Large Cap Correlations

DFALX Fund

USD 34.84 0.03 0.09%

The current 90-days correlation between Large Cap International and Dfa International is 0.95 (i.e., Almost no 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

Average diversification

The correlation between Large Cap International and DJI is 0.12 (i.e., Average 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 board of governors.

Moving together with Large Mutual Fund

0.82	DIHRX	Intal High Relative	Pair Corr
0.8	DILRX	Dfa International	Pair Corr
0.65	DMNBX	Dfa Mn Municipal	Pair Corr
0.74	DNYMX	Dfa Ny Municipal	Pair Corr
0.7	DOGMX	Dfa Oregon Municipal	Pair Corr
0.8	DRIIX	Dimensional 2045 Target	Pair Corr
0.9	DRILX	Dimensional 2060 Target	Pair Corr
0.81	DRIKX	Dimensional 2055 Target	Pair Corr
0.86	DRIJX	Dimensional 2050 Target	Pair Corr
0.66	DAADX	Dfa Emerging Markets	Pair Corr
0.77	DAABX	Dfa Sustainability	Pair Corr
0.96	DSCLX	Dfa International Social	Pair Corr
0.64	DSCGX	Dfa Small	Pair Corr
0.67	DSHGX	Dfa Selectively Hedged	Pair Corr
0.9	DTDRX	Dimensional 2065 Target	Pair Corr
0.65	DCIBX	Dfa Ca Int	Pair Corr
0.77	DCMSX	Dfa Commodity Strategy	Pair Corr
0.68	DURPX	Us High Relative	Pair Corr
0.87	DUSQX	Us Lg Cap	Pair Corr

Moving against Large Mutual Fund

0.52	DIPSX	Dfa Inflation Protected	Pair Corr
0.33	DRIQX	Dimensional 2015 Target	Pair Corr
0.32	DRIRX	Dimensional 2020 Target	Pair Corr
0.52	DFAIX	Dfa Short Duration	Pair Corr
0.34	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.32	DWFIX	Dfa World Ex	Pair Corr

Related Correlations Analysis

	DILRX	DIPSX	DISVX	DISMX	DMNBX	DMREX	DNYMX	DOGMX	DREIX
DILRX		-0.24	0.26	0.74	0.29	0.43	0.25	0.33	0.49	DILRX
DIPSX	-0.24		-0.14	-0.26	-0.72	-0.86	-0.62	-0.4	0.12	DIPSX
DISVX	0.26	-0.14		0.42	0.59	0.24	0.39	0.29	0.36	DISVX
DISMX	0.74	-0.26	0.42		0.34	0.55	-0.06	-0.12	0.32	DISMX
DMNBX	0.29	-0.72	0.59	0.34		0.78	0.78	0.61	0.05	DMNBX
DMREX	0.43	-0.86	0.24	0.55	0.78		0.48	0.33	-0.09	DMREX
DNYMX	0.25	-0.62	0.39	-0.06	0.78	0.48		0.91	0.2	DNYMX
DOGMX	0.33	-0.4	0.29	-0.12	0.61	0.33	0.91		0.23	DOGMX
DREIX	0.49	0.12	0.36	0.32	0.05	-0.09	0.2	0.23		DREIX
	DILRX	DIPSX	DISVX	DISMX	DMNBX	DMREX	DNYMX	DOGMX	DREIX

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

DOGMX	+ 0.91	DNYMX
DMREX	+ 0.78	DMNBX
DNYMX	+ 0.78	DMNBX
DISMX	+ 0.74	DILRX
DOGMX	+ 0.61	DMNBX
DMNBX	+ 0.59	DISVX

High negative correlations

DMREX	- 0.86	DIPSX
DMNBX	- 0.72	DIPSX
DNYMX	- 0.62	DIPSX
DOGMX	- 0.4	DIPSX
DISMX	- 0.26	DIPSX
DIPSX	- 0.24	DILRX

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
DILRX	0.64	0.03	(0.03)	0.26	0.83	(0.63)	1.19	(1.28)	2.92
DIPSX	0.16	(0.03)	0.00	(0.87)	0.00	0.00	0.27	(0.35)	1.16
DISVX	0.65	0.00	(0.03)	0.08	0.99	(0.64)	1.28	(1.39)	5.32
DISMX	0.60	(0.01)	(0.08)	0.02	0.81	(0.56)	1.05	(1.22)	2.59
DMNBX	0.01	(0.01)	0.00	(5.32)	0.00	0.00	0.10	0.00	0.10
DMREX	0.05	0.00	(0.78)	(0.03)	0.00	(0.18)	0.09	(0.09)	1.04
DNYMX	0.02	0.00	0.00	0.39	0.00	0.00	0.10	0.00	0.20
DOGMX	0.04	0.00	(0.66)	0.52	0.00	(0.10)	0.10	(0.10)	0.20
DREIX	0.61	(0.02)	(0.06)	0.01	1.11	(0.53)	1.10	(1.32)	5.34

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