Dfa Global Correlations

DGCFX Fund

USD 9.29 0.02 0.22%

The current 90-days correlation between Dfa Global Core and Chartwell Small Cap is 0.08 (i.e., Significant diversification). The correlation of Dfa Global 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 Global Correlation With Market

Weak diversification

The correlation between Dfa Global 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 Dfa Global 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 Global 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 census.

Moving together with Dfa Mutual Fund

0.76	DILRX	Dfa International	Pair Corr
0.75	DISMX	Dfa International	Pair Corr
0.63	DNYMX	Dfa Ny Municipal	Pair Corr
0.72	DOGMX	Dfa Oregon Municipal	Pair Corr
0.64	DRIIX	Dimensional 2045 Target	Pair Corr
0.66	DRILX	Dimensional 2060 Target	Pair Corr
0.64	DRIJX	Dimensional 2050 Target	Pair Corr
0.65	DAADX	Dfa Emerging Markets	Pair Corr
0.63	DSFIX	Dfa Social Fixed	Pair Corr
0.74	DCIBX	Dfa Ca Int	Pair Corr
0.72	DCMSX	Dfa Commodity Strategy	Pair Corr
0.76	DEMSX	Emerging Markets Small	Pair Corr
0.78	DEMGX	Emerging Markets Targeted	Pair Corr
0.66	DESIX	Emerging Markets Sus	Pair Corr
0.79	DFAPX	Dfa Investment Grade	Pair Corr
0.73	DFALX	Large Cap International	Pair Corr

Related Correlations Analysis

	AATSX	PMDDX	QUAIX	CISAX	SCYVX	VDEQX	CWSIX
AATSX		0.96	0.89	0.93	0.98	0.82	0.9	AATSX
PMDDX	0.96		0.85	0.96	0.98	0.7	0.92	PMDDX
QUAIX	0.89	0.85		0.87	0.83	0.86	0.74	QUAIX
CISAX	0.93	0.96	0.87		0.94	0.76	0.91	CISAX
SCYVX	0.98	0.98	0.83	0.94		0.73	0.91	SCYVX
VDEQX	0.82	0.7	0.86	0.76	0.73		0.69	VDEQX
CWSIX	0.9	0.92	0.74	0.91	0.91	0.69		CWSIX
	AATSX	PMDDX	QUAIX	CISAX	SCYVX	VDEQX	CWSIX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Global 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 Global'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
AATSX	0.77	0.09	0.09	0.11	0.82	(0.86)	1.93	(1.58)	4.66
PMDDX	0.71	0.21	0.20	1.81	0.50	(0.76)	2.12	(1.32)	4.04
QUAIX	1.13	0.01	(0.01)	0.10	1.67	(1.04)	2.05	(2.42)	6.53
CISAX	0.55	0.09	0.07	3.91	0.61	(0.61)	1.05	(1.17)	3.59
SCYVX	0.82	0.20	0.20	0.23	0.65	(1.01)	2.27	(1.61)	4.78
VDEQX	0.61	(0.06)	0.00	(0.03)	0.00	0.00	1.23	(1.51)	3.64
CWSIX	1.34	0.60	0.64	0.61	0.00	(1.76)	2.79	(1.28)	28.32

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Dfa Global Correlations

Dfa Global Correlation With Market

Weak diversification

Moving together with Dfa Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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