World Ex Correlations

DFWIX Fund

USD 13.38 0.10 0.74%

The correlation of World Ex 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.

World Ex Correlation With Market

Weak diversification

The correlation between World Ex Core and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding World Ex 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 World Ex 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 World Mutual Fund

0.95	DIHRX	Intal High Relative	Pair Corr
0.93	DILRX	Dfa International	Pair Corr
0.84	DIPSX	Dfa Inflation Protected	Pair Corr
0.95	DISVX	Dfa International Small	Pair Corr
0.98	DISMX	Dfa International	Pair Corr
0.74	DREIX	World Core Equity	Pair Corr
0.65	DRIIX	Dimensional 2045 Target	Pair Corr
0.76	DRIHX	Dimensional 2040 Target	Pair Corr
0.74	DRIGX	Dimensional 2035 Target	Pair Corr
0.68	DRIBX	Dimensional 2010 Target	Pair Corr
0.75	DRIWX	Dimensional 2030 Target	Pair Corr
0.79	DRIUX	Dimensional 2025 Target	Pair Corr
0.79	DRIRX	Dimensional 2020 Target	Pair Corr
0.75	DRIQX	Dimensional 2015 Target	Pair Corr
0.61	DRILX	Dimensional 2060 Target	Pair Corr
0.61	DRIKX	Dimensional 2055 Target	Pair Corr
0.61	DRIJX	Dimensional 2050 Target	Pair Corr
0.81	DAADX	Dfa Emerging Markets	Pair Corr
0.77	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.91	DSCLX	Dfa International Social	Pair Corr
0.74	DSFIX	Dfa Social Fixed	Pair Corr
0.73	DSHGX	Dfa Selectively Hedged	Pair Corr
0.76	DEMSX	Emerging Markets Small	Pair Corr
0.79	DEMGX	Emerging Markets Targeted	Pair Corr

Moving against World Mutual Fund

0.4	DFAIX	Dfa Short Duration	Pair Corr
0.38	DTCPX	Dfa Targeted Credit	Pair Corr

Related Correlations Analysis

	TAAEX	MSSGX	UPDDX	LMLRX	SRGAX	HGOFX	MSEQX
TAAEX		0.98	0.69	0.47	0.16	0.87	1.0	TAAEX
MSSGX	0.98		0.68	0.39	0.07	0.88	0.99	MSSGX
UPDDX	0.69	0.68		0.42	0.18	0.77	0.7	UPDDX
LMLRX	0.47	0.39	0.42		0.92	0.44	0.44	LMLRX
SRGAX	0.16	0.07	0.18	0.92		0.13	0.12	SRGAX
HGOFX	0.87	0.88	0.77	0.44	0.13		0.88	HGOFX
MSEQX	1.0	0.99	0.7	0.44	0.12	0.88		MSEQX
	TAAEX	MSSGX	UPDDX	LMLRX	SRGAX	HGOFX	MSEQX

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Risk-Adjusted Indicators

There is a big difference between World Mutual Fund performing well and World Ex 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 World Ex'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
TAAEX	1.34	0.43	0.21	(2.41)	1.26	(1.59)	3.16	(1.92)	12.35
MSSGX	1.58	0.44	0.20	(7.70)	1.51	(2.01)	3.81	(2.32)	11.74
UPDDX	1.55	0.15	0.03	1.79	2.32	(1.62)	3.22	(3.02)	15.30
LMLRX	0.28	0.00	(0.11)	0.09	0.38	(0.29)	0.61	(0.54)	2.14
SRGAX	0.47	(0.02)	(0.08)	0.01	0.69	(0.51)	0.89	(1.03)	4.19
HGOFX	0.99	0.11	0.04	0.35	1.38	(1.00)	1.99	(2.30)	6.57
MSEQX	1.40	0.47	0.24	(3.23)	1.28	(1.67)	3.23	(1.96)	12.69

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