World Ex Correlations

The correlation of World Ex 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.

Check out Investing Opportunities to better understand how to build diversified portfolios. 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 gross domestic product.

Moving together with World Mutual Fund

0.66	DIHRX	Intal High Relative	Pair Corr
0.86	DILRX	Dfa International	Pair Corr
0.87	DISVX	Dfa International Small	Pair Corr
0.85	DISMX	Dfa International	Pair Corr
0.76	DMNBX	Dfa Mn Municipal	Pair Corr
0.8	DMREX	Dfa Municipal Real	Pair Corr
0.77	DNYMX	Dfa Ny Municipal	Pair Corr
0.62	DOGMX	Dfa Oregon Municipal	Pair Corr
0.95	DREIX	World Core Equity	Pair Corr
0.91	DRIIX	Dimensional 2045 Target	Pair Corr
0.94	DRIHX	Dimensional 2040 Target	Pair Corr
0.88	DRIGX	Dimensional 2035 Target	Pair Corr
0.83	DRIRX	Dimensional 2020 Target	Pair Corr
0.62	DRIQX	Dimensional 2015 Target	Pair Corr
0.9	DRILX	Dimensional 2060 Target	Pair Corr
0.91	DRIJX	Dimensional 2050 Target	Pair Corr
0.69	DAADX	Dfa Emerging Markets	Pair Corr
0.84	DAABX	Dfa Sustainability	Pair Corr
0.93	DSCLX	Dfa International Social	Pair Corr
0.65	DSCGX	Dfa Small	Pair Corr
0.98	DSHGX	Dfa Selectively Hedged	Pair Corr
0.86	DTDRX	Dimensional 2065 Target	Pair Corr
0.8	DCARX	Dfa California Municipal	Pair Corr
0.74	DURPX	Us High Relative	Pair Corr
0.82	DUSQX	Us Lg Cap	Pair Corr
0.75	DFCSX	Continental Small Pany	Pair Corr
0.7	DFCEX	Emerging Markets E	Pair Corr

Moving against World Mutual Fund

0.38	DIPSX	Dfa Inflation Protected	Pair Corr
0.63	DWFIX	Dfa World Ex	Pair Corr
0.57	DRXIX	Dfa Ltip Portfolio	Pair Corr

Related Correlations Analysis

	VGSBX	GCEBX	FEGOX	IOGYX	SPPIX	MXKJX	UIPMX	AGGWX
VGSBX		0.43	0.17	0.15	-0.21	0.11	0.17	0.15	VGSBX
GCEBX	0.43		0.21	0.19	-0.28	0.09	0.22	0.19	GCEBX
FEGOX	0.17	0.21		1.0	-0.98	0.51	0.99	1.0	FEGOX
IOGYX	0.15	0.19	1.0		-0.97	0.52	1.0	1.0	IOGYX
SPPIX	-0.21	-0.28	-0.98	-0.97		-0.41	-0.98	-0.97	SPPIX
MXKJX	0.11	0.09	0.51	0.52	-0.41		0.51	0.52	MXKJX
UIPMX	0.17	0.22	0.99	1.0	-0.98	0.51		1.0	UIPMX
AGGWX	0.15	0.19	1.0	1.0	-0.97	0.52	1.0		AGGWX
	VGSBX	GCEBX	FEGOX	IOGYX	SPPIX	MXKJX	UIPMX	AGGWX

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

IOGYX	+ 1.0	FEGOX
AGGWX	+ 1.0	FEGOX
UIPMX	+ 1.0	IOGYX
AGGWX	+ 1.0	IOGYX
AGGWX	+ 1.0	UIPMX
UIPMX	+ 0.99	FEGOX

High negative correlations

UIPMX	- 0.98	SPPIX
SPPIX	- 0.98	FEGOX
AGGWX	- 0.97	SPPIX
SPPIX	- 0.97	IOGYX
MXKJX	- 0.41	SPPIX
SPPIX	- 0.28	GCEBX

Risk-Adjusted Indicators

There is a big difference between World Mutual Fund performing well and World Ex 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 World Ex'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
VGSBX	0.15	0.00	(0.22)	(1.07)	0.13	(0.19)	0.32	(0.32)	0.96
GCEBX	0.77	0.13	0.12	0.23	0.81	(0.93)	2.20	(0.99)	6.25
FEGOX	1.64	0.18	0.07	0.27	2.40	(1.74)	3.45	(3.65)	11.36
IOGYX	1.75	0.14	0.05	0.19	2.48	(1.77)	4.23	(4.24)	12.06
SPPIX	2.18	(0.31)	0.00	0.36	0.00	0.00	5.13	(4.79)	19.95
MXKJX	0.73	(0.11)	0.00	(0.05)	0.00	0.00	1.44	(1.38)	7.73
UIPMX	1.81	0.16	0.06	0.21	2.57	(1.83)	4.34	(4.39)	12.59
AGGWX	1.86	0.17	0.06	0.20	2.55	(1.84)	4.53	(4.36)	12.80

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