Dfa Commodity Correlations

DCMSX Fund

USD 4.49 0.02 0.45%

The current 90-days correlation between Dfa Commodity Strategy and Semiconductor Ultrasector Profund is 0.24 (i.e., Modest diversification). The correlation of Dfa Commodity 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 Commodity Correlation With Market

Good diversification

The correlation between Dfa Commodity Strategy and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Commodity Strategy 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 Commodity Strategy. 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 state.

Moving together with Dfa Mutual Fund

0.69	DREIX	World Core Equity	Pair Corr
0.63	DRIIX	Dimensional 2045 Target	Pair Corr
0.67	DRIHX	Dimensional 2040 Target	Pair Corr
0.64	DRILX	Dimensional 2060 Target	Pair Corr
0.64	DRIKX	Dimensional 2055 Target	Pair Corr
0.64	DRIJX	Dimensional 2050 Target	Pair Corr
0.67	DSHGX	Dfa Selectively Hedged	Pair Corr
0.64	DTDRX	Dimensional 2065 Target	Pair Corr
0.78	DEMSX	Emerging Markets Small	Pair Corr
0.8	DEMGX	Emerging Markets Targeted	Pair Corr

Related Correlations Analysis

	SMPIX	WRLDX	SMYIX	PRNHX	RHSAX	MGGNX
SMPIX		0.54	0.81	0.65	0.63	-0.17	SMPIX
WRLDX	0.54		0.88	0.81	0.69	0.31	WRLDX
SMYIX	0.81	0.88		0.92	0.79	0.1	SMYIX
PRNHX	0.65	0.81	0.92		0.7	0.04	PRNHX
RHSAX	0.63	0.69	0.79	0.7		0.18	RHSAX
MGGNX	-0.17	0.31	0.1	0.04	0.18		MGGNX
	SMPIX	WRLDX	SMYIX	PRNHX	RHSAX	MGGNX

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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

PRNHX	+ 0.92	SMYIX
SMYIX	+ 0.88	WRLDX
SMYIX	+ 0.81	SMPIX
PRNHX	+ 0.81	WRLDX
RHSAX	+ 0.79	SMYIX
RHSAX	+ 0.7	PRNHX

High negative correlations

MGGNX

- 0.17

SMPIX

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. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Dfa Commodity'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
SMPIX	2.58	(0.02)	0.03	0.10	3.79	(2.40)	4.26	(6.39)	17.06
WRLDX	0.49	(0.02)	(0.12)	0.08	0.46	(0.56)	0.92	(0.97)	2.75
SMYIX	0.57	0.01	(0.02)	0.13	0.71	(0.61)	1.47	(1.30)	3.40
PRNHX	0.75	0.04	0.05	0.15	0.97	(0.79)	1.80	(1.29)	6.84
RHSAX	0.91	0.06	(0.04)	2.26	1.34	(0.98)	1.97	(2.49)	7.38
MGGNX	0.20	0.02	(0.33)	(1.51)	0.13	(0.26)	0.46	(0.34)	1.13

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