Dfa Commodity Correlations
| DCMSX Fund | USD 4.82 0.01 0.21% |
The current 90-days correlation between Dfa Commodity Strategy and Pnc Balanced Allocation is 0.09 (i.e., Significant diversification). The correlation of Dfa Commodity 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 Commodity Correlation With Market
Good diversification
The correlation between Dfa Commodity Strategy and DJI is -0.12 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Commodity Strategy and DJI in the same portfolio, assuming nothing else is changed.
Dfa |
Moving together with Dfa Mutual Fund
| 0.81 | DIHRX | Intal High Relative | PairCorr |
| 0.81 | DILRX | Dfa International | PairCorr |
| 0.69 | DIPSX | Dfa Inflation Protected | PairCorr |
| 0.77 | DISVX | Dfa International Small | PairCorr |
| 0.72 | DISMX | Dfa International | PairCorr |
| 0.8 | DMNBX | Dfa Mn Municipal | PairCorr |
| 0.87 | DMREX | Dfa Municipal Real | PairCorr |
| 0.86 | DNYMX | Dfa Ny Municipal | PairCorr |
| 0.63 | DOGMX | Dfa Oregon Municipal | PairCorr |
| 0.67 | DRIUX | Dimensional 2025 Target | PairCorr |
| 0.65 | DRIRX | Dimensional 2020 Target | PairCorr |
| 0.7 | DRIQX | Dimensional 2015 Target | PairCorr |
| 0.8 | DSCLX | Dfa International Social | PairCorr |
| 0.61 | DSSMX | Dfa Selective State | PairCorr |
| 0.86 | DTCPX | Dfa Targeted Credit | PairCorr |
| 0.85 | DCARX | Dfa California Municipal | PairCorr |
Related Correlations Analysis
| 0.4 | 0.4 | 0.69 | 0.82 | 0.43 | PBLIX | ||
| 0.4 | 0.29 | 0.24 | 0.22 | 0.03 | SGICX | ||
| 0.4 | 0.29 | 0.69 | 0.58 | 0.78 | TEDIX | ||
| 0.69 | 0.24 | 0.69 | 0.89 | 0.69 | ARECX | ||
| 0.82 | 0.22 | 0.58 | 0.89 | 0.67 | CABIX | ||
| 0.43 | 0.03 | 0.78 | 0.69 | 0.67 | GMLVX | ||
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Risk-Adjusted Indicators
There is a big difference between Dfa Mutual Fund performing well and Dfa Commodity 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 Commodity'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PBLIX | 0.65 | (0.04) | 0.00 | 0.22 | 0.00 | 1.13 | 3.78 | |||
| SGICX | 0.92 | (0.32) | 0.00 | (1.88) | 0.00 | 1.09 | 19.11 | |||
| TEDIX | 0.66 | 0.00 | 0.00 | (0.03) | 0.00 | 1.01 | 7.35 | |||
| ARECX | 0.79 | 0.00 | 0.00 | (0.03) | 0.00 | 1.56 | 4.45 | |||
| CABIX | 0.39 | 0.00 | 0.00 | (0.04) | 0.00 | 0.73 | 2.58 | |||
| GMLVX | 0.71 | 0.03 | 0.05 | 0.05 | 0.92 | 1.57 | 5.51 |