Us Large Correlations

DFUSX Fund

USD 45.45 0.05 0.11%

The current 90-days correlation between Us Large Pany and Dfa Investment Grade is 0.22 (i.e., Modest diversification). The correlation of Us Large 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 Large Correlation With Market

Very poor diversification

The correlation between Us Large Pany and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Us Large Pany 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 Large Pany. 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 main economic indicators.

Moving together with DFUSX Mutual Fund

0.66	DIHRX	Intal High Relative	Pair Corr
0.77	DILRX	Dfa International	Pair Corr
0.73	DISVX	Dfa International Small	Pair Corr
0.79	DISMX	Dfa International	Pair Corr
0.67	DMNBX	Dfa Mn Municipal	Pair Corr
0.72	DMREX	Dfa Municipal Real	Pair Corr
0.68	DNYMX	Dfa Ny Municipal	Pair Corr
0.62	DOGMX	Dfa Oregon Municipal	Pair Corr
0.75	DREIX	World Core Equity	Pair Corr
0.86	DRIIX	Dimensional 2045 Target	Pair Corr
0.81	DRIHX	Dimensional 2040 Target	Pair Corr
0.73	DRIGX	Dimensional 2035 Target	Pair Corr
0.72	DRIWX	Dimensional 2030 Target	Pair Corr
0.71	DRIRX	Dimensional 2020 Target	Pair Corr
0.71	DRIQX	Dimensional 2015 Target	Pair Corr
0.87	DRILX	Dimensional 2060 Target	Pair Corr
0.79	DRIKX	Dimensional 2055 Target	Pair Corr
0.86	DRIJX	Dimensional 2050 Target	Pair Corr
0.72	DAABX	Dfa Sustainability	Pair Corr
0.7	DSCLX	Dfa International Social	Pair Corr
0.83	DSCGX	Dfa Small	Pair Corr
0.8	DSHGX	Dfa Selectively Hedged	Pair Corr
0.62	DSSMX	Dfa Selective State	Pair Corr
0.79	DTDRX	Dimensional 2065 Target	Pair Corr
0.69	DCARX	Dfa California Municipal	Pair Corr
0.88	DURPX	Us High Relative	Pair Corr
0.98	DUSQX	Us Lg Cap	Pair Corr
0.89	DUSLX	Dfa Large	Pair Corr
0.63	DEMSX	Emerging Markets Small	Pair Corr
0.65	DESIX	Emerging Markets Sus	Pair Corr
0.79	DFARX	Dimensional 2070 Target	Pair Corr

Moving against DFUSX Mutual Fund

0.35

DRXIX

Dfa Ltip Portfolio

Pair Corr

Related Correlations Analysis

	DFFVX	DFSVX	CBTAX	JMGFX	DISVX	HIMFX	RLEMX	DFISX	DFEVX	DFAPX
DFFVX		1.0	0.89	0.17	0.96	0.86	0.92	0.96	0.9	0.68	DFFVX
DFSVX	1.0		0.89	0.15	0.96	0.87	0.93	0.96	0.9	0.68	DFSVX
CBTAX	0.89	0.89		-0.08	0.89	0.97	0.95	0.91	0.95	0.74	CBTAX
JMGFX	0.17	0.15	-0.08		0.18	-0.06	0.05	0.2	0.05	0.08	JMGFX
DISVX	0.96	0.96	0.89	0.18		0.85	0.94	0.99	0.93	0.66	DISVX
HIMFX	0.86	0.87	0.97	-0.06	0.85		0.92	0.87	0.91	0.76	HIMFX
RLEMX	0.92	0.93	0.95	0.05	0.94	0.92		0.97	1.0	0.67	RLEMX
DFISX	0.96	0.96	0.91	0.2	0.99	0.87	0.97		0.96	0.69	DFISX
DFEVX	0.9	0.9	0.95	0.05	0.93	0.91	1.0	0.96		0.67	DFEVX
DFAPX	0.68	0.68	0.74	0.08	0.66	0.76	0.67	0.69	0.67		DFAPX
	DFFVX	DFSVX	CBTAX	JMGFX	DISVX	HIMFX	RLEMX	DFISX	DFEVX	DFAPX

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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

DFSVX	+ 1.0	DFFVX
DFEVX	+ 1.0	RLEMX
DFISX	+ 0.99	DISVX
HIMFX	+ 0.97	CBTAX
DFISX	+ 0.97	RLEMX
DISVX	+ 0.96	DFFVX

High negative correlations

JMGFX	- 0.08	CBTAX
HIMFX	- 0.06	JMGFX

Risk-Adjusted Indicators

There is a big difference between DFUSX Mutual Fund performing well and Us Large 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 Large'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	0.80	0.17	0.20	0.20	0.56	(0.95)	2.49	(1.35)	4.74
DFSVX	0.84	0.18	0.20	0.20	0.60	(1.00)	2.60	(1.40)	4.92
CBTAX	0.07	0.02	(0.15)	(2.61)	0.00	(0.11)	0.10	(0.10)	0.51
JMGFX	0.84	(0.09)	0.00	(0.05)	0.00	0.00	1.41	(2.07)	5.39
DISVX	0.69	0.29	0.35	0.42	0.31	(0.85)	1.75	(1.05)	7.06
HIMFX	0.09	0.02	(0.14)	1.57	0.00	(0.13)	0.20	(0.13)	0.85
RLEMX	0.52	0.18	0.25	0.44	0.20	(0.62)	1.29	(1.09)	2.64
DFISX	0.60	0.16	0.19	0.30	0.50	(0.67)	1.50	(1.18)	3.57
DFEVX	0.53	0.14	0.17	0.42	0.40	(0.62)	1.18	(0.93)	3.25
DFAPX	0.14	0.01	(0.12)	0.27	0.00	(0.20)	0.30	(0.30)	0.69

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