Us Small Correlations

DFSVX Fund

USD 56.95 0.55 0.96%

The current 90-days correlation between Us Small Cap and Lazard Emerging Markets is 0.36 (i.e., Weak diversification). The correlation of Us Small 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.

Us Small Correlation With Market

Almost no diversification

The correlation between Us Small Cap and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Us Small Cap 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 Us Small Cap. 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 real.

Moving together with DFSVX Mutual Fund

0.93	DIHRX	Intal High Relative	Pair Corr
0.9	DILRX	Dfa International	Pair Corr
0.95	DISVX	Dfa International Small	Pair Corr
0.92	DISMX	Dfa International	Pair Corr
0.91	DMREX	Dfa Municipal Real	Pair Corr
0.86	DRIQX	Dimensional 2015 Target	Pair Corr
0.95	DSCGX	Dfa Small	Pair Corr
0.79	DCMSX	Dfa Commodity Strategy	Pair Corr
0.84	DURPX	Us High Relative	Pair Corr
0.85	DUSQX	Us Lg Cap	Pair Corr
0.77	DEMSX	Emerging Markets Small	Pair Corr
0.8	DESIX	Emerging Markets Sus	Pair Corr
0.61	DFAPX	Dfa Investment Grade	Pair Corr
0.83	DFCEX	Emerging Markets E	Pair Corr
0.84	DFEVX	Emerging Markets Value	Pair Corr
0.82	DFELX	Enhanced Large Pany	Pair Corr
0.83	DFEMX	Emerging Markets Por	Pair Corr
0.74	DFGEX	Dfa Global Real	Pair Corr
0.87	DFGBX	Dfa Five Year	Pair Corr
1.0	DFFVX	Us Targeted Value	Pair Corr
0.95	DFIEX	International E Equity	Pair Corr
0.96	DFIVX	Dfa International Value	Pair Corr
0.81	DFITX	Dfa International Real	Pair Corr
0.95	DFISX	International Small Pany	Pair Corr
0.95	DFQTX	Us E Equity	Pair Corr
0.98	DFSTX	Us Small Cap	Pair Corr
0.94	DFSPX	Dfa Intl Sustainability	Pair Corr
0.88	DFSHX	Dfa Selectively Hedged	Pair Corr
0.99	DFSCX	Us Micro Cap	Pair Corr
0.98	DFVEX	Us Vector Equity	Pair Corr
0.78	DFUSX	Us Large Pany	Pair Corr
0.94	DFUKX	United Kingdom Small	Pair Corr
0.92	TDIFX	Dimensional Retirement	Pair Corr
0.99	VSIIX	Vanguard Small Cap	Pair Corr
0.99	VISVX	Vanguard Small Cap	Pair Corr

Related Correlations Analysis

	DFFVX	DFUSX	TWCGX	TEPLX	DFSTX	OTCIX	LZOEX	DFISX	VAFIX	RLEMX
DFFVX		0.79	0.75	0.87	0.99	0.81	0.89	0.95	-0.08	0.89	DFFVX
DFUSX	0.79		0.71	0.83	0.83	0.76	0.71	0.81	0.51	0.71	DFUSX
TWCGX	0.75	0.71		0.76	0.75	0.85	0.66	0.8	0.11	0.66	TWCGX
TEPLX	0.87	0.83	0.76		0.88	0.75	0.92	0.93	0.15	0.92	TEPLX
DFSTX	0.99	0.83	0.75	0.88		0.83	0.88	0.95	0.03	0.88	DFSTX
OTCIX	0.81	0.76	0.85	0.75	0.83		0.64	0.8	0.15	0.64	OTCIX
LZOEX	0.89	0.71	0.66	0.92	0.88	0.64		0.95	-0.08	1.0	LZOEX
DFISX	0.95	0.81	0.8	0.93	0.95	0.8	0.95		0.0	0.95	DFISX
VAFIX	-0.08	0.51	0.11	0.15	0.03	0.15	-0.08	0.0		-0.08	VAFIX
RLEMX	0.89	0.71	0.66	0.92	0.88	0.64	1.0	0.95	-0.08		RLEMX
	DFFVX	DFUSX	TWCGX	TEPLX	DFSTX	OTCIX	LZOEX	DFISX	VAFIX	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

RLEMX	+ 1.0	LZOEX
DFSTX	+ 0.99	DFFVX
DFISX	+ 0.95	DFFVX
DFISX	+ 0.95	DFSTX
DFISX	+ 0.95	LZOEX
RLEMX	+ 0.95	DFISX

High negative correlations

RLEMX	- 0.08	VAFIX
VAFIX	- 0.08	LZOEX
VAFIX	- 0.08	DFFVX
VAFIX	- 0.0	DFISX

Risk-Adjusted Indicators

There is a big difference between DFSVX Mutual Fund performing well and Us Small 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 Us Small'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
DFFVX	0.78	0.17	0.19	0.19	0.59	(0.89)	2.46	(1.20)	4.74
DFUSX	0.55	(0.04)	0.00	(0.02)	0.00	0.00	0.99	(1.23)	3.62
TWCGX	1.07	0.16	0.12	0.49	1.00	(1.25)	1.35	(1.99)	23.80
TEPLX	0.57	0.05	0.02	0.71	0.75	(0.54)	1.26	(1.25)	3.66
DFSTX	0.77	0.09	0.10	0.12	0.80	(0.82)	1.86	(1.34)	4.38
OTCIX	1.07	0.10	0.08	0.18	1.04	(1.32)	1.35	(1.77)	19.27
LZOEX	0.52	0.18	0.23	0.43	0.29	(0.59)	1.28	(1.12)	2.66
DFISX	0.58	0.12	0.13	0.23	0.60	(0.62)	1.29	(1.18)	3.57
VAFIX	0.98	(0.21)	0.00	(0.20)	0.00	0.00	1.71	(2.59)	5.85
RLEMX	0.52	0.18	0.23	0.43	0.29	(0.61)	1.29	(1.12)	2.64

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