Dfa - Correlations

DSCGX Fund

USD 27.09 0.21 0.77%

The current 90-days correlation between Dfa Small and Dfa Large is 0.88 (i.e., Very poor diversification). The correlation of Dfa - 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 - Correlation With Market

Poor diversification

The correlation between Dfa Small and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Small 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 Small. 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 price.

Moving together with Dfa Mutual Fund

0.72	DREIX	World Core Equity	Pair Corr
0.78	DRILX	Dimensional 2060 Target	Pair Corr
0.78	DRIJX	Dimensional 2050 Target	Pair Corr
0.99	DAABX	Dfa Sustainability	Pair Corr
0.72	DURPX	Us High Relative	Pair Corr
0.84	DUSQX	Us Lg Cap	Pair Corr
0.7	DUSLX	Dfa Large	Pair Corr
0.95	DFEOX	Us E Equity	Pair Corr

Moving against Dfa Mutual Fund

0.58	DISVX	Dfa International Small	Pair Corr
0.58	DMNBX	Dfa Mn Municipal	Pair Corr
0.57	DMREX	Dfa Municipal Real	Pair Corr
0.53	DIPSX	Dfa Inflation Protected	Pair Corr
0.53	DSFIX	Dfa Social Fixed	Pair Corr
0.47	DIHRX	Intal High Relative	Pair Corr
0.47	DSCLX	Dfa International Social	Pair Corr
0.37	DILRX	Dfa International	Pair Corr
0.37	DSSMX	Dfa Selective State	Pair Corr
0.62	DFFGX	Dfa Short Term	Pair Corr
0.61	DFCSX	Continental Small Pany	Pair Corr
0.61	DFCMX	Dfa Calfrna Shrt	Pair Corr
0.59	DCARX	Dfa California Municipal	Pair Corr
0.59	DFABX	Dfa Investment Dimensions	Pair Corr
0.54	DFAPX	Dfa Investment Grade	Pair Corr
0.54	DWUSX	Dfa World Ex	Pair Corr
0.5	DFALX	Large Cap International	Pair Corr
0.39	DCIBX	Dfa Ca Int	Pair Corr
0.65	DFEQX	Dfa Short Term	Pair Corr
0.64	DFIGX	Dfa Intermediate Gov	Pair Corr

Related Correlations Analysis

	DUSLX	DISMX	DILRX	DFLVX	DFREX
DUSLX		0.27	0.24	0.84	0.35	DUSLX
DISMX	0.27		0.97	0.45	0.64	DISMX
DILRX	0.24	0.97		0.44	0.67	DILRX
DFLVX	0.84	0.45	0.44		0.33	DFLVX
DFREX	0.35	0.64	0.67	0.33		DFREX
	DUSLX	DISMX	DILRX	DFLVX	DFREX

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Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa - 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 -'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
DUSLX	0.77	(0.03)	0.00	(0.11)	0.00	0.00	1.23	(1.79)	3.80
DISMX	0.64	0.08	0.14	0.07	0.78	(0.67)	1.29	(1.23)	4.65
DILRX	0.63	0.10	0.14	0.11	0.79	(0.68)	1.53	(1.37)	4.27
DFLVX	0.68	0.02	0.00	(0.05)	0.00	0.00	1.29	(1.43)	3.39
DFREX	0.89	(0.06)	0.00	0.15	0.00	0.00	1.65	(1.87)	4.48

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