Global Equity Correlations

DGEIX Fund

USD 36.18 0.01 0.03%

The current 90-days correlation between Global Equity Portfolio and Ab Centrated Growth is 0.82 (i.e., Very poor diversification). The correlation of Global Equity 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.

Global Equity Correlation With Market

Very poor diversification

The correlation between Global Equity Portfolio 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 Global Equity Portfolio 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 Global Equity Portfolio. 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 Global Mutual Fund

0.89	DMREX	Dfa Municipal Real	Pair Corr
0.74	DNYMX	Dfa Ny Municipal	Pair Corr
0.92	DREIX	World Core Equity	Pair Corr
1.0	DRIIX	Dimensional 2045 Target	Pair Corr
0.83	DRIHX	Dimensional 2040 Target	Pair Corr
1.0	DRILX	Dimensional 2060 Target	Pair Corr
1.0	DRIKX	Dimensional 2055 Target	Pair Corr
1.0	DRIJX	Dimensional 2050 Target	Pair Corr
0.86	DAABX	Dfa Sustainability	Pair Corr
0.94	DSCGX	Dfa Small	Pair Corr
0.99	DSHGX	Dfa Selectively Hedged	Pair Corr
0.81	DTCPX	Dfa Targeted Credit	Pair Corr
1.0	DTDRX	Dimensional 2065 Target	Pair Corr
0.88	DCARX	Dfa California Municipal	Pair Corr
0.65	DCMSX	Dfa Commodity Strategy	Pair Corr
0.97	DURPX	Us High Relative	Pair Corr
0.96	DUSQX	Us Lg Cap	Pair Corr
0.96	DUSLX	Dfa Large	Pair Corr

Moving against Global Mutual Fund

0.41	DIPSX	Dfa Inflation Protected	Pair Corr
0.35	DIHRX	Intal High Relative	Pair Corr
0.31	DILRX	Dfa International	Pair Corr
0.63	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.58	DFAPX	Dfa Investment Grade	Pair Corr
0.56	DSFIX	Dfa Social Fixed	Pair Corr

Related Correlations Analysis

	WPASX	APDSX	HSUAX	MSSGX	LMBMX	PMDDX
WPASX		0.86	0.81	0.73	0.82	0.78	WPASX
APDSX	0.86		0.88	0.84	0.94	0.87	APDSX
HSUAX	0.81	0.88		0.88	0.85	0.92	HSUAX
MSSGX	0.73	0.84	0.88		0.87	0.94	MSSGX
LMBMX	0.82	0.94	0.85	0.87		0.92	LMBMX
PMDDX	0.78	0.87	0.92	0.94	0.92		PMDDX
	WPASX	APDSX	HSUAX	MSSGX	LMBMX	PMDDX

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Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Equity 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 Global Equity'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
WPASX	0.58	0.00	(0.03)	0.12	0.69	(0.62)	1.27	(1.15)	4.06
APDSX	0.96	0.01	0.03	0.13	1.13	(0.95)	2.03	(1.99)	5.77
HSUAX	0.71	0.17	0.05	(2.23)	0.69	(0.83)	1.43	(1.41)	4.58
MSSGX	1.45	0.55	0.29	7.46	1.11	(1.78)	3.46	(2.26)	7.23
LMBMX	0.95	(0.06)	0.01	0.08	1.06	(1.07)	1.95	(1.75)	8.01
PMDDX	0.70	0.11	0.00	1.70	0.65	(0.85)	1.61	(1.31)	5.22

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