Dfa World Correlations
| DWFIX Fund | USD 8.42 0.01 0.12% |
The current 90-days correlation between Dfa World Ex and Barings High Yield is 0.28 (i.e., Modest diversification). The correlation of Dfa World 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 World Correlation With Market
Significant diversification
The correlation between Dfa World Ex and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa World Ex and DJI in the same portfolio, assuming nothing else is changed.
Dfa |
Moving together with Dfa Mutual Fund
| 0.82 | DRIGX | Dimensional 2035 Target | PairCorr |
| 0.8 | DRIWX | Dimensional 2030 Target | PairCorr |
| 0.69 | DRIQX | Dimensional 2015 Target | PairCorr |
| 0.76 | DRXIX | Dfa Ltip Portfolio | PairCorr |
| 0.64 | DCIBX | Dfa Ca Int | PairCorr |
| 0.61 | DUSLX | Dfa Large | PairCorr |
Related Correlations Analysis
| 0.98 | 0.92 | 0.87 | 0.99 | 0.76 | BXHCX | ||
| 0.98 | 0.9 | 0.81 | 0.96 | 0.78 | ATPAX | ||
| 0.92 | 0.9 | 0.83 | 0.89 | 0.79 | SGYAX | ||
| 0.87 | 0.81 | 0.83 | 0.85 | 0.5 | AQRRX | ||
| 0.99 | 0.96 | 0.89 | 0.85 | 0.78 | PBBIX | ||
| 0.76 | 0.78 | 0.79 | 0.5 | 0.78 | GUCPX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Dfa Mutual Fund performing well and Dfa World 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 World'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BXHCX | 0.13 | (0.01) | 0.00 | 0.28 | 0.00 | 0.37 | 1.00 | |||
| ATPAX | 0.12 | (0.01) | 0.28 | 0.23 | 0.14 | 0.37 | 1.12 | |||
| SGYAX | 0.16 | 0.01 | 0.31 | 0.03 | 0.13 | 0.56 | 1.57 | |||
| AQRRX | 0.50 | 0.00 | 0.11 | (0.05) | 0.66 | 0.90 | 3.50 | |||
| PBBIX | 0.17 | (0.02) | 0.00 | 0.34 | 0.00 | 0.50 | 1.19 | |||
| GUCPX | 0.17 | 0.02 | 0.50 | (0.39) | 0.00 | 0.40 | 1.09 |