Dfa World Correlations

DWUSX Fund

USD 14.74 0.15 1.03%

The current 90-days correlation between Dfa World Ex and T Rowe Price is 0.1 (i.e., Average diversification). The correlation of Dfa World 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 World Correlation With Market

Weak diversification

The correlation between Dfa World Ex and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa World Ex 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 World Ex. 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 state.

Moving together with Dfa Mutual Fund

0.88	DIHRX	Intal High Relative	Pair Corr
0.96	DISVX	Dfa International Small	Pair Corr
0.67	DRIGX	Dimensional 2035 Target	Pair Corr
0.69	DRIBX	Dimensional 2010 Target	Pair Corr
0.74	DRIWX	Dimensional 2030 Target	Pair Corr
0.74	DRIUX	Dimensional 2025 Target	Pair Corr
0.76	DRIRX	Dimensional 2020 Target	Pair Corr
0.95	DSCLX	Dfa International Social	Pair Corr
0.88	DEMSX	Emerging Markets Small	Pair Corr
0.8	DESIX	Emerging Markets Sus	Pair Corr
0.93	DFALX	Large Cap International	Pair Corr
0.87	DFCSX	Continental Small Pany	Pair Corr
0.84	DFCEX	Emerging Markets E	Pair Corr
0.82	DFESX	Dfa Emerging Markets	Pair Corr
0.84	DFEMX	Emerging Markets Por	Pair Corr
0.94	DFIEX	International E Equity	Pair Corr
0.95	DFIVX	Dfa International Value	Pair Corr
0.74	DFITX	Dfa International Real	Pair Corr
0.96	DFISX	International Small Pany	Pair Corr

Moving against Dfa Mutual Fund

0.48	DNYMX	Dfa Ny Municipal	Pair Corr
0.36	DAABX	Dfa Sustainability	Pair Corr
0.35	DFAIX	Dfa Short Duration	Pair Corr
0.33	DTCPX	Dfa Targeted Credit	Pair Corr
0.43	DFGFX	Dfa Two Year	Pair Corr
0.43	DFGBX	Dfa Five Year	Pair Corr
0.38	DFSHX	Dfa Selectively Hedged	Pair Corr
0.37	DFFVX	Us Targeted Value	Pair Corr
0.37	DFIHX	Dfa One Year	Pair Corr
0.37	DFSVX	Us Small Cap	Pair Corr
0.36	DFSCX	Us Micro Cap	Pair Corr
0.34	DFSTX	Us Small Cap	Pair Corr

Related Correlations Analysis

	PATFX	MBSAX	TFBIX	MDMTX	DHGCX	CCD	SWSFX	PRVHX
PATFX		0.74	0.96	0.79	0.7	0.38	-0.13	0.47	PATFX
MBSAX	0.74		0.75	0.68	0.75	0.29	-0.12	0.52	MBSAX
TFBIX	0.96	0.75		0.85	0.68	0.22	-0.12	0.33	TFBIX
MDMTX	0.79	0.68	0.85		0.86	-0.11	-0.54	-0.02	MDMTX
DHGCX	0.7	0.75	0.68	0.86		-0.03	-0.57	0.21	DHGCX
CCD	0.38	0.29	0.22	-0.11	-0.03		0.31	0.7	CCD
SWSFX	-0.13	-0.12	-0.12	-0.54	-0.57	0.31		0.47	SWSFX
PRVHX	0.47	0.52	0.33	-0.02	0.21	0.7	0.47		PRVHX
	PATFX	MBSAX	TFBIX	MDMTX	DHGCX	CCD	SWSFX	PRVHX

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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

TFBIX	+ 0.96	PATFX
DHGCX	+ 0.86	MDMTX
MDMTX	+ 0.85	TFBIX
MDMTX	+ 0.79	PATFX
TFBIX	+ 0.75	MBSAX
DHGCX	+ 0.75	MBSAX

High negative correlations

SWSFX	- 0.57	DHGCX
SWSFX	- 0.54	MDMTX
SWSFX	- 0.13	PATFX
SWSFX	- 0.12	TFBIX
SWSFX	- 0.12	MBSAX
CCD	- 0.11	MDMTX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa World 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 World'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
PATFX	0.16	0.02	(0.25)	(0.12)	0.21	(0.24)	0.44	(0.35)	1.69
MBSAX	0.21	(0.01)	(0.37)	0.09	0.22	(0.23)	0.37	(0.44)	1.25
TFBIX	0.16	0.03	(0.29)	(0.14)	0.19	(0.23)	0.40	(0.39)	1.58
MDMTX	0.17	0.01	(0.31)	0.01	0.24	(0.23)	0.38	(0.56)	1.33
DHGCX	0.16	0.00	(0.68)	0.37	0.16	(0.19)	0.35	(0.25)	0.96
CCD	0.75	(0.01)	(0.08)	0.11	0.90	(0.81)	1.88	(1.68)	4.88
SWSFX	0.04	0.00	(1.18)	(0.08)	0.00	(0.17)	0.10	(0.10)	0.49
PRVHX	0.10	0.00	(0.98)	0.35	0.00	(0.10)	0.22	(0.20)	0.53

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