Dfa Large Correlations

DUSLX Fund

USD 43.07 0.15 0.35%

The current 90-days correlation between Dfa Large and Dfa Intl Sustainability is 0.8 (i.e., Very poor diversification). The correlation of Dfa Large 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.

Dfa Large Correlation With Market

Very poor diversification

The correlation between Dfa Large and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Large 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 Dfa Large. 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 industry.

Moving together with Dfa Mutual Fund

0.65	DILRX	Dfa International	Pair Corr
0.65	DISMX	Dfa International	Pair Corr
0.63	DSCGX	Dfa Small	Pair Corr
0.85	DURPX	Us High Relative	Pair Corr
0.8	DEMSX	Emerging Markets Small	Pair Corr
0.64	DEMGX	Emerging Markets Targeted	Pair Corr
0.67	DESIX	Emerging Markets Sus	Pair Corr

Related Correlations Analysis

	DFSPX	SWLGX	TSWIX	MISAX	DEMSX	FSMEX	FSANX	CRANX	BXMYX	AADEX
DFSPX		0.4	0.95	0.91	0.36	0.76	0.04	0.71	0.77	0.96	DFSPX
SWLGX	0.4		0.23	0.32	0.53	0.16	0.52	0.26	0.3	0.35	SWLGX
TSWIX	0.95	0.23		0.94	0.14	0.86	-0.04	0.74	0.85	0.93	TSWIX
MISAX	0.91	0.32	0.94		0.17	0.83	0.0	0.7	0.87	0.88	MISAX
DEMSX	0.36	0.53	0.14	0.17		-0.09	-0.04	-0.05	0.07	0.23	DEMSX
FSMEX	0.76	0.16	0.86	0.83	-0.09		-0.03	0.81	0.89	0.76	FSMEX
FSANX	0.04	0.52	-0.04	0.0	-0.04	-0.03		-0.01	-0.08	0.09	FSANX
CRANX	0.71	0.26	0.74	0.7	-0.05	0.81	-0.01		0.71	0.71	CRANX
BXMYX	0.77	0.3	0.85	0.87	0.07	0.89	-0.08	0.71		0.71	BXMYX
AADEX	0.96	0.35	0.93	0.88	0.23	0.76	0.09	0.71	0.71		AADEX
	DFSPX	SWLGX	TSWIX	MISAX	DEMSX	FSMEX	FSANX	CRANX	BXMYX	AADEX

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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

AADEX	+ 0.96	DFSPX
TSWIX	+ 0.95	DFSPX
MISAX	+ 0.94	TSWIX
AADEX	+ 0.93	TSWIX
MISAX	+ 0.91	DFSPX
BXMYX	+ 0.89	FSMEX

High negative correlations

FSMEX	- 0.09	DEMSX
BXMYX	- 0.08	FSANX
CRANX	- 0.05	DEMSX
FSANX	- 0.04	DEMSX
FSANX	- 0.04	TSWIX
FSANX	- 0.03	FSMEX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Large 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 Dfa Large'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
DFSPX	0.58	0.02	0.01	0.09	0.64	(0.61)	1.17	(1.29)	2.63
SWLGX	0.75	(0.04)	(0.04)	0.02	1.12	(0.73)	1.70	(1.84)	4.38
TSWIX	0.64	0.11	0.12	0.22	0.63	(0.76)	1.33	(1.15)	4.54
MISAX	0.60	0.10	0.05	0.84	0.69	(0.62)	1.21	(1.32)	3.10
DEMSX	0.50	(0.02)	(0.07)	0.02	0.73	(0.50)	1.06	(1.25)	3.13
FSMEX	0.75	0.17	0.16	0.34	0.59	(0.85)	1.83	(1.41)	5.08
FSANX	0.49	(0.08)	0.00	(0.07)	0.00	0.00	0.78	(0.97)	6.72
CRANX	0.11	0.00	(0.36)	0.24	0.00	(0.16)	0.21	(0.21)	0.63
BXMYX	0.17	0.05	(0.04)	0.38	0.00	(0.23)	0.37	(0.19)	0.94
AADEX	0.61	0.00	(0.01)	0.06	0.72	(0.62)	1.24	(1.27)	2.97

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