Domini Impact Correlations

Mutual Funds . USA . 
Fund . Domini Impact Equity
DIEQX Fund  USD 37.79  0.42  1.12%   
The current 90-days correlation between Domini Impact Equity and Domini Sustainable Solutions is 0.83 (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

Modest diversification

The correlation between Domini Impact Equity and DJI is 0.2 (i.e., Modest 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

  0.89LIFEX Domini SustainablePairCorr
  0.66DOMYX Domini Impact InternPairCorr
  0.67DOMOX Domini Impact InternPairCorr
  0.67DOMIX Domini Impact InternPairCorr
  0.64DSBYX Domini Impact BondPairCorr
  0.64DSBIX Domini Impact BondPairCorr
  0.66DSBFX Domini Impact BondPairCorr
  1.0DSEFX Domini Impact EquityPairCorr
  1.0DSFRX Domini Impact EquityPairCorr
  0.89CAREX Cornerstone Advisors RealPairCorr
  0.98FAFGX American FundsPairCorr
  0.98FFAFX American FundsPairCorr
  0.97GFACX Growth FundPairCorr
  0.89GFAFX Growth FundPairCorr
  0.98CGFFX Growth FundPairCorr
  0.97CGFCX Growth FundPairCorr
  0.98CGFAX Growth FundPairCorr
  0.98CGFEX Growth FundPairCorr
  0.98RGAEX Growth FundPairCorr
  0.76WCMGX Wcm Focused GlobalPairCorr
  0.78NAESX Vanguard Small CapPairCorr

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DIEQX  0.71 (0.04) 0.00 (0.11) 0.00 
 0.00 
 1.20 
(1.54)
 9.91 
LIFEX  0.70 (0.05) 0.00 (0.13) 0.00 
 0.00 
 1.04 
(1.44)
 5.01 
DOMYX  0.58 (0.08) 0.00 (0.28) 0.00 
 0.00 
 1.22 
(1.39)
 3.98 
DOMOX  0.58 (0.08) 0.00 (0.28) 0.00 
 0.00 
 1.12 
(1.51)
 3.99 
DOMIX  0.57 (0.08) 0.00 (0.28) 0.00 
 0.00 
 1.20 
(1.47)
 3.90 
DSBYX  0.24 (0.04) 0.00 (0.45) 0.00 
 0.00 
 0.50 
(0.59)
 1.40 
DSBIX  0.24 (0.04) 0.00 (0.47) 0.00 
 0.00 
 0.51 
(0.59)
 1.31 
DSBFX  0.24 (0.04) 0.00 (0.47) 0.00 
 0.00 
 0.50 
(0.59)
 1.40 
DSEFX  0.71 (0.04) 0.00 (0.11) 0.00 
 0.00 
 1.19 
(1.54)
 9.87 
DSFRX  0.71 (0.04) 0.00 (0.11) 0.00 
 0.00 
 1.20 
(1.53)
 9.86 

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