Large Cap Correlations

DFALX Fund

USD 29.45 0.15 0.51%

The current 90-days correlation between Large Cap International and Aqr Global Macro is -0.31 (i.e., Very good diversification). The correlation of Large Cap 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.

Large Cap Correlation With Market

Poor diversification

The correlation between Large Cap International and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap International 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 Large Cap International. 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 economic analysis.

Moving together with Large Mutual Fund

0.99	DIHRX	Intal High Relative	Pair Corr
0.92	DIPSX	Dfa Inflation Protected	Pair Corr
0.68	DFREX	Dfa Real Estate	Pair Corr
0.62	DFWVX	World Ex Val	Pair Corr
0.96	VGTSX	Vanguard Total Inter	Pair Corr
0.96	VTIAX	Vanguard Total Inter	Pair Corr
0.99	VTSNX	Vanguard Total Inter	Pair Corr
0.99	VTPSX	Vanguard Total Inter	Pair Corr
0.99	VTISX	Vanguard Total Inter	Pair Corr
1.0	VTMGX	Vanguard Developed	Pair Corr
1.0	VDVIX	Vanguard Developed	Pair Corr
1.0	VTMNX	Vanguard Developed	Pair Corr
1.0	VDIPX	Vanguard Developed	Pair Corr
0.97	FSPSX	Fidelity International	Pair Corr
0.86	BRUFX	Bruce Fund Bruce	Pair Corr
0.88	KF	Korea Closed	Pair Corr
0.9	VICSX	Vanguard Intermediate-ter	Pair Corr
0.9	SGDLX	Sprott Gold Equity	Pair Corr
0.9	UTF	Cohen And Steers	Pair Corr
0.92	HTD	John Hancock Tax	Pair Corr
0.94	ABNOX	Ab Bond Inflation	Pair Corr
0.92	GIOIX	Guggenheim Macro Opp	Pair Corr
0.65	HWACX	Hotchkis Wiley Value	Pair Corr
0.88	DBIWX	Dws Global Macro	Pair Corr

Moving against Large Mutual Fund

0.39	DFVEX	Us Vector Equity	Pair Corr
0.63	SPGSX	State Street Premier	Pair Corr

Related Correlations Analysis

	QGMIX	HRLAX	BXFIX	AQGNX	TEDIX	GMADX	MSTGX
QGMIX		0.9	0.57	0.64	0.78	0.61	0.9	QGMIX
HRLAX	0.9		0.56	0.78	0.78	0.74	0.88	HRLAX
BXFIX	0.57	0.56		0.66	0.55	0.54	0.69	BXFIX
AQGNX	0.64	0.78	0.66		0.75	0.91	0.83	AQGNX
TEDIX	0.78	0.78	0.55	0.75		0.74	0.89	TEDIX
GMADX	0.61	0.74	0.54	0.91	0.74		0.81	GMADX
MSTGX	0.9	0.88	0.69	0.83	0.89	0.81		MSTGX
	QGMIX	HRLAX	BXFIX	AQGNX	TEDIX	GMADX	MSTGX

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Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large Cap 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 Large Cap'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
QGMIX	0.37	0.12	0.25	(0.59)	0.18	(0.45)	0.83	(0.63)	2.42
HRLAX	0.33	0.09	0.15	0.40	0.37	(0.40)	0.83	(0.49)	2.05
BXFIX	0.08	(0.01)	(0.06)	0.24	0.06	(0.28)	0.23	(0.12)	0.93
AQGNX	0.85	0.09	0.07	0.09	1.00	(0.90)	1.55	(1.80)	5.59
TEDIX	0.65	0.00	0.00	0.00	1.60	(0.57)	1.01	(1.47)	7.35
GMADX	0.73	0.04	0.03	0.06	1.30	(0.73)	1.26	(1.63)	11.02
MSTGX	0.30	0.05	0.09	(0.50)	0.33	(0.34)	0.74	(0.62)	1.58

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