Domini Impact Correlations

DSBFX Fund

USD 10.11 0.02 0.20%

The current 90-days correlation between Domini Impact Bond and Domini Impact Equity is -0.13 (i.e., Good 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

Good diversification

The correlation between Domini Impact Bond and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Impact Bond 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 Bond. 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 census.

Moving together with Domini Mutual Fund

0.65	DOMOX	Domini Impact Intern	Pair Corr
0.65	DOMIX	Domini Impact Intern	Pair Corr
1.0	DSBYX	Domini Impact Bond	Pair Corr
1.0	DSBIX	Domini Impact Bond	Pair Corr
0.81	RISEX	Domini International	Pair Corr
0.82	LEADX	Domini International	Pair Corr
0.98	MWTNX	Metropolitan West Total	Pair Corr
0.97	MWTSX	Metropolitan West Total	Pair Corr
0.99	PTTPX	Pimco Total Return	Pair Corr
0.99	PTRRX	Total Return	Pair Corr
0.99	PTRAX	Total Return	Pair Corr
0.99	PTTRX	Total Return	Pair Corr
1.0	FIWGX	Strategic Advisers	Pair Corr
1.0	DODIX	Dodge Income	Pair Corr
0.97	MWTIX	Metropolitan West Total	Pair Corr
0.97	MWTRX	Metropolitan West Total	Pair Corr

Moving against Domini Mutual Fund

0.7	DIEQX	Domini Impact Equity	Pair Corr
0.7	DSFRX	Domini Impact Equity	Pair Corr
0.69	DSEFX	Domini Impact Equity	Pair Corr
0.78	VITSX	Vanguard Total Stock	Pair Corr
0.77	VSTSX	Vanguard Total Stock	Pair Corr
0.77	VSMPX	Vanguard Total Stock	Pair Corr
0.77	VFIAX	Vanguard 500 Index	Pair Corr
0.77	VTSAX	Vanguard Total Stock	Pair Corr
0.76	VFFSX	Vanguard 500 Index	Pair Corr
0.76	VINIX	Vanguard Institutional	Pair Corr
0.74	ATAGX	Anchor Risk Managed	Pair Corr
0.74	VSMAX	Vanguard Small Cap	Pair Corr
0.65	VVIAX	Vanguard Value Index	Pair Corr
0.64	VTMSX	Vanguard Tax Managed	Pair Corr
0.58	FSAHX	Fidelity Short Duration	Pair Corr
0.46	VFORX	Vanguard Target Reti	Pair Corr
0.46	VDAFX	Dynamic Allocation	Pair Corr

Related Correlations Analysis

	DSEFX	PAXHX	DOMIX	PRFIX	PXWGX
DSEFX		0.48	-0.21	-0.58	0.98	DSEFX
PAXHX	0.48		0.15	0.2	0.5	PAXHX
DOMIX	-0.21	0.15		0.69	-0.1	DOMIX
PRFIX	-0.58	0.2	0.69		-0.51	PRFIX
PXWGX	0.98	0.5	-0.1	-0.51		PXWGX
	DSEFX	PAXHX	DOMIX	PRFIX	PXWGX

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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

PXWGX	+ 0.98	DSEFX
PRFIX	+ 0.69	DOMIX
PXWGX	+ 0.5	PAXHX
PAXHX	+ 0.48	DSEFX
PRFIX	+ 0.2	PAXHX
DOMIX	+ 0.15	PAXHX

High negative correlations

PRFIX	- 0.58	DSEFX
PXWGX	- 0.51	PRFIX
DOMIX	- 0.21	DSEFX
PXWGX	- 0.1	DOMIX

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
DSEFX	0.60	(0.03)	(0.05)	0.08	0.76	(0.64)	1.24	(1.54)	3.88
PAXHX	0.12	0.01	(0.48)	0.23	0.00	(0.21)	0.33	(0.17)	0.83
DOMIX	0.66	(0.11)	0.00	(0.08)	0.00	0.00	1.18	(1.45)	3.93
PRFIX	0.21	(0.01)	0.00	0.59	0.00	0.00	0.40	(0.54)	1.14
PXWGX	0.57	(0.02)	(0.05)	0.10	0.67	(0.61)	1.17	(1.24)	3.53

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