Davis New Correlations

DNVYX Fund

USD 29.17 0.02 0.07%

The current 90-days correlation between Davis New York and Vanguard Information Technology is 0.24 (i.e., Modest diversification). The correlation of Davis New 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.

Davis New Correlation With Market

Weak diversification

The correlation between Davis New York and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis New York 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 Davis New York. 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 manufacturing.

Moving together with Davis Mutual Fund

0.74	DILCX	Davis International Steady Growth	Pair Corr
0.74	DILAX	Davis International Steady Growth	Pair Corr
0.74	DILYX	Davis International Steady Growth	Pair Corr
0.77	RPFGX	Davis Financial	Pair Corr
0.86	RPFCX	Davis Appreciation Income	Pair Corr
0.88	RPFRX	Davis Real Estate	Pair Corr
0.99	RPEAX	Davis Opportunity	Pair Corr
0.88	DREYX	Davis Real Estate	Pair Corr
0.88	DRECX	Davis Real Estate	Pair Corr
1.0	NYVCX	Davis New York	Pair Corr
0.99	NYVBX	Davis New York	Pair Corr
1.0	NYVRX	Davis New York	Pair Corr
1.0	NYVTX	Davis New York	Pair Corr
0.86	DCSCX	Davis Appreciation Income	Pair Corr
0.86	DCSYX	Davis Appreciation Income	Pair Corr
0.75	DVFYX	Davis Financial	Pair Corr
0.84	DFFCX	Davis Financial	Pair Corr
0.98	DGFCX	Davis Global	Pair Corr
0.99	DGFAX	Davis Global	Pair Corr
0.99	DGFYX	Davis Global	Pair Corr
0.98	DGOCX	Davis Opportunity	Pair Corr
0.99	DGOYX	Davis Opportunity	Pair Corr
0.77	VVIAX	Vanguard Value Index	Pair Corr
0.68	DOXGX	Dodge Cox Stock	Pair Corr
0.93	AFMFX	American Mutual	Pair Corr
0.93	FFMMX	American Funds American	Pair Corr
0.93	FFFMX	American Funds American	Pair Corr
0.93	AMRMX	American Mutual	Pair Corr
0.93	AMFFX	American Mutual	Pair Corr
0.94	AMFCX	American Mutual	Pair Corr
0.94	DODGX	Dodge Stock Fund	Pair Corr
0.78	VIVAX	Vanguard Value Index	Pair Corr
0.64	GPBFX	Gmo E Plus	Pair Corr

Moving against Davis Mutual Fund

0.4	RFBAX	Davis Government Bond	Pair Corr
0.58	PQTIX	Aa Pimco Tr	Pair Corr
0.57	PQTAX	Pimco Trends Managed	Pair Corr
0.57	PQTNX	Pimco Trends Managed	Pair Corr
0.48	GPMFX	Guidepath Managed Futures	Pair Corr
0.45	GMOIX	Gmo International Equity	Pair Corr
0.38	DGVYX	Davis Government Bond	Pair Corr
0.32	DGVCX	Davis Government Bond	Pair Corr

Related Correlations Analysis

	VITAX	USTCX	JGLTX	RYTIX	TEFQX	DTEYX	FIKHX
VITAX		0.8	0.85	0.53	0.44	0.41	0.52	VITAX
USTCX	0.8		0.94	0.68	0.8	0.7	0.18	USTCX
JGLTX	0.85	0.94		0.76	0.73	0.78	0.33	JGLTX
RYTIX	0.53	0.68	0.76		0.61	0.83	0.53	RYTIX
TEFQX	0.44	0.8	0.73	0.61		0.79	-0.05	TEFQX
DTEYX	0.41	0.7	0.78	0.83	0.79		0.18	DTEYX
FIKHX	0.52	0.18	0.33	0.53	-0.05	0.18		FIKHX
	VITAX	USTCX	JGLTX	RYTIX	TEFQX	DTEYX	FIKHX

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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

JGLTX	+ 0.94	USTCX
JGLTX	+ 0.85	VITAX
DTEYX	+ 0.83	RYTIX
USTCX	+ 0.8	VITAX
TEFQX	+ 0.8	USTCX
DTEYX	+ 0.79	TEFQX

High negative correlations

FIKHX

- 0.05

TEFQX

Risk-Adjusted Indicators

There is a big difference between Davis Mutual Fund performing well and Davis New 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 Davis New'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
VITAX	1.02	0.04	0.02	0.06	1.47	(0.98)	2.01	(2.19)	7.45
USTCX	1.08	0.05	0.03	0.07	1.50	(1.05)	2.06	(2.14)	7.01
JGLTX	0.90	0.04	0.03	0.07	1.33	(0.89)	1.73	(2.20)	6.33
RYTIX	1.07	0.03	0.02	0.05	1.67	(1.02)	1.99	(2.31)	6.85
TEFQX	1.30	0.24	0.14	0.35	1.48	(1.44)	2.92	(2.26)	7.64
DTEYX	1.00	0.06	0.04	0.10	1.27	(1.07)	1.88	(2.01)	6.39
FIKHX	1.22	(0.06)	0.00	(0.10)	0.00	0.00	2.05	(2.55)	9.58

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