Dfa Commodity Strategy Fund Volatility
| DCMSX Fund | USD 5.84 0.01 0.17% |
Across the last 3 months, Dfa Commodity Strategy continues to post low price volatility. Dfa Commodity Strategy currently reflects a Sharpe ratio of 0.27, reflecting healthy reward-to-volatility behavior over the last 3 months. There are 27 technical indicators affecting the current volatility pattern.
Sharpe Ratio = 0.2695
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Dfa Commodity Strategy posted a Market Risk Adjusted Performance of -2.5%, a Risk of 1.34, and a Risk Adjusted Performance of 0.2% for the reported period. Moving average data indicates Dfa Commodity is positioned near 21% of its recent return envelope. Inclusion in a well-diversified allocation would influence portfolio dispersion metrics.
Key indicators related to Dfa Commodity's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for Dfa Commodity draws on both historical price data and forward-looking implied volatility. Periods of elevated Dfa Commodity volatility are typically followed by calmer conditions, and vice versa.
Dfa |
Volatility Strategy
Volatility in Dfa Commodity Strategy contributes to allocation risk depending on correlation. Current statistical measures show total volatility near 1.34% with a beta coefficient of -0.14, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.27, evaluates return per unit of total risk. An alpha value of 0.34 reflects performance relative to systematic market exposure. Expected return estimates near 0.36% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to Dfa Commodity's market risk premium analysis include:
Beta -0.14 | Alpha 0.34 | Risk 1.34 | Sharpe Ratio 0.27 | Expected Return 0.36 |
Moving together with Dfa Mutual Fund
| 0.99 | PCRIX | Commodityrealreturn | PairCorr |
| 0.99 | PCRRX | Commodityrealreturn | PairCorr |
| 0.99 | PCRPX | PIMCO Modityrealreturn | PairCorr |
| 0.99 | PCSRX | Commodityrealreturn | PairCorr |
| 0.95 | PCLAX | PIMCO COMMODITIESPLUS | PairCorr |
| 0.95 | PCPCX | PIMCO Moditiesplus | PairCorr |
| 0.95 | PCLNX | PIMCO Commoditiesplus | PairCorr |
| 0.96 | FIFGX | Fidelity Sai | PairCorr |
| 0.99 | PCRAX | Commodityrealreturn | PairCorr |
| 0.99 | PCRCX | Commodityrealreturn | PairCorr |
| 0.9 | OSPPX | Oppenheimer Steelpath Mlp | PairCorr |
| 0.9 | SPMPX | Invesco Steelpath Mlp | PairCorr |
| 0.9 | SPMJX | Invesco Steelpath Mlp | PairCorr |
| 0.9 | MLPNX | Oppenheimer Steelpath Mlp | PairCorr |
| 0.9 | MLPLX | Oppenheimer Steelpath Mlp | PairCorr |
| 0.73 | FDRXX | Fidelity Govt Cash | PairCorr |
| 0.74 | EIM | Eaton Vance Mbf | PairCorr |
| 0.72 | HBFBX | Hennessy Balanced | PairCorr |
| 0.89 | KSOCX | Kinetics Small Cap | PairCorr |
| 0.88 | PIRMX | PIMCO Inflation Response | PairCorr |
Sensitivity To Market
Dfa Commodity Strategy relative market sensitivity is quantified by its beta value of -0.14. This regression-derived coefficient reflects systematic risk. Total return variability is about 1.34%.This summary describes how Dfa Commodity Strategy has moved rather than why it moved. Standard deviation is near 1.31% and downside deviation is near 1.51%. Liquidity of underlying holdings can influence how smoothly fund values update in fast markets.
3 Months Beta |Analyze Dfa Commodity Strategy Demand TrendCheck current 90 days Dfa Commodity correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for Dfa expresses the daily price volatility as a spread around the mean. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability.
Standard Deviation | 1.34 |
For Dfa Commodity investors, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of Dfa Commodity's returns. Dfa Commodity Strategy posted a Downside Deviation of 1.51, a Downside Variance of 2.29, and a Maximum Drawdown of 6.54 for the reported period.
Mutual Fund Volatility Analysis
Volatility describes the degree to which Dfa Commodity mutual fund price fluctuates in either direction. It captures how much Dfa Commodity's price fluctuates, helping investors set appropriate position sizes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Dfa Commodity Strategy Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon Dfa Commodity Strategy has a beta of -0.145 suggesting that as returns on the benchmark increase, returns on Dfa Commodity tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Dfa Commodity Strategy is likely to outperform the market.Dfa Commodity remains sensitive to broader mutual fund market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Dfa Commodity Strategy posted a Downside Deviation of 1.51, a Mean Deviation of 0.99, and a Semi Deviation of 1.12 for the reported period.
