Domini Impact Correlations

DOMIX Fund

USD 12.46 0.01 0.08%

The current 90-days correlation between Domini Impact Intern and Hartford Schroders Smallmid is 0.43 (i.e., Very weak 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

Almost no diversification

The correlation between Domini Impact International and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Impact International 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 International. 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 Domini Mutual Fund

0.68	DIEQX	Domini Impact Equity	Pair Corr
0.96	LIFEX	Domini Sustainable	Pair Corr
1.0	DOMYX	Domini Impact Intern	Pair Corr
1.0	DOMOX	Domini Impact Intern	Pair Corr
0.74	DSBYX	Domini Impact Bond	Pair Corr
0.73	DSBIX	Domini Impact Bond	Pair Corr
0.64	DSBFX	Domini Impact Bond	Pair Corr
0.83	DSEFX	Domini Impact Equity	Pair Corr
0.83	DSFRX	Domini Impact Equity	Pair Corr
0.96	CAREX	Cornerstone Advisors Real	Pair Corr
0.98	VTIAX	Vanguard Total Inter	Pair Corr
0.98	VGTSX	Vanguard Total Inter	Pair Corr
0.98	VTSNX	Vanguard Total Inter	Pair Corr
0.98	VTPSX	Vanguard Total Inter	Pair Corr
0.98	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.99	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.99	VDIPX	Vanguard Developed	Pair Corr
0.99	FSPSX	Fidelity International	Pair Corr
0.93	KF	Korea Closed	Pair Corr
0.85	FKRCX	Franklin Gold Precious	Pair Corr
0.9	EKWAX	Wells Fargo Advantage Steady Growth	Pair Corr
0.9	OPGSX	Oppenheimer Gold Spec Steady Growth	Pair Corr
0.91	SGGDX	First Eagle Gold	Pair Corr
0.92	RSNRX	Victory Global Natural	Pair Corr
0.92	PSPFX	Global Resources	Pair Corr
0.91	GOLDX	Gabelli Gold Steady Growth	Pair Corr
0.9	FSAGX	Gold Portfolio Gold Steady Growth	Pair Corr
0.92	UNWPX	World Precious Minerals	Pair Corr
0.91	BBINX	Bbh Intermediate Mun	Pair Corr
0.98	FKRSX	Fidelity Managed Ret	Pair Corr
0.84	SKSRX	Deutsche Enhanced Modity	Pair Corr
0.92	DODLX	Dodge Global Bond	Pair Corr
0.95	CABIX	Ab Global Risk	Pair Corr
0.92	RGPFX	American Funds Balanced	Pair Corr
0.69	WFSTX	Specialized Technology	Pair Corr
0.91	OKMUX	Oklahoma Municipal	Pair Corr
0.93	LAAFX	Lord Abbett Affiliated	Pair Corr

Related Correlations Analysis

	PHSKX	TQSMX	SSIAX	WFEMX	SIEDX	SSHVX	SMDIX	HFDRX	SMDRX
PHSKX		-0.78	-0.05	-0.63	-0.78	-0.75	-0.9	-0.9	-0.9	PHSKX
TQSMX	-0.78		0.2	0.82	0.91	0.89	0.93	0.93	0.93	TQSMX
SSIAX	-0.05	0.2		0.02	-0.07	0.44	0.22	0.22	0.22	SSIAX
WFEMX	-0.63	0.82	0.02		0.92	0.6	0.69	0.68	0.69	WFEMX
SIEDX	-0.78	0.91	-0.07	0.92		0.73	0.83	0.83	0.83	SIEDX
SSHVX	-0.75	0.89	0.44	0.6	0.73		0.89	0.89	0.89	SSHVX
SMDIX	-0.9	0.93	0.22	0.69	0.83	0.89		1.0	1.0	SMDIX
HFDRX	-0.9	0.93	0.22	0.68	0.83	0.89	1.0		1.0	HFDRX
SMDRX	-0.9	0.93	0.22	0.69	0.83	0.89	1.0	1.0		SMDRX
	PHSKX	TQSMX	SSIAX	WFEMX	SIEDX	SSHVX	SMDIX	HFDRX	SMDRX

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

HFDRX	+ 1.0	SMDIX
SMDRX	+ 1.0	SMDIX
SMDRX	+ 1.0	HFDRX
SMDIX	+ 0.93	TQSMX
HFDRX	+ 0.93	TQSMX
SMDRX	+ 0.93	TQSMX

High negative correlations

SMDRX	- 0.9	PHSKX
HFDRX	- 0.9	PHSKX
SMDIX	- 0.9	PHSKX
SIEDX	- 0.78	PHSKX
TQSMX	- 0.78	PHSKX
SSHVX	- 0.75	PHSKX

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
PHSKX	1.53	(0.75)	0.00	(0.41)	0.00	0.00	1.69	(2.85)	33.86
TQSMX	0.75	0.09	0.10	0.15	0.68	(0.87)	1.85	(1.43)	4.93
SSIAX	0.38	(0.07)	0.00	(0.08)	0.00	0.00	0.78	(0.99)	2.54
WFEMX	0.74	0.06	0.04	0.17	0.71	(0.87)	1.65	(1.50)	3.50
SIEDX	0.17	0.08	0.10	0.83	0.00	(0.24)	0.52	(0.22)	0.96
SSHVX	0.72	0.05	0.05	0.12	0.75	(0.79)	1.43	(1.44)	3.71
SMDIX	0.82	0.19	0.24	0.22	0.49	(0.97)	1.89	(1.41)	13.12
HFDRX	0.84	0.19	0.24	0.22	0.50	(0.99)	1.91	(1.45)	13.65
SMDRX	0.83	0.19	0.23	0.21	0.53	(0.98)	1.88	(1.44)	13.07

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