Davidson Multi-cap Correlations

DFMIX Fund

USD 33.66 0.04 0.12%

The current 90-days correlation between Davidson Multi Cap and Fidelity Advisor Financial is 0.78 (i.e., Poor 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

Poor diversification

The correlation between Davidson Multi Cap Equity and DJI is 0.78 (i.e., Poor 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.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Davidson Multi Cap Equity. 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 gross domestic product.

Moving together with Davidson Mutual Fund

1.0	DFMAX	Davidson Multi Cap	Pair Corr
0.92	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.92	VTSMX	Vanguard Total Stock	Pair Corr
0.98	VITSX	Vanguard Total Stock	Pair Corr
0.92	VSMPX	Vanguard Total Stock	Pair Corr
0.92	VSTSX	Vanguard Total Stock	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.92	VFFSX	Vanguard 500 Index	Pair Corr
0.96	VINIX	Vanguard Institutional	Pair Corr
0.96	VIIIX	Vanguard Institutional	Pair Corr
0.67	GPMFX	Guidepath Managed Futures	Pair Corr

Moving against Davidson Mutual Fund

0.73	GAAGX	Gmo Alternative Allo	Pair Corr
0.69	GAAKX	Gmo Alternative Allo	Pair Corr
0.42	GPBFX	Gmo E Plus	Pair Corr
0.43	CIHCX	Cullen International High	Pair Corr
0.39	PSDNX	Putnam Ultra Short	Pair Corr
0.37	BISMX	Brandes International	Pair Corr
0.36	PSHIX	Short Term Income	Pair Corr
0.35	LIRRX	Lord Abbett International	Pair Corr
0.31	ARBOX	Absolute Convertible	Pair Corr
0.54	GF	New Germany Closed	Pair Corr
0.43	MFAAX	American Funds Mortgage	Pair Corr
0.41	TASTX	Transamerica Short Term	Pair Corr
0.34	HRBDX	Harbor Bond Fund	Pair Corr

Related Correlations Analysis

	FIKBX	DVFYX	VMRXX	SPAXX	SWGXX	AEYXX	IVMXX
FIKBX		0.74	-0.02	0.02	0.11	0.0	0.0	FIKBX
DVFYX	0.74		0.47	0.51	0.42	0.0	0.0	DVFYX
VMRXX	-0.02	0.47		0.97	0.44	0.0	0.0	VMRXX
SPAXX	0.02	0.51	0.97		0.45	0.0	0.0	SPAXX
SWGXX	0.11	0.42	0.44	0.45		0.0	0.0	SWGXX
AEYXX	0.0	0.0	0.0	0.0	0.0		0.0	AEYXX
IVMXX	0.0	0.0	0.0	0.0	0.0	0.0		IVMXX
	FIKBX	DVFYX	VMRXX	SPAXX	SWGXX	AEYXX	IVMXX

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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

SPAXX	+ 0.97	VMRXX
DVFYX	+ 0.74	FIKBX
SPAXX	+ 0.51	DVFYX
VMRXX	+ 0.47	DVFYX
SWGXX	+ 0.45	SPAXX
SWGXX	+ 0.44	VMRXX

High negative correlations

VMRXX	- 0.02	FIKBX
IVMXX	- 0.0	AEYXX
IVMXX	- 0.0	SWGXX
AEYXX	- 0.0	SWGXX
IVMXX	- 0.0	SPAXX
AEYXX	- 0.0	SPAXX

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
FIKBX	0.90	(0.05)	0.00	(0.04)	0.00	0.00	1.73	(2.69)	6.29
DVFYX	0.85	0.03	0.02	(0.33)	1.27	(0.82)	1.65	(2.39)	6.47
VMRXX	0.03	0.01	0.00	(0.84)	0.00	0.00	0.00	0.00	1.01
SPAXX	0.03	0.01	0.00	(0.32)	0.00	0.00	0.00	0.00	1.01
SWGXX	0.03	0.01	0.00	(2.95)	0.00	0.00	0.00	0.00	1.01
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IVMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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