Dfa International Correlations

DFIVX Fund

USD 28.06 0.09 0.32%

The current 90-days correlation between Dfa International Value and Emerging Markets Value is 0.63 (i.e., Poor diversification). The correlation of Dfa International 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 International Correlation With Market

Poor diversification

The correlation between Dfa International Value and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa International Value 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 International Value. 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 unemployment.

Moving together with Dfa Mutual Fund

0.78	DIHRX	Intal High Relative	Pair Corr
0.7	DISVX	Dfa International Small	Pair Corr
0.83	DNYMX	Dfa Ny Municipal	Pair Corr
0.73	DOGMX	Dfa Oregon Municipal	Pair Corr
0.73	DREIX	World Core Equity	Pair Corr
0.79	DRIIX	Dimensional 2045 Target	Pair Corr
0.83	DRILX	Dimensional 2060 Target	Pair Corr
0.83	DRIKX	Dimensional 2055 Target	Pair Corr
0.82	DRIJX	Dimensional 2050 Target	Pair Corr
0.88	DSCLX	Dfa International Social	Pair Corr
0.78	DSHGX	Dfa Selectively Hedged	Pair Corr
0.83	DTDRX	Dimensional 2065 Target	Pair Corr
0.7	DCIBX	Dfa Ca Int	Pair Corr
0.78	DUSQX	Us Lg Cap	Pair Corr

Moving against Dfa Mutual Fund

0.56	DIPSX	Dfa Inflation Protected	Pair Corr
0.44	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.39	DEMSX	Emerging Markets Small	Pair Corr

Related Correlations Analysis

	DFEVX	MRSKX	DFAPX	DISVX	DFEMX	HIMFX	FSCSX	JMGFX	DFUSX	CBTAX
DFEVX		0.39	0.42	0.47	0.96	0.71	0.18	0.0	0.8	0.73	DFEVX
MRSKX	0.39		-0.09	0.51	0.42	0.36	0.11	-0.34	0.66	0.34	MRSKX
DFAPX	0.42	-0.09		0.27	0.42	0.52	-0.1	0.29	0.29	0.52	DFAPX
DISVX	0.47	0.51	0.27		0.42	0.37	-0.04	0.09	0.71	0.34	DISVX
DFEMX	0.96	0.42	0.42	0.42		0.68	0.31	0.1	0.81	0.68	DFEMX
HIMFX	0.71	0.36	0.52	0.37	0.68		-0.34	-0.39	0.59	0.99	HIMFX
FSCSX	0.18	0.11	-0.1	-0.04	0.31	-0.34		0.67	0.25	-0.33	FSCSX
JMGFX	0.0	-0.34	0.29	0.09	0.1	-0.39	0.67		0.02	-0.4	JMGFX
DFUSX	0.8	0.66	0.29	0.71	0.81	0.59	0.25	0.02		0.58	DFUSX
CBTAX	0.73	0.34	0.52	0.34	0.68	0.99	-0.33	-0.4	0.58		CBTAX
	DFEVX	MRSKX	DFAPX	DISVX	DFEMX	HIMFX	FSCSX	JMGFX	DFUSX	CBTAX

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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

CBTAX	+ 0.99	HIMFX
DFEMX	+ 0.96	DFEVX
DFUSX	+ 0.81	DFEMX
DFUSX	+ 0.8	DFEVX
CBTAX	+ 0.73	DFEVX
HIMFX	+ 0.71	DFEVX

High negative correlations

CBTAX	- 0.4	JMGFX
JMGFX	- 0.39	HIMFX
FSCSX	- 0.34	HIMFX
JMGFX	- 0.34	MRSKX
CBTAX	- 0.33	FSCSX
FSCSX	- 0.1	DFAPX

Risk-Adjusted Indicators

There is a big difference between Dfa Mutual Fund performing well and Dfa International 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 International'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
DFEVX	0.54	(0.04)	(0.08)	0.00	0.78	(0.51)	1.26	(1.13)	3.48
MRSKX	0.59	0.04	0.03	0.13	0.63	(0.65)	1.20	(1.09)	3.83
DFAPX	0.17	(0.03)	0.00	(1.72)	0.00	0.00	0.29	(0.29)	1.95
DISVX	0.64	(0.03)	(0.06)	0.01	1.00	(0.62)	1.28	(1.39)	5.32
DFEMX	0.64	(0.03)	(0.05)	0.02	0.83	(0.73)	1.30	(1.16)	4.21
HIMFX	0.10	0.02	(0.33)	(1.05)	0.00	(0.15)	0.26	(0.20)	0.79
FSCSX	0.94	(0.11)	0.00	(0.04)	0.00	0.00	1.45	(2.41)	4.72
JMGFX	0.93	(0.22)	0.00	(0.21)	0.00	0.00	1.41	(2.45)	9.34
DFUSX	0.54	(0.02)	(0.03)	0.04	0.81	(0.53)	1.22	(1.17)	3.30
CBTAX	0.07	0.01	(0.37)	(1.07)	0.00	(0.12)	0.10	(0.10)	0.51

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