Domini Impact Correlations

DIEQX Fund

USD 39.58 0.19 0.48%

The current 90-days correlation between Domini Impact Equity and Domini Sustainable Solutions is 0.87 (i.e., Very poor diversification). The correlation of Domini Impact 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.

Domini Impact Correlation With Market

Poor diversification

The correlation between Domini Impact Equity and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Impact Equity 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 Domini Impact Equity. 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 producer price index.

Moving together with Domini Mutual Fund

1.0	DSEFX	Domini Impact Equity	Pair Corr
1.0	DSFRX	Domini Impact Equity	Pair Corr
0.94	FAFGX	American Funds	Pair Corr
0.94	FFAFX	American Funds	Pair Corr
0.94	GFACX	Growth Fund	Pair Corr
0.99	GFAFX	Growth Fund	Pair Corr
0.99	AGTHX	Growth Fund	Pair Corr
0.99	CGFFX	Growth Fund	Pair Corr
0.99	CGFCX	Growth Fund	Pair Corr
0.94	CGFAX	Growth Fund	Pair Corr
0.99	CGFEX	Growth Fund	Pair Corr
0.99	RGAEX	Growth Fund	Pair Corr
0.83	SMPIX	Semiconductor Ultrasector	Pair Corr
0.82	SMPSX	Semiconductor Ultrasector	Pair Corr
0.85	LSHUX	Horizon Spin Off Downward Rally	Pair Corr
0.85	LSHEX	Kinetics Spin Off Downward Rally	Pair Corr
0.88	RSNYX	Victory Global Natural	Pair Corr
0.87	RSNRX	Victory Global Natural	Pair Corr
0.88	RGNCX	Victory Global Natural	Pair Corr
0.84	WWNPX	Kinetics Paradigm Downward Rally	Pair Corr
0.92	RMQAX	Monthly Rebalance	Pair Corr
0.92	RMQHX	Monthly Rebalance	Pair Corr
0.98	RFNFX	American Funds Funda	Pair Corr
0.83	WSCRX	Wells Fargo Advantage	Pair Corr
0.92	FCNTX	Fidelity Contrafund	Pair Corr
0.93	FSPGX	Fidelity Large Cap	Pair Corr
0.99	VIIIX	Vanguard Institutional	Pair Corr
0.86	FSSNX	Fidelity Small Cap	Pair Corr

Moving against Domini Mutual Fund

0.7	DSBYX	Domini Impact Bond	Pair Corr
0.7	DSBIX	Domini Impact Bond	Pair Corr
0.7	DSBFX	Domini Impact Bond	Pair Corr
0.59	RISEX	Domini International	Pair Corr
0.57	LEADX	Domini International	Pair Corr

Related Correlations Analysis

	LIFEX	DOMYX	DOMOX	DOMIX	DOMAX	DSBYX	DSBIX	DSBFX
LIFEX		0.44	0.54	0.54	0.0	-0.02	-0.01	-0.01	LIFEX
DOMYX	0.44		0.88	0.88	0.0	0.59	0.59	0.6	DOMYX
DOMOX	0.54	0.88		1.0	0.0	0.64	0.64	0.65	DOMOX
DOMIX	0.54	0.88	1.0		0.0	0.64	0.64	0.65	DOMIX
DOMAX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	DOMAX
DSBYX	-0.02	0.59	0.64	0.64	0.0		1.0	1.0	DSBYX
DSBIX	-0.01	0.59	0.64	0.64	0.0	1.0		1.0	DSBIX
DSBFX	-0.01	0.6	0.65	0.65	0.0	1.0	1.0		DSBFX
	LIFEX	DOMYX	DOMOX	DOMIX	DOMAX	DSBYX	DSBIX	DSBFX

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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

DOMIX	+ 1.0	DOMOX
DSBIX	+ 1.0	DSBYX
DSBFX	+ 1.0	DSBYX
DSBFX	+ 1.0	DSBIX
DOMOX	+ 0.88	DOMYX
DOMIX	+ 0.88	DOMYX

High negative correlations

DSBYX	- 0.02	LIFEX
DSBFX	- 0.01	LIFEX
DSBIX	- 0.01	LIFEX
DSBFX	- 0.0	DOMAX
DSBIX	- 0.0	DOMAX
DSBYX	- 0.0	DOMAX

Risk-Adjusted Indicators

There is a big difference between Domini Mutual Fund performing well and Domini Impact 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 Domini Impact'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
LIFEX	0.70	(0.10)	(0.11)	0.00	0.99	(0.65)	1.25	(1.44)	3.42
DOMYX	0.68	(0.03)	0.00	(3.28)	0.00	0.00	1.20	(1.48)	3.88
DOMOX	0.67	(0.11)	0.00	(0.08)	0.00	0.00	1.10	(1.48)	3.90
DOMIX	0.66	(0.11)	0.00	(0.08)	0.00	0.00	1.18	(1.45)	3.93
DOMAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DSBYX	0.23	(0.02)	0.00	0.41	0.00	0.00	0.49	(0.58)	1.36
DSBIX	0.23	(0.02)	0.00	0.46	0.00	0.00	0.49	(0.59)	1.37
DSBFX	0.23	(0.02)	0.00	0.42	0.00	0.00	0.49	(0.58)	1.36

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