0.56	(0.74)	1.34	(1.34)	5.32
HIMFX	0.08	0.01	(0.31)	(0.58)	0.00	(0.13)	0.20	(0.13)	0.72
JMGFX	0.84	(0.10)	0.00	(0.03)	0.00	0.00	1.41	(2.25)	4.81
CBTAX	0.06	0.01	(0.33)	(4.31)	0.00	(0.11)	0.10	(0.10)	0.41
DFUSX	0.57	(0.01)	(0.02)	0.04	0.84	(0.55)	1.22	(1.17)	3.28
DFISX	0.56	0.02	0.01	0.09	0.66	(0.59)	1.19	(1.11)	2.68
MRSKX	0.56	0.08	0.09	0.18	0.55	(0.64)	1.20	(0.90)	3.83
RLEMX	0.53	0.13	0.13	0.27	0.43	(0.57)	1.25	(1.12)	2.80

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