Dfa Commodity Strategy Fund Market Value
| DCMSX Fund | USD 4.75 0.03 0.64% |
| Symbol | Dfa |
Dfa Commodity 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Dfa Commodity's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Dfa Commodity.
| 06/15/2025 |
| 07/15/2025 |
If you would invest 0.00 in Dfa Commodity on June 15, 2025 and sell it all today you would earn a total of 0.00 from holding Dfa Commodity Strategy or generate 0.0% return on investment in Dfa Commodity over 30 days. Dfa Commodity is related to or competes with Financials Ultrasector, Fidelity Advisor, Icon Financial, Vanguard Financials, 1919 Financial, Rmb Mendon, and Transamerica Financial. The Portfolio seeks to achieve its investment objective by generally investing in a universe of allowable commodity-link... More
Dfa Commodity Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Dfa Commodity's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Dfa Commodity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8476 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 5.01 | |||
| Value At Risk | (0.90) | |||
| Potential Upside | 1.56 |
Dfa Commodity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dfa Commodity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dfa Commodity's standard deviation. In reality, there are many statistical measures that can use Dfa Commodity historical prices to predict the future Dfa Commodity's volatility.| Risk Adjusted Performance | 0.1707 | |||
| Jensen Alpha | 0.1371 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.18) | |||
| Treynor Ratio | (0.76) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Dfa Commodity's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Dfa Commodity Strategy Backtested Returns
At this stage we consider Dfa Mutual Fund to be not too volatile. Dfa Commodity Strategy secures Sharpe Ratio (or Efficiency) of 0.0647, which denotes the fund had a 0.0647 % return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Dfa Commodity Strategy, which you can use to evaluate the volatility of the entity. Please confirm Dfa Commodity's Mean Deviation of 0.6891, semi deviation of 0.6998, and Downside Deviation of 0.8476 to check if the risk estimate we provide is consistent with the expected return of 0.0532%. The fund shows a Beta (market volatility) of -0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Dfa Commodity are expected to decrease at a much lower rate. During the bear market, Dfa Commodity is likely to outperform the market.
Auto-correlation | -0.51 |
Good reverse predictability
Dfa Commodity Strategy has good reverse predictability. Overlapping area represents the amount of predictability between Dfa Commodity time series from 15th of June 2025 to 30th of June 2025 and 30th of June 2025 to 15th of July 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Dfa Commodity Strategy price movement. The serial correlation of -0.51 indicates that about 51.0% of current Dfa Commodity price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.51 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Dfa Commodity Strategy lagged returns against current returns
Autocorrelation, which is Dfa Commodity mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Dfa Commodity's mutual fund expected returns. We can calculate the autocorrelation of Dfa Commodity returns to help us make a trade decision. For example, suppose you find that Dfa Commodity has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Dfa Commodity regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Dfa Commodity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dfa Commodity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dfa Commodity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Dfa Commodity Lagged Returns
When evaluating Dfa Commodity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dfa Commodity mutual fund have on its future price. Dfa Commodity autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Dfa Commodity autocorrelation shows the relationship between Dfa Commodity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Dfa Commodity Strategy.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Dfa Mutual Fund
Dfa Commodity financial ratios help investors to determine whether Dfa Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Dfa with respect to the benefits of owning Dfa Commodity security.
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