Dfa Us Correlations

DFUEX Fund

USD 29.51 0.27 0.92%

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

Poor diversification

The correlation between Dfa Social Core and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Social Core 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 Social Core. 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 income.

Moving together with Dfa Mutual Fund

0.77	VTSAX	Vanguard Total Stock	Pair Corr
0.73	VFIAX	Vanguard 500 Index	Pair Corr
0.77	VTSMX	Vanguard Total Stock	Pair Corr
0.76	VITSX	Vanguard Total Stock	Pair Corr
0.76	VSMPX	Vanguard Total Stock	Pair Corr
0.76	VSTSX	Vanguard Total Stock	Pair Corr
0.73	VFINX	Vanguard 500 Index	Pair Corr
0.73	VFFSX	Vanguard 500 Index	Pair Corr
0.93	VINIX	Vanguard Institutional	Pair Corr
0.93	VIIIX	Vanguard Institutional	Pair Corr
0.77	HD	Home Depot	Pair Corr
0.63	BAC	Bank of America Sell-off Trend	Pair Corr

Moving against Dfa Mutual Fund

0.49

PFE

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Pair Corr

Related Correlations Analysis

	TTRBX	PRVBX	FHYTX	ARTFX	BXHCX	NSIOX	PRFHX
TTRBX		0.84	0.64	0.45	0.63	0.8	0.8	TTRBX
PRVBX	0.84		0.55	0.33	0.52	0.6	0.64	PRVBX
FHYTX	0.64	0.55		0.92	0.98	0.76	0.64	FHYTX
ARTFX	0.45	0.33	0.92		0.93	0.59	0.41	ARTFX
BXHCX	0.63	0.52	0.98	0.93		0.79	0.67	BXHCX
NSIOX	0.8	0.6	0.76	0.59	0.79		0.97	NSIOX
PRFHX	0.8	0.64	0.64	0.41	0.67	0.97		PRFHX
	TTRBX	PRVBX	FHYTX	ARTFX	BXHCX	NSIOX	PRFHX

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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
TTRBX	0.16	(0.02)	0.00	(0.44)	0.00	0.00	0.41	(0.30)	1.01
PRVBX	0.10	(0.01)	(0.23)	(0.24)	0.10	(0.12)	0.17	(0.20)	0.58
FHYTX	0.17	0.01	(0.04)	0.18	0.12	(0.26)	0.47	(0.32)	1.26
ARTFX	0.12	0.01	(0.04)	0.44	0.00	(0.18)	0.44	(0.22)	1.10
BXHCX	0.12	0.01	(0.05)	0.15	0.06	(0.19)	0.37	(0.25)	1.11
NSIOX	0.19	(0.02)	0.00	(0.29)	0.00	0.00	0.41	(0.50)	1.61
PRFHX	0.21	(0.02)	0.00	(0.40)	0.00	0.00	0.45	(0.54)	1.62

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