Davidson Multi-cap Correlations

DFMIX Fund

USD 35.99 0.02 0.06%

The current 90-days correlation between Davidson Multi Cap and International Equities Index is 0.2 (i.e., Modest diversification). The correlation of Davidson Multi-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.

Davidson Multi-cap Correlation With Market

Very poor diversification

The correlation between Davidson Multi Cap Equity and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davidson Multi Cap Equity 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 Davidson Multi Cap Equity. 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 gross domestic product.

Moving together with Davidson Mutual Fund

1.0	DFMAX	Davidson Multi Cap	Pair Corr
0.84	VTSAX	Vanguard Total Stock	Pair Corr
0.77	VFIAX	Vanguard 500 Index	Pair Corr
0.79	VTSMX	Vanguard Total Stock	Pair Corr
0.79	VITSX	Vanguard Total Stock	Pair Corr
0.79	VSMPX	Vanguard Total Stock	Pair Corr
0.84	VSTSX	Vanguard Total Stock	Pair Corr
0.77	VFINX	Vanguard 500 Index	Pair Corr
0.82	VFFSX	Vanguard 500 Index	Pair Corr
0.77	VINIX	Vanguard Institutional	Pair Corr
0.77	VIIIX	Vanguard Institutional	Pair Corr
0.74	CII	Blackrock Enhanced	Pair Corr
0.78	ETV	Eaton Vance Tax	Pair Corr
0.75	CLM	Cornerstone Strategic	Pair Corr
0.8	USA	Liberty All Star	Pair Corr
0.82	NFJ	Virtus Dividend Interest	Pair Corr
0.89	EKGIX	Wells Fargo Global	Pair Corr
0.73	SEMNX	Hartford Schroders	Pair Corr
0.84	CWGIX	Capital World Growth	Pair Corr
0.88	MEIIX	Mfs Value Fund	Pair Corr
0.94	GCECX	Ab Global E	Pair Corr
0.88	LAMCX	Lord Abbett Calibrated	Pair Corr
0.92	GCEAX	Ab Global E	Pair Corr
0.86	ALFQX	Lord Abbett Alpha	Pair Corr
0.85	BDHAX	Blackrock High Income	Pair Corr
0.69	EMDQX	Prudential Emerging	Pair Corr
0.65	AFTEX	Tax Exempt Bond	Pair Corr
0.77	JTAIX	Multimanager Lifestyle	Pair Corr
0.71	FSEAX	Fidelity Emerging Asia	Pair Corr

Moving against Davidson Mutual Fund

0.66	IFN	India Closed	Pair Corr
0.32	IIF	Morgan Stanley India	Pair Corr

Related Correlations Analysis

	DFMIX	DFMAX	GEMIX	DIFHX	BAISX	RTIUX	GCEYX	FEMKX	CGIFX	VCIEX
DFMIX		1.0	0.37	0.73	0.56	0.81	0.94	0.7	0.85	0.82	DFMIX
DFMAX	1.0		0.37	0.73	0.56	0.81	0.94	0.7	0.85	0.82	DFMAX
GEMIX	0.37	0.37		0.65	0.44	0.7	0.42	0.78	0.66	0.69	GEMIX
DIFHX	0.73	0.73	0.65		0.85	0.95	0.7	0.9	0.9	0.96	DIFHX
BAISX	0.56	0.56	0.44	0.85		0.77	0.55	0.72	0.72	0.78	BAISX
RTIUX	0.81	0.81	0.7	0.95	0.77		0.82	0.97	0.97	1.0	RTIUX
GCEYX	0.94	0.94	0.42	0.7	0.55	0.82		0.74	0.87	0.82	GCEYX
FEMKX	0.7	0.7	0.78	0.9	0.72	0.97	0.74		0.94	0.95	FEMKX
CGIFX	0.85	0.85	0.66	0.9	0.72	0.97	0.87	0.94		0.96	CGIFX
VCIEX	0.82	0.82	0.69	0.96	0.78	1.0	0.82	0.95	0.96		VCIEX
	DFMIX	DFMAX	GEMIX	DIFHX	BAISX	RTIUX	GCEYX	FEMKX	CGIFX	VCIEX

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Risk-Adjusted Indicators

There is a big difference between Davidson Mutual Fund performing well and Davidson Multi-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 Davidson Multi-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
DFMIX	0.64	0.13	0.12	1.11	0.61	(0.71)	1.05	(1.15)	9.21
DFMAX	0.64	0.13	0.12	1.05	0.61	(0.73)	1.05	(1.15)	9.19
GEMIX	0.68	0.27	0.29	3.37	0.26	(0.81)	1.70	(1.16)	4.17
DIFHX	0.19	0.07	0.08	1.96	0.00	(0.23)	0.49	(0.32)	1.20
BAISX	0.15	0.01	(0.13)	0.26	0.00	(0.21)	0.35	(0.23)	0.71
RTIUX	0.56	0.12	0.14	0.22	0.49	(0.63)	1.37	(1.15)	3.06
GCEYX	0.72	0.13	0.14	0.25	0.58	(0.90)	1.30	(1.43)	11.04
FEMKX	0.66	0.08	0.07	0.17	0.69	(0.65)	1.27	(1.51)	4.14
CGIFX	0.65	0.26	0.31	49.83	0.24	(0.82)	1.52	(0.98)	8.15
VCIEX	0.58	0.12	0.13	0.23	0.50	(0.68)	1.17	(1.22)	3.01

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