Dfa Diversified Correlations

DFXIX Fund  USD 9.44  0.01  0.11%   
The current 90-days correlation between Dfa Diversified Fixed and World Core Equity is 0.01 (i.e., Significant diversification). The correlation of Dfa Diversified 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 Diversified Correlation With Market

Very weak diversification

The correlation between Dfa Diversified Fixed and DJI is 0.57 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Diversified Fixed 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 Diversified Fixed. 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

  0.78DIHRX Intal High RelativePairCorr
  0.72DILRX Dfa InternationalPairCorr
  0.93DIPSX Dfa Inflation ProtectedPairCorr
  0.7DISVX Dfa International SmallPairCorr
  0.66DISMX Dfa InternationalPairCorr
  0.72DMNBX Dfa Mn MunicipalPairCorr
  0.69DNYMX Dfa Ny MunicipalPairCorr
  0.79DOGMX Dfa Oregon MunicipalPairCorr
  0.65DREIX World Core EquityPairCorr
  0.66DRIIX Dimensional 2045 TargetPairCorr
  0.68DRIHX Dimensional 2040 TargetPairCorr
  0.67DRIGX Dimensional 2035 TargetPairCorr
  0.67DRIWX Dimensional 2030 TargetPairCorr
  0.74DRIUX Dimensional 2025 TargetPairCorr
  0.66DRIRX Dimensional 2020 TargetPairCorr
  0.62DRIQX Dimensional 2015 TargetPairCorr
  0.66DRILX Dimensional 2060 TargetPairCorr
  0.66DRIKX Dimensional 2055 TargetPairCorr
  0.65DRIJX Dimensional 2050 TargetPairCorr
  0.77DAADX Dfa Emerging MarketsPairCorr
  0.69DAABX Dfa SustainabilityPairCorr
  0.74DSCLX Dfa International SocialPairCorr
  0.98DSFIX Dfa Social FixedPairCorr
  0.69DSHGX Dfa Selectively HedgedPairCorr
  0.79DSSMX Dfa Selective StatePairCorr
  0.8DTCPX Dfa Targeted CreditPairCorr
  0.66DTDRX Dimensional 2065 TargetPairCorr
  0.8DCIBX Dfa Ca IntPairCorr
  0.63DCMSX Dfa Commodity StrategyPairCorr
  0.68DURPX Us High RelativePairCorr
  0.73DEMSX Emerging Markets SmallPairCorr
  0.73DEMGX Emerging Markets TargetedPairCorr
  0.75DWFIX Dfa World ExPairCorr
  0.74DESIX Emerging Markets SusPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Diversified 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 Diversified'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DIHRX  0.58  0.10  0.11  0.21  0.50 
 1.19 
 3.25 
DILRX  0.64  0.08  0.08  0.18  0.60 
 1.31 
 3.64 
DIPSX  0.13  0.00 (0.37) 0.31  0.08 
 0.27 
 0.63 
DISVX  0.67  0.28  0.33  0.44  0.26 
 1.75 
 7.06 
DISMX  0.61  0.11  0.10  0.24  0.62 
 1.41 
 3.57 
DMNBX  0.03  0.00  0.00  0.34  0.00 
 0.10 
 0.20 
DMREX  0.05  0.01 (0.56) 0.40  0.00 
 0.09 
 1.04 
DNYMX  0.03  0.00  0.00  1.65  0.00 
 0.10 
 0.10 
DOGMX  0.05  0.02  0.00  3.24  0.00 
 0.10 
 0.30 
DREIX  0.57  0.13  0.15  0.25  0.40 
 1.17 
 5.16