Domini Impact Correlations

DSEFX Fund

USD 35.63 0.01 0.03%

The current 90-days correlation between Domini Impact Equity and Domini Impact Bond is 0.21 (i.e., Modest diversification). The correlation of Domini Impact 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.

Domini Impact Correlation With Market

Very weak diversification

The correlation between Domini Impact Equity and DJI is 0.54 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Impact 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 Domini Impact 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 census.

Moving together with Domini Mutual Fund

1.0	DIEQX	Domini Impact Equity	Pair Corr
0.91	LIFEX	Domini Sustainable	Pair Corr
1.0	DSFRX	Domini Impact Equity	Pair Corr
0.91	CAREX	Cornerstone Advisors Real	Pair Corr
0.97	FAFGX	American Funds	Pair Corr
0.97	FFAFX	American Funds	Pair Corr
0.97	GFACX	Growth Fund	Pair Corr
0.97	GFAFX	Growth Fund	Pair Corr
0.9	AGTHX	Growth Fund	Pair Corr
0.97	CGFFX	Growth Fund	Pair Corr
0.97	CGFCX	Growth Fund	Pair Corr
0.97	CGFAX	Growth Fund	Pair Corr
0.97	CGFEX	Growth Fund	Pair Corr
0.97	RGAEX	Growth Fund	Pair Corr
0.83	CISGX	Touchstone Sands Capital	Pair Corr

Moving against Domini Mutual Fund

0.52	DSBYX	Domini Impact Bond	Pair Corr
0.52	DSBIX	Domini Impact Bond	Pair Corr
0.52	DSBFX	Domini Impact Bond	Pair Corr
0.35	DOMOX	Domini Impact Intern	Pair Corr
0.34	DOMYX	Domini Impact Intern	Pair Corr
0.34	DOMIX	Domini Impact Intern	Pair Corr
0.63	GILHX	Guggenheim Limited	Pair Corr
0.61	JSNCX	Jhancock Short Duration	Pair Corr
0.59	RGEVX	Us Government Securities	Pair Corr
0.53	UGPIX	Ultrachina Profund	Pair Corr
0.53	UGPSX	Ultrachina Profund	Pair Corr
0.5	PDINX	Putnam Diversified Income	Pair Corr
0.5	AVBNX	American Century Etf	Pair Corr
0.47	XNCVX	Allianzgi Convertible	Pair Corr
0.47	JHCBX	John Hancock Bond	Pair Corr
0.46	PMPIX	Precious Metals Ultr	Pair Corr
0.43	FITMX	Fidelity Sai Interna	Pair Corr

Related Correlations Analysis

	DSBFX	PAXWX	CAAPX	CSIEX	PARNX
DSBFX		-0.32	-0.5	-0.08	-0.62	DSBFX
PAXWX	-0.32		0.9	0.81	0.84	PAXWX
CAAPX	-0.5	0.9		0.77	0.92	CAAPX
CSIEX	-0.08	0.81	0.77		0.79	CSIEX
PARNX	-0.62	0.84	0.92	0.79		PARNX
	DSBFX	PAXWX	CAAPX	CSIEX	PARNX

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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

PARNX	+ 0.92	CAAPX
CAAPX	+ 0.9	PAXWX
PARNX	+ 0.84	PAXWX
CSIEX	+ 0.81	PAXWX
PARNX	+ 0.79	CSIEX
CSIEX	+ 0.77	CAAPX

High negative correlations

PARNX	- 0.62	DSBFX
CAAPX	- 0.5	DSBFX
PAXWX	- 0.32	DSBFX
CSIEX	- 0.08	DSBFX

Risk-Adjusted Indicators

There is a big difference between Domini Mutual Fund performing well and Domini Impact 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 Domini Impact'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
DSBFX	0.22	0.02	0.28	0.42	0.19	(0.26)	0.50	(0.40)	1.22
PAXWX	0.50	(0.05)	0.00	(0.16)	0.00	0.00	0.85	(1.16)	2.94
CAAPX	0.93	(0.18)	0.00	(0.26)	0.00	0.00	1.26	(2.25)	8.75
CSIEX	0.61	(0.02)	0.00	(0.11)	0.00	0.00	1.28	(1.43)	3.17
PARNX	0.95	(0.14)	0.00	(0.22)	0.00	0.00	1.46	(2.40)	5.10

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