Dfa Us Correlations

DFSIX Fund

USD 47.55 0.24 0.51%

The current 90-days correlation between Dfa Sustainability Core and Us Micro Cap is 0.87 (i.e., Very poor diversification). The correlation of Dfa Us 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 Us Correlation With Market

Almost no diversification

The correlation between Dfa Sustainability Core and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Sustainability Core 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 Sustainability Core. 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 Dfa Mutual Fund

0.79	DRIHX	Dimensional 2040 Target	Pair Corr
0.96	DRIKX	Dimensional 2055 Target	Pair Corr
0.96	DRIJX	Dimensional 2050 Target	Pair Corr
0.94	DAABX	Dfa Sustainability	Pair Corr
0.98	DSCGX	Dfa Small	Pair Corr
0.96	DTDRX	Dimensional 2065 Target	Pair Corr
0.97	DUSLX	Dfa Large	Pair Corr
0.81	DFCMX	Dfa Calfrna Shrt	Pair Corr
0.91	DFFGX	Dfa Short Term	Pair Corr
1.0	DFEOX	Us E Equity	Pair Corr
0.99	DFELX	Enhanced Large Pany	Pair Corr
0.9	DFGFX	Dfa Two Year	Pair Corr
0.91	DFGBX	Dfa Five Year	Pair Corr
0.95	DFFVX	Us Targeted Value	Pair Corr
0.87	DFIHX	Dfa One Year	Pair Corr
0.98	DFLVX	Us Large Cap	Pair Corr
1.0	DFQTX	Us E Equity	Pair Corr
0.93	DFSVX	Us Small Cap	Pair Corr
0.97	DFSTX	Us Small Cap	Pair Corr
0.82	DFSMX	Dfa Short Term	Pair Corr
0.95	DFSCX	Us Micro Cap	Pair Corr

Moving against Dfa Mutual Fund

0.58	DIHRX	Intal High Relative	Pair Corr
0.55	DILRX	Dfa International	Pair Corr
0.46	DISMX	Dfa International	Pair Corr
0.37	DISVX	Dfa International Small	Pair Corr
0.32	DRIUX	Dimensional 2025 Target	Pair Corr
0.48	DFIEX	International E Equity	Pair Corr
0.44	DFISX	International Small Pany	Pair Corr
0.42	DFGEX	Dfa Global Real	Pair Corr
0.35	DFIVX	Dfa International Value	Pair Corr
0.6	DFTEX	Dfa Intermediate Term	Pair Corr
0.33	DFTIX	Dfa Intermediate Term	Pair Corr

Related Correlations Analysis

	DFSCX	DFFGX	DEMSX	DFIHX	DFGFX
DFSCX		0.82	-0.12	0.76	0.82	DFSCX
DFFGX	0.82		-0.05	0.97	0.99	DFFGX
DEMSX	-0.12	-0.05		0.03	-0.04	DEMSX
DFIHX	0.76	0.97	0.03		0.97	DFIHX
DFGFX	0.82	0.99	-0.04	0.97		DFGFX
	DFSCX	DFFGX	DEMSX	DFIHX	DFGFX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

DFGFX	+ 0.99	DFFGX
DFIHX	+ 0.97	DFFGX
DFGFX	+ 0.97	DFIHX
DFFGX	+ 0.82	DFSCX
DFGFX	+ 0.82	DFSCX
DFIHX	+ 0.76	DFSCX

High negative correlations

DEMSX	- 0.12	DFSCX
DEMSX	- 0.05	DFFGX
DFGFX	- 0.04	DEMSX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Us 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 Us' 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
DFSCX	0.95	(0.04)	0.04	0.10	0.85	(1.08)	2.17	(1.53)	8.36
DFFGX	0.03	0.01	0.00	3.27	0.00	0.00	0.10	0.00	0.10
DEMSX	0.60	(0.05)	(0.15)	0.00	0.84	(0.56)	1.16	(1.41)	3.18
DFIHX	0.04	0.00	0.00	(0.83)	0.00	0.00	0.10	0.00	0.49
DFGFX	0.03	0.01	0.00	1.32	0.00	0.00	0.10	0.00	0.10

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC