Davis International Correlations
| DILCX Fund | USD 12.88 0.02 0.16% |
The current 90-days correlation between Davis International and Fidelity Real Estate is 0.24 (i.e., Modest diversification). The correlation of Davis International 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.
Davis International Correlation With Market
Very weak diversification
The correlation between Davis International Fund and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis International Fund and DJI in the same portfolio, assuming nothing else is changed.
Davis |
Moving together with Davis Mutual Fund
| 1.0 | DILAX | Davis International | PairCorr |
| 1.0 | DILYX | Davis International | PairCorr |
| 0.85 | RFBAX | Davis Government Bond | PairCorr |
| 0.88 | DGFCX | Davis Global | PairCorr |
| 0.89 | DGFAX | Davis Global | PairCorr |
| 0.79 | DGFYX | Davis Global | PairCorr |
| 0.83 | DGVCX | Davis Government Bond | PairCorr |
| 0.84 | DGVYX | Davis Government Bond | PairCorr |
| 0.9 | VGTSX | Vanguard Total Inter | PairCorr |
| 0.74 | VTIAX | Vanguard Total Inter | PairCorr |
| 0.96 | VTSNX | Vanguard Total Inter | PairCorr |
| 0.96 | VTPSX | Vanguard Total Inter | PairCorr |
| 0.9 | VTISX | Vanguard Total Inter | PairCorr |
| 0.94 | VTMGX | Vanguard Developed | PairCorr |
| 0.94 | VDVIX | Vanguard Developed | PairCorr |
| 0.94 | VTMNX | Vanguard Developed | PairCorr |
| 0.94 | VDIPX | Vanguard Developed | PairCorr |
| 0.9 | FSPSX | Fidelity International | PairCorr |
Related Correlations Analysis
| 0.86 | 0.93 | 0.92 | 0.6 | 0.79 | 0.74 | FRIOX | ||
| 0.86 | 0.66 | 0.98 | 0.33 | 0.98 | 0.97 | REINX | ||
| 0.93 | 0.66 | 0.76 | 0.6 | 0.57 | 0.54 | FORFX | ||
| 0.92 | 0.98 | 0.76 | 0.41 | 0.95 | 0.93 | CREFX | ||
| 0.6 | 0.33 | 0.6 | 0.41 | 0.2 | 0.12 | NRSCX | ||
| 0.79 | 0.98 | 0.57 | 0.95 | 0.2 | 0.99 | FREAX | ||
| 0.74 | 0.97 | 0.54 | 0.93 | 0.12 | 0.99 | TIREX | ||
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Risk-Adjusted Indicators
There is a big difference between Davis Mutual Fund performing well and Davis International 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 Davis International'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FRIOX | 0.26 | 0.01 | 0.02 | 0.06 | 0.32 | 0.59 | 1.30 | |||
| REINX | 0.92 | (0.03) | 0.00 | (0.04) | 0.00 | 1.61 | 4.62 | |||
| FORFX | 0.05 | 0.02 | 0.00 | (3.10) | 0.00 | 0.11 | 0.32 | |||
| CREFX | 0.93 | (0.02) | 0.00 | (0.03) | 0.00 | 1.59 | 4.82 | |||
| NRSCX | 0.18 | 0.00 | 0.00 | 0.14 | 0.23 | 0.31 | 1.00 | |||
| FREAX | 0.90 | (0.05) | 0.00 | (0.06) | 0.00 | 1.62 | 4.55 | |||
| TIREX | 0.93 | (0.05) | 0.00 | (0.07) | 0.00 | 1.76 | 4.81 |