Davidson Multi-cap Correlations
DFMIX Fund | USD 34.78 0.40 1.16% |
The current 90-days correlation between Davidson Multi Cap and World Energy Fund is 0.23 (i.e., Modest diversification). The correlation of Davidson Multi-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.
Davidson Multi-cap Correlation With Market
Very weak diversification
The correlation between Davidson Multi Cap Equity and DJI is 0.51 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davidson Multi Cap Equity and DJI in the same portfolio, assuming nothing else is changed.
Davidson |
Moving together with Davidson Mutual Fund
1.0 | DFMAX | Davidson Multi Cap | PairCorr |
0.84 | VTSAX | Vanguard Total Stock | PairCorr |
0.8 | VFIAX | Vanguard 500 Index | PairCorr |
0.83 | VTSMX | Vanguard Total Stock | PairCorr |
0.96 | VITSX | Vanguard Total Stock | PairCorr |
0.84 | VSMPX | Vanguard Total Stock | PairCorr |
0.84 | VSTSX | Vanguard Total Stock | PairCorr |
0.8 | VFINX | Vanguard 500 Index | PairCorr |
0.8 | VFFSX | Vanguard 500 Index | PairCorr |
0.9 | VINIX | Vanguard Institutional | PairCorr |
0.9 | VIIIX | Vanguard Institutional | PairCorr |
0.71 | BERIX | Berwyn Income | PairCorr |
0.67 | MXECX | Great-west Core | PairCorr |
0.67 | APDKX | Artisan International | PairCorr |
0.68 | PZVNX | Pzena International Value | PairCorr |
0.64 | SIHSX | Guggenheim High Yield | PairCorr |
0.65 | SEBFX | Saturna Sustainable Bond | PairCorr |
0.62 | HYT | Blackrock Corporate High | PairCorr |
0.79 | DHIYX | Diamond Hill Interna | PairCorr |
0.66 | PBBIX | Fundvantage Trust | PairCorr |
0.78 | DIEFX | Destinations International | PairCorr |
0.72 | JAAAX | Alternative Asset | PairCorr |
0.61 | DFCEX | Emerging Markets E | PairCorr |
Moving against Davidson Mutual Fund
Related Correlations Analysis
0.51 | 0.38 | 0.04 | 1.0 | 0.76 | AIWEX | ||
0.51 | -0.09 | 0.29 | 0.51 | 0.59 | XGNTX | ||
0.38 | -0.09 | -0.02 | 0.38 | 0.48 | PDX | ||
0.04 | 0.29 | -0.02 | 0.04 | 0.41 | TREIX | ||
1.0 | 0.51 | 0.38 | 0.04 | 0.76 | APWEX | ||
0.76 | 0.59 | 0.48 | 0.41 | 0.76 | TMLAX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Davidson Mutual Fund performing well and Davidson Multi-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 Davidson Multi-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 | ||
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AIWEX | 1.08 | (0.10) | 0.00 | (0.81) | 0.00 | 1.90 | 9.76 | |||
XGNTX | 0.61 | (0.01) | 0.00 | (0.33) | 0.00 | 1.13 | 4.33 | |||
PDX | 1.80 | 0.06 | 0.02 | 0.03 | 2.96 | 3.40 | 31.18 | |||
TREIX | 0.06 | 0.02 | 0.30 | 0.98 | 0.00 | 0.10 | 0.30 | |||
APWEX | 1.09 | (0.11) | 0.00 | (0.86) | 0.00 | 1.84 | 9.71 | |||
TMLAX | 0.95 | (0.04) | 0.00 | (0.12) | 0.00 | 1.54 | 6.23 |