Dfa Social Correlations

DSFIX Fund

USD 9.09 0.04 0.44%

The current 90-days correlation between Dfa Social Fixed and Diversified Bond Fund is 0.2 (i.e., Modest diversification). The correlation of Dfa Social 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 Social Correlation With Market

Modest diversification

The correlation between Dfa Social Fixed 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 Social Fixed 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 Social Fixed. 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 gross domestic product.

Moving together with Dfa Mutual Fund

0.89	DIPSX	Dfa Inflation Protected	Pair Corr
0.66	DMNBX	Dfa Mn Municipal	Pair Corr
0.61	DTCPX	Dfa Targeted Credit	Pair Corr
0.73	DCARX	Dfa California Municipal	Pair Corr

Moving against Dfa Mutual Fund

0.33

DSCGX

Dfa Small

Pair Corr

Related Correlations Analysis

	CDBCX	QDARX	RGEBX	BDVFX	DLTZX	ARTQX
CDBCX		0.45	-0.29	0.68	0.61	-0.02	CDBCX
QDARX	0.45		-0.74	0.4	0.9	-0.66	QDARX
RGEBX	-0.29	-0.74		-0.09	-0.74	0.91	RGEBX
BDVFX	0.68	0.4	-0.09		0.48	0.09	BDVFX
DLTZX	0.61	0.9	-0.74	0.48		-0.67	DLTZX
ARTQX	-0.02	-0.66	0.91	0.09	-0.67		ARTQX
	CDBCX	QDARX	RGEBX	BDVFX	DLTZX	ARTQX

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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

ARTQX	+ 0.91	RGEBX
DLTZX	+ 0.9	QDARX
BDVFX	+ 0.68	CDBCX
DLTZX	+ 0.61	CDBCX
DLTZX	+ 0.48	BDVFX
QDARX	+ 0.45	CDBCX

High negative correlations

DLTZX	- 0.74	RGEBX
RGEBX	- 0.74	QDARX
ARTQX	- 0.67	DLTZX
ARTQX	- 0.66	QDARX
RGEBX	- 0.29	CDBCX
BDVFX	- 0.09	RGEBX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa Social 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 Social'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
CDBCX	0.29	0.01	0.29	0.88	0.35	(0.31)	0.55	(0.55)	1.97
QDARX	0.09	0.04	0.98	0.73	0.00	(0.13)	0.24	(0.16)	0.65
RGEBX	1.43	0.06	0.00	(0.07)	0.00	0.00	2.41	(3.59)	14.46
BDVFX	0.29	0.02	0.33	0.30	0.31	(0.33)	0.54	(0.43)	2.13
DLTZX	0.11	0.01	0.72	(1.31)	0.00	(0.22)	0.38	(0.13)	0.89
ARTQX	1.08	0.02	0.00	(0.09)	0.00	0.00	1.48	(2.23)	11.72

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