World Ex Correlations

DFWVX Fund

USD 17.28 0.11 0.64%

The current 90-days correlation between World Ex Val and Intal High Relative is 0.88 (i.e., Very poor diversification). 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.

World Ex Correlation With Market

Poor diversification

The correlation between World Ex Val 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 World Ex Val 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 World Ex Val. 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 World Mutual Fund

0.84	DIHRX	Intal High Relative	Pair Corr
0.62	DOGMX	Dfa Oregon Municipal	Pair Corr
0.8	DRIIX	Dimensional 2045 Target	Pair Corr
0.62	DRILX	Dimensional 2060 Target	Pair Corr
0.89	DRIKX	Dimensional 2055 Target	Pair Corr
0.68	DAADX	Dfa Emerging Markets	Pair Corr
0.72	DAABX	Dfa Sustainability	Pair Corr
0.89	DSCLX	Dfa International Social	Pair Corr
0.69	DSHGX	Dfa Selectively Hedged	Pair Corr
0.89	DTDRX	Dimensional 2065 Target	Pair Corr
0.76	DCIBX	Dfa Ca Int	Pair Corr
0.86	DCMSX	Dfa Commodity Strategy	Pair Corr
0.94	DFALX	Large Cap International	Pair Corr
0.82	DFABX	Dfa Investment Dimensions	Pair Corr

Moving against World Mutual Fund

0.53	DIPSX	Dfa Inflation Protected	Pair Corr
0.46	DRXIX	Dfa Ltip Portfolio	Pair Corr
0.42	DFAIX	Dfa Short Duration	Pair Corr
0.36	DWFIX	Dfa World Ex	Pair Corr
0.32	DEMSX	Emerging Markets Small	Pair Corr

Related Correlations Analysis

	DIHRX	0P0000A2WI	CAYCX	CAACX	FCQAX	MRHYX
DIHRX		0.68	0.54	0.92	0.34	0.67	DIHRX
0P0000A2WI	0.68		0.4	0.75	0.37	0.86	0P0000A2WI
CAYCX	0.54	0.4		0.48	0.78	0.3	CAYCX
CAACX	0.92	0.75	0.48		0.33	0.8	CAACX
FCQAX	0.34	0.37	0.78	0.33		0.33	FCQAX
MRHYX	0.67	0.86	0.3	0.8	0.33		MRHYX
	DIHRX	0P0000A2WI	CAYCX	CAACX	FCQAX	MRHYX

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
DIHRX	0.59	(0.01)	(0.03)	0.06	0.75	(0.58)	1.06	(1.24)	2.67
0P0000A2WI	0.14	0.01	(0.25)	(3.78)	0.00	(0.25)	0.43	(0.29)	0.87
CAYCX	0.09	0.01	(0.35)	1.33	0.00	(0.15)	0.21	(0.11)	0.73
CAACX	0.51	(0.01)	(0.03)	0.06	0.66	(0.50)	0.98	(0.99)	2.57
FCQAX	0.08	0.01	(0.43)	0.62	0.00	(0.16)	0.31	(0.10)	0.62
MRHYX	0.10	0.00	(0.32)	0.05	0.00	(0.17)	0.24	(0.24)	0.59

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