Large Cap Correlations

Mutual Funds . USA . 
Fund . Large Cap International
DFALX Fund  USD 31.37  0.09  0.29%   
The current 90-days correlation between Large Cap International and Intal High Relative is 0.98 (i.e., Almost no diversification). The correlation of Large Cap 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.

Large Cap Correlation With Market

Very weak diversification

The correlation between Large Cap International and DJI is 0.52 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap International 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 Large Cap International. 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 bureau of economic analysis.

Moving together with Large Mutual Fund

  1.0DIHRX Intal High RelativePairCorr
  0.99DILRX Dfa InternationalPairCorr
  0.62DIPSX Dfa Inflation ProtectedPairCorr
  0.99DISVX Dfa International SmallPairCorr
  0.99DISMX Dfa InternationalPairCorr
  0.93DMNBX Dfa Mn MunicipalPairCorr
  0.94DNYMX Dfa Ny MunicipalPairCorr
  0.91DOGMX Dfa Oregon MunicipalPairCorr
  0.97DREIX World Core EquityPairCorr
  0.97DRIIX Dimensional 2045 TargetPairCorr
  0.97DRIHX Dimensional 2040 TargetPairCorr
  0.96DRIGX Dimensional 2035 TargetPairCorr
  0.94DRIWX Dimensional 2030 TargetPairCorr
  0.91DRIUX Dimensional 2025 TargetPairCorr
  0.93DRIRX Dimensional 2020 TargetPairCorr
  0.94DRIQX Dimensional 2015 TargetPairCorr
  0.97DRILX Dimensional 2060 TargetPairCorr
  0.97DRIKX Dimensional 2055 TargetPairCorr
  0.97DRIJX Dimensional 2050 TargetPairCorr
  0.97DAADX Dfa Emerging MarketsPairCorr
  0.92DAABX Dfa SustainabilityPairCorr
  1.0DSCLX Dfa International SocialPairCorr
  0.94DSCGX Dfa SmallPairCorr
  0.97DSHGX Dfa Selectively HedgedPairCorr
  0.91DSSMX Dfa Selective StatePairCorr
  0.93DTCPX Dfa Targeted CreditPairCorr
  0.97DTDRX Dimensional 2065 TargetPairCorr
  0.88DCARX Dfa California MunicipalPairCorr
  0.91DCIBX Dfa Ca IntPairCorr
  0.97DURPX Us High RelativePairCorr
  0.96DUSQX Us Lg CapPairCorr
  0.97DUSLX Dfa LargePairCorr
  0.97DEMSX Emerging Markets SmallPairCorr
  0.96DEMGX Emerging Markets TargetedPairCorr
  0.96DESIX Emerging Markets SusPairCorr
  0.71DFAPX Dfa Investment GradePairCorr
  0.87DFAIX Dfa Short DurationPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large Cap 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 Large Cap'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DIHRX  0.51  0.10  0.02  0.41  0.39 
(0.59)
 1.24 
(1.03)
 2.73 
DILRX  0.53  0.10  0.03  0.40  0.42 
(0.56)
 1.30 
(1.06)
 3.22 
DIPSX  0.22  0.02 (0.32) 0.78  0.23 
(0.23)
 0.37 
(0.54)
 1.28 
DISVX  0.48  0.21  0.17  1.36  0.00 
(0.58)
 1.10 
(0.93)
 2.73 
DISMX  0.50  0.21  0.18  1.01  0.00 
(0.61)
 1.22 
(0.78)
 3.09 
DMNBX  0.04  0.01  0.00  2.16  0.00 
 0.00 
 0.10 
 0.00 
 0.21 
DMREX  0.05  0.01 (1.03)(1.12) 0.00 
(0.10)
 0.09 
(0.09)
 0.37 
DNYMX  0.04  0.01  0.00 (5.81) 0.00 
 0.00 
 0.10 
 0.00 
 0.20 
DOGMX  0.08  0.01 (0.79) 1.06  0.00 
(0.12)
 0.21 
(0.10)
 0.42 
DREIX  0.51  0.13  0.13  0.32  0.31 
(0.60)
 1.63 
(1.23)
 3.66 

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