Large Cap Correlations

DFALX Fund

USD 33.17 0.50 1.53%

The current 90-days correlation between Large Cap International and State Street Equity is 0.65 (i.e., Poor 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

Poor diversification

The correlation between Large Cap International and DJI is 0.69 (i.e., Poor 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 industry.

Moving together with Large Mutual Fund

0.94	DIHRX	Intal High Relative	Pair Corr
0.86	DILRX	Dfa International	Pair Corr
0.97	DISVX	Dfa International Small	Pair Corr
0.94	DISMX	Dfa International	Pair Corr
0.91	DSCGX	Dfa Small	Pair Corr
0.9	DURPX	Us High Relative	Pair Corr
0.89	DUSLX	Dfa Large	Pair Corr
0.8	DFAPX	Dfa Investment Grade	Pair Corr
0.88	DFCEX	Emerging Markets E	Pair Corr
0.85	DFGBX	Dfa Five Year	Pair Corr
0.99	DFIEX	International E Equity	Pair Corr
0.98	DFIVX	Dfa International Value	Pair Corr
0.96	DFISX	International Small Pany	Pair Corr
0.89	DFLVX	Us Large Cap	Pair Corr
0.9	DFQTX	Us E Equity	Pair Corr
0.88	DFSVX	Us Small Cap	Pair Corr
0.91	DFSCX	Us Micro Cap	Pair Corr
0.9	DFVEX	Us Vector Equity	Pair Corr
0.88	DFUSX	Us Large Pany	Pair Corr
0.88	TDIFX	Dimensional Retirement	Pair Corr
0.98	VGTSX	Vanguard Total Inter	Pair Corr
0.98	VTIAX	Vanguard Total Inter	Pair Corr
0.98	VTSNX	Vanguard Total Inter	Pair Corr
0.98	VTPSX	Vanguard Total Inter	Pair Corr
0.98	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.99	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.99	VDIPX	Vanguard Developed	Pair Corr
0.98	FSPSX	Fidelity International	Pair Corr
0.88	VTSAX	Vanguard Total Stock	Pair Corr
0.88	VFIAX	Vanguard 500 Index	Pair Corr
0.88	VTSMX	Vanguard Total Stock	Pair Corr
0.88	VSMPX	Vanguard Total Stock	Pair Corr
0.88	VSTSX	Vanguard Total Stock	Pair Corr
0.88	VITSX	Vanguard Total Stock	Pair Corr
0.88	VFINX	Vanguard 500 Index	Pair Corr
0.88	VFFSX	Vanguard 500 Index	Pair Corr

Related Correlations Analysis

	SSSYX	AXP	MSFT	PG	WMT	BAC	KO
SSSYX		0.56	0.94	-0.75	0.41	0.83	-0.49	SSSYX
AXP	0.56		0.43	-0.31	-0.09	0.82	-0.16	AXP
MSFT	0.94	0.43		-0.89	0.39	0.71	-0.62	MSFT
PG	-0.75	-0.31	-0.89		-0.16	-0.5	0.7	PG
WMT	0.41	-0.09	0.39	-0.16		0.14	0.07	WMT
BAC	0.83	0.82	0.71	-0.5	0.14		-0.4	BAC
KO	-0.49	-0.16	-0.62	0.7	0.07	-0.4		KO
	SSSYX	AXP	MSFT	PG	WMT	BAC	KO

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

MSFT	+ 0.94	SSSYX
BAC	+ 0.83	SSSYX
BAC	+ 0.82	AXP
BAC	+ 0.71	MSFT
KO	+ 0.7	PG
AXP	+ 0.56	SSSYX

High negative correlations

PG	- 0.89	MSFT
PG	- 0.75	SSSYX
KO	- 0.62	MSFT
BAC	- 0.5	PG
KO	- 0.49	SSSYX
KO	- 0.4	BAC

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SSSYX	0.51	0.05	0.05	0.15	0.38	(0.60)	1.14	(0.83)	3.65
AXP	1.08	(0.04)	0.02	0.07	1.32	(1.14)	2.49	(2.35)	6.42
MSFT	0.72	0.11	0.07	0.32	0.64	(0.81)	1.80	(1.42)	5.71
PG	0.70	(0.10)	0.00	(0.13)	0.00	0.00	1.23	(1.78)	4.50
WMT	0.83	(0.03)	0.00	(0.08)	0.00	0.00	1.47	(2.01)	8.57
BAC	0.94	0.05	0.05	0.14	1.14	(1.00)	2.35	(1.95)	5.76
KO	0.70	(0.04)	0.00	(0.20)	0.00	0.00	1.43	(1.25)	3.47

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