Enhanced Large Correlations

DFELX Fund

USD 14.91 0.05 0.33%

The current 90-days correlation between Enhanced Large Pany and Wilshire International Equity is 0.3 (i.e., Weak diversification). The correlation of Enhanced Large 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.

Enhanced Large Correlation With Market

Weak diversification

The correlation between Enhanced Large Pany and DJI is 0.36 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Enhanced Large Pany 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 Enhanced Large Pany. 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 Enhanced Mutual Fund

0.71	DIPSX	Dfa Inflation Protected	Pair Corr
0.78	DRIHX	Dimensional 2040 Target	Pair Corr
0.85	DRIGX	Dimensional 2035 Target	Pair Corr
0.84	DRIWX	Dimensional 2030 Target	Pair Corr
0.88	DRIUX	Dimensional 2025 Target	Pair Corr
0.84	DRIRX	Dimensional 2020 Target	Pair Corr
0.84	DRIQX	Dimensional 2015 Target	Pair Corr
0.67	DEMSX	Emerging Markets Small	Pair Corr
0.8	DEMGX	Emerging Markets Targeted	Pair Corr

Moving against Enhanced Mutual Fund

0.73	DMREX	Dfa Municipal Real	Pair Corr
0.56	DMNBX	Dfa Mn Municipal	Pair Corr
0.71	DCARX	Dfa California Municipal	Pair Corr
0.39	DAABX	Dfa Sustainability	Pair Corr
0.38	DSCLX	Dfa International Social	Pair Corr

Related Correlations Analysis

	WLCTX	FSTCX	DFDPX	EGIIX	FACEX	MPAIX	MAPPX	WEIMX
WLCTX		0.25	0.32	0.55	-0.36	0.29	0.23	0.32	WLCTX
FSTCX	0.25		0.64	-0.15	0.32	0.79	0.86	-0.47	FSTCX
DFDPX	0.32	0.64		-0.21	0.4	0.71	0.76	-0.3	DFDPX
EGIIX	0.55	-0.15	-0.21		-0.63	-0.28	-0.28	0.64	EGIIX
FACEX	-0.36	0.32	0.4	-0.63		0.26	0.31	-0.36	FACEX
MPAIX	0.29	0.79	0.71	-0.28	0.26		0.92	-0.59	MPAIX
MAPPX	0.23	0.86	0.76	-0.28	0.31	0.92		-0.58	MAPPX
WEIMX	0.32	-0.47	-0.3	0.64	-0.36	-0.59	-0.58		WEIMX
	WLCTX	FSTCX	DFDPX	EGIIX	FACEX	MPAIX	MAPPX	WEIMX

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

MAPPX	+ 0.92	MPAIX
MAPPX	+ 0.86	FSTCX
MPAIX	+ 0.79	FSTCX
MAPPX	+ 0.76	DFDPX
MPAIX	+ 0.71	DFDPX
DFDPX	+ 0.64	FSTCX

High negative correlations

FACEX	- 0.63	EGIIX
WEIMX	- 0.59	MPAIX
WEIMX	- 0.58	MAPPX
WEIMX	- 0.47	FSTCX
WEIMX	- 0.36	FACEX
FACEX	- 0.36	WLCTX

Risk-Adjusted Indicators

There is a big difference between Enhanced Mutual Fund performing well and Enhanced Large 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 Enhanced Large'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
WLCTX	0.55	(0.06)	(0.09)	(0.01)	0.80	(0.57)	1.01	(1.16)	3.85
FSTCX	0.80	(0.04)	0.00	(1.01)	0.00	0.00	1.58	(1.88)	3.94
DFDPX	0.63	(0.01)	(0.08)	0.04	0.81	(0.63)	1.25	(1.29)	3.03
EGIIX	0.76	0.24	0.26	(12.33)	0.24	(1.01)	0.96	(1.15)	18.57
FACEX	1.06	(0.30)	0.00	(0.47)	0.00	0.00	1.62	(1.84)	21.75
MPAIX	1.18	(0.15)	0.00	(0.04)	0.00	0.00	1.87	(3.23)	6.35
MAPPX	1.21	(0.07)	0.00	(0.19)	0.00	0.00	1.88	(3.21)	6.36
WEIMX	1.25	0.41	0.41	0.56	0.38	(1.73)	2.12	(1.39)	29.38

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