Us Small Correlations

DFSVX Fund

USD 48.45 0.30 0.62%

The current 90-days correlation between Us Small Cap and Us Targeted Value is 1.0 (i.e., No risk reduction). The correlation of Us Small 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.

Us Small Correlation With Market

Poor diversification

The correlation between Us Small Cap and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Us Small Cap 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 Us Small Cap. 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 unemployment.

Moving together with DFSVX Mutual Fund

0.65	DISMX	Dfa International	Pair Corr
0.8	DSCGX	Dfa Small	Pair Corr

Moving against DFSVX Mutual Fund

0.51	DSSMX	Dfa Selective State	Pair Corr
0.35	DTCPX	Dfa Targeted Credit	Pair Corr

Related Correlations Analysis

	DFFVX	DFUSX	TWCGX	TEPLX	DFSTX	OTCIX	LZOEX	DFISX	VAFIX	RLEMX
DFFVX		-0.1	-0.08	-0.3	0.88	0.76	-0.34	0.36	0.2	-0.34	DFFVX
DFUSX	-0.1		0.99	0.91	0.28	-0.28	0.89	0.69	0.83	0.89	DFUSX
TWCGX	-0.08	0.99		0.88	0.28	-0.22	0.87	0.68	0.88	0.87	TWCGX
TEPLX	-0.3	0.91	0.88		0.03	-0.45	0.89	0.55	0.65	0.89	TEPLX
DFSTX	0.88	0.28	0.28	0.03		0.7	-0.03	0.65	0.54	-0.03	DFSTX
OTCIX	0.76	-0.28	-0.22	-0.45	0.7		-0.58	0.3	0.24	-0.58	OTCIX
LZOEX	-0.34	0.89	0.87	0.89	-0.03	-0.58		0.45	0.56	1.0	LZOEX
DFISX	0.36	0.69	0.68	0.55	0.65	0.3	0.45		0.77	0.45	DFISX
VAFIX	0.2	0.83	0.88	0.65	0.54	0.24	0.56	0.77		0.56	VAFIX
RLEMX	-0.34	0.89	0.87	0.89	-0.03	-0.58	1.0	0.45	0.56		RLEMX
	DFFVX	DFUSX	TWCGX	TEPLX	DFSTX	OTCIX	LZOEX	DFISX	VAFIX	RLEMX

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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

RLEMX	+ 1.0	LZOEX
TWCGX	+ 0.99	DFUSX
TEPLX	+ 0.91	DFUSX
LZOEX	+ 0.89	DFUSX
RLEMX	+ 0.89	DFUSX
LZOEX	+ 0.89	TEPLX

High negative correlations

RLEMX	- 0.58	OTCIX
LZOEX	- 0.58	OTCIX
OTCIX	- 0.45	TEPLX
RLEMX	- 0.34	DFFVX
LZOEX	- 0.34	DFFVX
TEPLX	- 0.3	DFFVX

Risk-Adjusted Indicators

There is a big difference between DFSVX Mutual Fund performing well and Us Small 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 Us Small'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
DFFVX	0.74	(0.05)	0.00	(0.01)	0.00	0.00	1.69	(1.30)	7.58
DFUSX	0.53	0.01	0.01	0.04	0.76	(0.52)	1.22	(1.13)	4.22
TWCGX	0.75	0.01	0.01	0.04	1.00	(0.76)	1.54	(1.42)	4.79
TEPLX	0.54	0.02	(0.01)	2.06	0.69	(0.56)	1.07	(0.98)	4.25
DFSTX	0.76	(0.06)	0.00	(0.02)	0.00	0.00	1.81	(1.49)	6.64
OTCIX	0.71	(0.15)	0.00	(0.11)	0.00	0.00	1.30	(1.67)	4.37
LZOEX	0.53	0.11	0.13	0.24	0.50	(0.57)	1.26	(1.05)	3.48
DFISX	0.55	(0.03)	(0.05)	(0.01)	0.76	(0.52)	1.07	(1.10)	3.77
VAFIX	0.91	(0.07)	0.00	(0.03)	0.00	0.00	1.76	(2.43)	5.46
RLEMX	0.53	0.11	0.13	0.23	0.50	(0.58)	1.26	(1.04)	3.46

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