Domini Impact Correlations

DSBFX Fund

USD 10.13 0.01 0.1%

The current 90-days correlation between Domini Impact Bond and Domini Impact Equity is 0.21 (i.e., Modest 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

Average diversification

The correlation between Domini Impact Bond and DJI is 0.1 (i.e., Average 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

0.85	DOMYX	Domini Impact Intern	Pair Corr
0.85	DOMOX	Domini Impact Intern	Pair Corr
0.84	DOMIX	Domini Impact Intern	Pair Corr
1.0	DSBYX	Domini Impact Bond	Pair Corr
1.0	DSBIX	Domini Impact Bond	Pair Corr
0.74	RISEX	Domini International	Pair Corr
0.75	LEADX	Domini International	Pair Corr
0.99	MWTNX	Metropolitan West Total	Pair Corr
1.0	MWTSX	Metropolitan West Total	Pair Corr
0.99	PTTPX	Pimco Total Return	Pair Corr
1.0	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
0.99	MWTIX	Metropolitan West Total	Pair Corr
1.0	MWTRX	Metropolitan West Total	Pair Corr
0.86	UGPSX	Ultrachina Profund	Pair Corr
0.86	UGPIX	Ultrachina Profund	Pair Corr
0.75	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.75	PMPSX	Precious Metals Ultr Steady Growth	Pair Corr
0.72	QREARX	Teachers Insurance And	Pair Corr
0.99	PLEDX	Pacific Funds Esg	Pair Corr
0.87	JEEIX	John Hancock Enduring	Pair Corr
1.0	TAIBX	Prudential E Bond	Pair Corr
0.65	COMVX	Comstock Capital Value	Pair Corr
0.75	MGICX	Mfs International Value	Pair Corr
0.84	VDMCX	Virtus Kar Developing	Pair Corr
0.64	JAEOX	John Hancock Variable	Pair Corr
0.73	FTBBYX	Ftbbyx	Pair Corr

Moving against Domini Mutual Fund

0.52	DIEQX	Domini Impact Equity	Pair Corr
0.52	DSEFX	Domini Impact Equity	Pair Corr
0.52	DSFRX	Domini Impact Equity	Pair Corr
0.49	LIFEX	Domini Sustainable	Pair Corr
0.49	CAREX	Cornerstone Advisors Real	Pair Corr
0.41	CISGX	Touchstone Sands Capital	Pair Corr

Related Correlations Analysis

	DSEFX	PAXHX	DOMIX	PRFIX	PXWGX
DSEFX		-0.2	-0.34	-0.46	0.81	DSEFX
PAXHX	-0.2		0.85	0.83	-0.28	PAXHX
DOMIX	-0.34	0.85		0.89	-0.33	DOMIX
PRFIX	-0.46	0.83	0.89		-0.34	PRFIX
PXWGX	0.81	-0.28	-0.33	-0.34		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

PRFIX	+ 0.89	DOMIX
DOMIX	+ 0.85	PAXHX
PRFIX	+ 0.83	PAXHX
PXWGX	+ 0.81	DSEFX

High negative correlations

PRFIX	- 0.46	DSEFX
PXWGX	- 0.34	PRFIX
DOMIX	- 0.34	DSEFX
PXWGX	- 0.33	DOMIX
PXWGX	- 0.28	PAXHX
PAXHX	- 0.2	DSEFX

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	0.93	(0.14)	0.00	(0.24)	0.00	0.00	1.31	(1.83)	8.60
PAXHX	0.15	0.01	0.24	0.00	0.15	(0.23)	0.50	(0.33)	1.17
DOMIX	0.69	0.11	0.13	0.10	0.90	(0.73)	1.38	(1.33)	5.28
PRFIX	0.22	0.01	0.30	0.60	0.19	(0.26)	0.48	(0.47)	1.31
PXWGX	0.96	(0.26)	0.00	(0.39)	0.00	0.00	1.10	(1.88)	11.23

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