Dfa Us Correlations

DAABX Fund

USD 18.67 0.09 0.48%

The current 90-days correlation between Dfa Sustainability and Transamerica Financial Life is -0.12 (i.e., Good diversification). The correlation of Dfa Us 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 Us Correlation With Market

Very poor diversification

The correlation between Dfa Sustainability Targeted and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Sustainability Targeted 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 Sustainability Targeted. 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 bureau of labor statistics.

Moving together with Dfa Mutual Fund

0.71	DREIX	World Core Equity	Pair Corr
0.78	DRIIX	Dimensional 2045 Target	Pair Corr
0.8	DRILX	Dimensional 2060 Target	Pair Corr
0.81	DRIKX	Dimensional 2055 Target	Pair Corr
0.8	DRIJX	Dimensional 2050 Target	Pair Corr
0.99	DSCGX	Dfa Small	Pair Corr
0.78	DSHGX	Dfa Selectively Hedged	Pair Corr
0.71	DTDRX	Dimensional 2065 Target	Pair Corr
0.8	DURPX	Us High Relative	Pair Corr
0.95	DUSQX	Us Lg Cap	Pair Corr
0.77	DUSLX	Dfa Large	Pair Corr

Moving against Dfa Mutual Fund

0.61	DISVX	Dfa International Small	Pair Corr
0.6	DIPSX	Dfa Inflation Protected	Pair Corr
0.56	DMNBX	Dfa Mn Municipal	Pair Corr
0.56	DMREX	Dfa Municipal Real	Pair Corr
0.48	DNYMX	Dfa Ny Municipal	Pair Corr
0.45	DIHRX	Intal High Relative	Pair Corr
0.45	DOGMX	Dfa Oregon Municipal	Pair Corr
0.39	DILRX	Dfa International	Pair Corr
0.34	DISMX	Dfa International	Pair Corr
0.6	DSFIX	Dfa Social Fixed	Pair Corr
0.58	DTCPX	Dfa Targeted Credit	Pair Corr
0.58	DCARX	Dfa California Municipal	Pair Corr
0.5	DSCLX	Dfa International Social	Pair Corr
0.46	DEMGX	Emerging Markets Targeted	Pair Corr
0.41	DCIBX	Dfa Ca Int	Pair Corr
0.39	DESIX	Emerging Markets Sus	Pair Corr
0.36	DRXIX	Dfa Ltip Portfolio	Pair Corr

Related Correlations Analysis

	IAAEX	RMBKX	FTIXX	DVFYX	RMBLX	MCBXX	MSVIX	FIKBX
IAAEX		0.29	0.0	0.29	0.29	0.0	0.15	0.33	IAAEX
RMBKX	0.29		0.0	0.56	1.0	0.0	0.86	0.91	RMBKX
FTIXX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	FTIXX
DVFYX	0.29	0.56	0.0		0.57	0.0	0.36	0.75	DVFYX
RMBLX	0.29	1.0	0.0	0.57		0.0	0.86	0.91	RMBLX
MCBXX	0.0	0.0	0.0	0.0	0.0		0.0	0.0	MCBXX
MSVIX	0.15	0.86	0.0	0.36	0.86	0.0		0.83	MSVIX
FIKBX	0.33	0.91	0.0	0.75	0.91	0.0	0.83		FIKBX
	IAAEX	RMBKX	FTIXX	DVFYX	RMBLX	MCBXX	MSVIX	FIKBX

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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

RMBLX	+ 1.0	RMBKX
FIKBX	+ 0.91	RMBKX
FIKBX	+ 0.91	RMBLX
MSVIX	+ 0.86	RMBKX
MSVIX	+ 0.86	RMBLX
FIKBX	+ 0.83	MSVIX

High negative correlations

FIKBX	- 0.0	MCBXX
MSVIX	- 0.0	MCBXX
MCBXX	- 0.0	RMBLX
MCBXX	- 0.0	DVFYX
FIKBX	- 0.0	FTIXX
MSVIX	- 0.0	FTIXX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Us 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 Us' 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
IAAEX	0.81	(0.12)	0.00	0.99	0.00	0.00	1.41	(1.48)	9.17
RMBKX	1.06	(0.07)	0.00	(0.07)	0.00	0.00	2.19	(2.09)	6.79
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DVFYX	0.84	0.05	0.04	(0.58)	1.25	(0.81)	1.65	(2.39)	6.47
RMBLX	1.05	(0.07)	0.00	(0.07)	0.00	0.00	2.20	(2.08)	6.78
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSVIX	0.83	(0.05)	0.00	(0.05)	0.00	0.00	1.60	(1.74)	4.25
FIKBX	0.84	0.00	0.00	0.00	1.32	(0.78)	1.73	(1.95)	6.29

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