Davis Real Correlations

DREYX Fund

USD 46.43 0.62 1.32%

The current 90-days correlation between Davis Real Estate and Realty Income is 0.61 (i.e., Poor diversification). The correlation of Davis Real 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 Real Correlation With Market

Modest diversification

The correlation between Davis Real Estate and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis Real Estate 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 Davis Real Estate. 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 manufacturing.

Moving together with Davis Mutual Fund

0.62	FR	First Industrial Realty	Pair Corr
0.75	HR	Healthcare Realty Trust	Pair Corr
0.68	VICI	VICI Properties	Pair Corr
0.62	ELME	Elme Communities	Pair Corr

Moving against Davis Mutual Fund

0.36

NREF-PA

NexPoint Real Estate

Pair Corr

Related Correlations Analysis

	O	DX	FR	HR	KW	OZ	PK	PW	RC	UE
O		-0.24	0.76	0.12	-0.34	-0.46	-0.56	-0.01	0.25	-0.76	O
DX	-0.24		0.01	0.61	0.64	0.63	0.44	-0.32	0.23	0.47	DX
FR	0.76	0.01		0.36	-0.14	-0.13	-0.18	-0.12	0.75	-0.77	FR
HR	0.12	0.61	0.36		0.46	0.48	0.13	-0.19	0.42	0.04	HR
KW	-0.34	0.64	-0.14	0.46		0.48	0.49	0.03	0.07	0.55	KW
OZ	-0.46	0.63	-0.13	0.48	0.48		0.56	-0.3	0.24	0.4	OZ
PK	-0.56	0.44	-0.18	0.13	0.49	0.56		-0.02	0.27	0.44	PK
PW	-0.01	-0.32	-0.12	-0.19	0.03	-0.3	-0.02		-0.13	-0.04	PW
RC	0.25	0.23	0.75	0.42	0.07	0.24	0.27	-0.13		-0.52	RC
UE	-0.76	0.47	-0.77	0.04	0.55	0.4	0.44	-0.04	-0.52		UE
	O	DX	FR	HR	KW	OZ	PK	PW	RC	UE

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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

FR	+ 0.76	O
RC	+ 0.75	FR
KW	+ 0.64	DX
OZ	+ 0.63	DX
HR	+ 0.61	DX
PK	+ 0.56	OZ

High negative correlations

UE	- 0.77	FR
UE	- 0.76	O
PK	- 0.56	O
UE	- 0.52	RC
OZ	- 0.46	O
KW	- 0.34	O

Risk-Adjusted Indicators

There is a big difference between Davis Mutual Fund performing well and Davis Real 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 Real'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
O	0.79	(0.08)	0.00	0.75	0.00	0.00	1.37	(1.84)	5.17
DX	0.75	(0.01)	(0.07)	0.09	1.02	(0.73)	1.38	(1.47)	4.37
FR	0.84	(0.13)	0.00	(0.19)	0.00	0.00	1.48	(1.78)	3.74
HR	1.15	0.11	(0.01)	(4.89)	1.35	(1.23)	2.01	(2.54)	6.38
KW	1.33	(0.02)	(0.01)	0.09	1.63	(1.47)	2.88	(2.71)	10.81
OZ	1.06	0.11	0.04	0.29	1.47	(1.18)	2.77	(2.09)	8.57
PK	1.35	(0.11)	(0.03)	0.04	1.60	(1.46)	2.99	(2.71)	10.98
PW	7.05	1.30	0.10	(0.29)	6.96	(9.89)	13.64	(10.85)	119.44
RC	1.27	(0.19)	0.00	(0.08)	0.00	0.00	2.95	(2.57)	8.18
UE	0.86	0.07	0.01	0.27	0.89	(0.92)	1.78	(1.59)	4.48

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