Predicted Return Density |
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What Drives Dfa Commodity's Price Volatility?
Several factors can influence Dfa Commodity's market volatility:Industry Dynamics
Sector-level events can directly affect Dfa Commodity's price stability. Regulatory changes, supply disruptions, or shifts in demand within Dfa Commodity's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Dfa Commodity.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Dfa Commodity's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Dfa Commodity. During periods of economic expansion, Dfa Commodity's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Dfa Commodity's Company-Specific Factors
Volatility can also stem from events unique to Dfa Commodity. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Dfa Commodity's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Dfa Commodity's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Dfa Commodity is 371.11. The daily returns are distributed with a variance of 1.81 and standard deviation of 1.34. The mean deviation of Dfa Commodity Strategy is currently at 1.0. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.34 | |
β | Beta against Dow Jones | -0.145 | |
σ | Overall volatility | 1.34 | |
Ir | Information ratio | 0.35 |
Mutual Fund Return Volatility
Dfa Commodity historical daily return volatility represents how much of Dfa Commodity fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.3436% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8242% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Dfa Mutual Fund performing well and Dfa Commodity Mutual Fund doing well as a business compared to the competition. A thorough review of Dfa Commodity's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GTCSX | 0.84 | 0.01 | 0.00 | -0.09 | 0.00 | 1.52 | 5.18 | |||
| AOCIX | 0.30 | 0.00 | 0.00 | -0.09 | 0.00 | 0.51 | 2.11 | |||
| EPLPX | 0.46 | 0.06 | 0.13 | 0.00 | 0.66 | 0.88 | 3.08 | |||
| ARDVX | 0.57 | 0.20 | 0.37 | 0.20 | 0.40 | 0.67 | 13.14 | |||
| FPHAX | 0.92 | 0.02 | 0.00 | -0.07 | 0.00 | 2.22 | 5.75 | |||
| DILRX | 0.80 | 0.03 | 0.00 | -0.06 | 0.00 | 1.32 | 5.39 | |||
| GINDX | 0.67 | 0.05 | 0.00 | -0.04 | 0.00 | 1.03 | 4.57 | |||
| PIEQX | 0.75 | 0.06 | 0.00 | -0.04 | 0.00 | 1.36 | 5.31 | |||
| TISVX | 0.68 | 0.08 | 0.10 | 0.02 | 1.00 | 1.27 | 5.28 | |||
| IDXQX | 0.58 | 0.06 | 0.00 | -0.02 | 0.00 | 0.83 | 3.92 |
Risk Metrics, Assumptions & Methodology
Volatility for Dfa Commodity reflects NAV dispersion and exposure stability across disclosure periods. Return variability informs risk budgeting and diversification impact.
The analytics block for Dfa Commodity Strategy relies on fund disclosures and market reference feeds, with quality checks and normalization applied before rendering. Timing can vary by data vendor. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardDfa Commodity Investment Opportunity
Measured over the selected horizon, Dfa Commodity Strategy carries roughly 1.63 times the return volatility of Dow Jones Industrial. The higher-risk profile should usually be reviewed beside Sharpe Ratio, downside risk, and catalyst strength before the position is sized up.You can use Dfa Commodity Strategy to enhance the returns of the portfolio. This move summary looks at how the current session may translate into a basic near-term setup. It works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Check odds of Dfa Commodity to be traded at $6.13 in 90 days.Strong inverse diversification
The correlation between Dfa Commodity and Dow Jones is -0.48, which Macroaxis classifies as Strong inverse diversification for the selected horizon. A -0.48 reading means Dfa Commodity and Dow Jones have partial price overlap, offering some diversification benefit.
Dfa Commodity Additional Risk Indicators
Secondary risk indicators for Dfa Commodity Strategy can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | 0.2282 | |||
| Market Risk Adjusted Performance | -2.46 | |||
| Mean Deviation | 0.9865 | |||
| Semi Deviation | 1.12 | |||
| Downside Deviation | 1.51 | |||
| Coefficient Of Variation | 357.77 | |||
| Standard Deviation | 1.31 |
Dfa Commodity Suggested Diversification Pairs
Using Dfa Commodity in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Dfa Commodity as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Dfa Commodity's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Dfa Commodity's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Dfa Commodity Strategy.