Dfa Commodity Correlations

DCMSX Fund

USD 4.58 0.02 0.43%

The current 90-days correlation between Dfa Commodity Strategy and Small Cap Equity is 0.66 (i.e., Poor diversification). The correlation of Dfa Commodity 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 Commodity Correlation With Market

Modest diversification

The correlation between Dfa Commodity Strategy and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Commodity Strategy 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 Commodity Strategy. 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 main economic indicators.

Moving together with Dfa Mutual Fund

0.7	DREIX	World Core Equity	Pair Corr
0.61	DRIIX	Dimensional 2045 Target	Pair Corr
0.74	DRIHX	Dimensional 2040 Target	Pair Corr
0.72	DRIGX	Dimensional 2035 Target	Pair Corr
0.67	DRIWX	Dimensional 2030 Target	Pair Corr
0.64	DRIUX	Dimensional 2025 Target	Pair Corr
0.68	DRIRX	Dimensional 2020 Target	Pair Corr
0.71	DRIQX	Dimensional 2015 Target	Pair Corr
0.61	DAADX	Dfa Emerging Markets	Pair Corr
0.64	DSHGX	Dfa Selectively Hedged	Pair Corr
0.72	DTCPX	Dfa Targeted Credit	Pair Corr

Moving against Dfa Mutual Fund

0.37	DMREX	Dfa Municipal Real	Pair Corr
0.31	DISMX	Dfa International	Pair Corr

Related Correlations Analysis

	GTCSX	AOCIX	EPLPX	ARDVX	FPHAX	DILRX	GINDX	PIEQX	TISVX	IDXQX
GTCSX		0.63	0.3	0.63	0.01	0.5	0.33	0.59	0.48	0.53	GTCSX
AOCIX	0.63		0.61	0.99	0.49	0.79	0.73	0.83	0.37	0.95	AOCIX
EPLPX	0.3	0.61		0.66	0.5	0.4	0.83	0.37	0.1	0.62	EPLPX
ARDVX	0.63	0.99	0.66		0.5	0.78	0.79	0.84	0.37	0.97	ARDVX
FPHAX	0.01	0.49	0.5	0.5		0.23	0.57	0.4	-0.48	0.54	FPHAX
DILRX	0.5	0.79	0.4	0.78	0.23		0.47	0.87	0.51	0.8	DILRX
GINDX	0.33	0.73	0.83	0.79	0.57	0.47		0.55	0.07	0.8	GINDX
PIEQX	0.59	0.83	0.37	0.84	0.4	0.87	0.55		0.34	0.86	PIEQX
TISVX	0.48	0.37	0.1	0.37	-0.48	0.51	0.07	0.34		0.26	TISVX
IDXQX	0.53	0.95	0.62	0.97	0.54	0.8	0.8	0.86	0.26		IDXQX
	GTCSX	AOCIX	EPLPX	ARDVX	FPHAX	DILRX	GINDX	PIEQX	TISVX	IDXQX

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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

ARDVX	+ 0.99	AOCIX
IDXQX	+ 0.97	ARDVX
IDXQX	+ 0.95	AOCIX
PIEQX	+ 0.87	DILRX
IDXQX	+ 0.86	PIEQX
PIEQX	+ 0.84	ARDVX

High negative correlations

TISVX

- 0.48

FPHAX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Commodity 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 Commodity'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
GTCSX	0.92	(0.15)	0.00	(0.06)	0.00	0.00	2.17	(1.68)	10.58
AOCIX	0.25	(0.03)	(0.17)	(0.01)	0.30	(0.28)	0.57	(0.50)	1.28
EPLPX	0.57	0.11	0.10	0.82	0.43	(0.70)	1.13	(1.00)	6.19
ARDVX	0.33	(0.03)	(0.12)	0.01	0.42	(0.34)	0.74	(0.67)	1.76
FPHAX	0.96	0.26	0.23	0.44	0.69	(1.13)	2.22	(1.85)	7.42
DILRX	0.63	(0.06)	(0.08)	(0.01)	0.82	(0.62)	1.18	(1.27)	2.90
GINDX	0.59	0.06	0.01	0.62	1.02	(0.53)	1.41	(1.32)	4.47
PIEQX	0.65	(0.07)	0.00	(0.02)	0.00	0.00	1.11	(1.44)	5.64
TISVX	0.56	(0.08)	0.00	(0.06)	0.00	0.00	1.03	(1.18)	3.43
IDXQX	0.52	(0.03)	(0.05)	0.02	0.79	(0.49)	1.03	(1.14)	3.01

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