Dfa - Correlations

DILRX Fund

USD 19.55 0.03 0.15%

The current 90-days correlation between Dfa International and Small Cap Equity is 0.71 (i.e., 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 International and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa 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 Dfa 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 main economic indicators.

Moving together with Dfa Mutual Fund

0.89	DIHRX	Intal High Relative	Pair Corr
0.67	DISVX	Dfa International Small	Pair Corr
0.79	DREIX	World Core Equity	Pair Corr
0.83	DRIGX	Dimensional 2035 Target	Pair Corr
0.81	DRIWX	Dimensional 2030 Target	Pair Corr
0.78	DRIUX	Dimensional 2025 Target	Pair Corr
0.8	DRIRX	Dimensional 2020 Target	Pair Corr
0.81	DRIQX	Dimensional 2015 Target	Pair Corr
0.68	DAADX	Dfa Emerging Markets	Pair Corr
0.77	DTDRX	Dimensional 2065 Target	Pair Corr
0.88	DURPX	Us High Relative	Pair Corr
0.8	DUSLX	Dfa Large	Pair Corr
0.81	DESIX	Emerging Markets Sus	Pair Corr
0.77	DFCEX	Emerging Markets E	Pair Corr
0.65	DFEVX	Emerging Markets Value	Pair Corr
0.73	DFEOX	Us E Equity	Pair Corr
0.74	DFELX	Enhanced Large Pany	Pair Corr
0.72	DFEMX	Emerging Markets Por	Pair Corr
0.8	DFIEX	International E Equity	Pair Corr
0.77	DFISX	International Small Pany	Pair Corr
0.74	DFQTX	Us E Equity	Pair Corr
0.94	DFSPX	Dfa Intl Sustainability	Pair Corr
0.66	DFVEX	Us Vector Equity	Pair Corr
0.73	DFUSX	Us Large Pany	Pair Corr
0.7	DFUKX	United Kingdom Small	Pair Corr

Moving against Dfa Mutual Fund

0.36

DMNBX

Dfa Mn Municipal

Pair Corr

Related Correlations Analysis

	GTCSX	EPLPX	FPHAX	ARDVX	DESIX	GINDX	AOCIX	DCMSX	PIEQX	AEMGX
GTCSX		0.25	-0.15	0.55	0.1	0.41	0.59	-0.07	0.38	0.03	GTCSX
EPLPX	0.25		0.35	0.55	0.44	0.45	0.56	0.27	0.52	0.46	EPLPX
FPHAX	-0.15	0.35		0.51	0.28	0.62	0.49	0.89	0.52	0.54	FPHAX
ARDVX	0.55	0.55	0.51		0.74	0.93	0.99	0.62	0.92	0.79	ARDVX
DESIX	0.1	0.44	0.28	0.74		0.69	0.68	0.44	0.79	0.95	DESIX
GINDX	0.41	0.45	0.62	0.93	0.69		0.89	0.72	0.83	0.8	GINDX
AOCIX	0.59	0.56	0.49	0.99	0.68	0.89		0.57	0.9	0.74	AOCIX
DCMSX	-0.07	0.27	0.89	0.62	0.44	0.72	0.57		0.65	0.67	DCMSX
PIEQX	0.38	0.52	0.52	0.92	0.79	0.83	0.9	0.65		0.83	PIEQX
AEMGX	0.03	0.46	0.54	0.79	0.95	0.8	0.74	0.67	0.83		AEMGX
	GTCSX	EPLPX	FPHAX	ARDVX	DESIX	GINDX	AOCIX	DCMSX	PIEQX	AEMGX

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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

AOCIX	+ 0.99	ARDVX
AEMGX	+ 0.95	DESIX
GINDX	+ 0.93	ARDVX
PIEQX	+ 0.92	ARDVX
PIEQX	+ 0.9	AOCIX
DCMSX	+ 0.89	FPHAX

High negative correlations

FPHAX	- 0.15	GTCSX
DCMSX	- 0.07	GTCSX

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
GTCSX	0.79	(0.06)	(0.04)	0.02	1.06	(0.82)	2.17	(1.57)	5.65
EPLPX	0.54	(0.09)	0.00	(0.05)	0.00	0.00	0.93	(1.02)	6.89
FPHAX	0.93	0.25	0.24	0.42	0.59	(1.10)	2.22	(1.21)	6.73
ARDVX	0.32	0.00	(0.07)	0.06	0.40	(0.33)	0.74	(0.67)	2.03
DESIX	0.60	0.04	0.01	0.12	0.78	(0.62)	1.11	(1.11)	4.23
GINDX	0.58	0.02	0.02	0.09	0.93	(0.54)	1.41	(1.32)	4.47
AOCIX	0.24	(0.01)	(0.13)	0.05	0.25	(0.27)	0.50	(0.50)	1.35
DCMSX	0.59	0.11	0.08	0.48	0.48	(0.74)	1.63	(1.03)	3.45
PIEQX	0.59	0.01	(0.01)	0.08	0.76	(0.59)	1.11	(1.16)	3.09
AEMGX	0.69	0.08	0.06	0.17	0.84	(0.73)	1.28	(1.11)	4.76

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