Domini Impact Correlations

DIEQX Fund

USD 39.67 0.25 0.63%

The current 90-days correlation between Domini Impact Equity and The National Tax Free is -0.14 (i.e., Good diversification). The correlation of Domini Impact 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.

Domini Impact Correlation With Market

Poor diversification

The correlation between Domini Impact Equity and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Impact Equity 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 Domini Impact Equity. 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 producer price index.

Moving together with Domini Mutual Fund

0.63	LIFEX	Domini Sustainable	Pair Corr
1.0	DSEFX	Domini Impact Equity	Pair Corr
1.0	DSFRX	Domini Impact Equity	Pair Corr
0.62	CAREX	Cornerstone Advisors Real	Pair Corr
0.99	FAFGX	American Funds	Pair Corr
0.99	FFAFX	American Funds	Pair Corr
0.99	GFACX	Growth Fund	Pair Corr
0.99	GFAFX	Growth Fund	Pair Corr
0.99	AGTHX	Growth Fund	Pair Corr
0.99	CGFFX	Growth Fund	Pair Corr
0.99	CGFCX	Growth Fund	Pair Corr
0.99	CGFAX	Growth Fund	Pair Corr
0.99	CGFEX	Growth Fund	Pair Corr
0.99	RGAEX	Growth Fund	Pair Corr
0.86	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.86	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.81	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.81	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.86	LSHEX	Kinetics Spin Off Steady Growth	Pair Corr
0.81	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.86	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.86	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.86	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.86	KNPYX	Kinetics Paradigm Steady Growth	Pair Corr
0.99	DNSPX	Dunham Enhanced Market	Pair Corr
0.82	TSWHX	Tswhgyldbdinstl	Pair Corr
0.96	AMGOX	Alger Mid Cap	Pair Corr
0.94	NQCRX	Nuveen Nwq Large	Pair Corr
0.92	MXBUX	Great West Sp	Pair Corr

Moving against Domini Mutual Fund

0.7	DSBYX	Domini Impact Bond	Pair Corr
0.69	DSBIX	Domini Impact Bond	Pair Corr
0.69	DSBFX	Domini Impact Bond	Pair Corr
0.6	RISEX	Domini International	Pair Corr
0.59	LEADX	Domini International	Pair Corr

Related Correlations Analysis

	CFNLX	MFIRX	ARTFX	PATFX	LTXFX	MDMTX	TPYYX
CFNLX		0.65	-0.12	0.93	0.98	0.93	0.47	CFNLX
MFIRX	0.65		0.39	0.72	0.68	0.48	0.51	MFIRX
ARTFX	-0.12	0.39		0.16	0.01	-0.31	0.25	ARTFX
PATFX	0.93	0.72	0.16		0.96	0.79	0.54	PATFX
LTXFX	0.98	0.68	0.01	0.96		0.87	0.51	LTXFX
MDMTX	0.93	0.48	-0.31	0.79	0.87		0.29	MDMTX
TPYYX	0.47	0.51	0.25	0.54	0.51	0.29		TPYYX
	CFNLX	MFIRX	ARTFX	PATFX	LTXFX	MDMTX	TPYYX

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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

LTXFX	+ 0.98	CFNLX
LTXFX	+ 0.96	PATFX
PATFX	+ 0.93	CFNLX
MDMTX	+ 0.93	CFNLX
MDMTX	+ 0.87	LTXFX
MDMTX	+ 0.79	PATFX

High negative correlations

MDMTX	- 0.31	ARTFX
ARTFX	- 0.12	CFNLX

Risk-Adjusted Indicators

There is a big difference between Domini Mutual Fund performing well and Domini Impact 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 Domini Impact'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
CFNLX	0.12	0.01	(0.44)	(0.02)	0.17	(0.16)	0.22	(0.32)	1.13
MFIRX	0.10	0.01	(0.53)	(0.52)	0.00	(0.23)	0.19	(0.19)	0.76
ARTFX	0.12	0.03	(0.64)	0.58	0.00	(0.21)	0.33	(0.22)	1.01
PATFX	0.16	0.02	(0.25)	(0.12)	0.21	(0.24)	0.44	(0.35)	1.69
LTXFX	0.09	0.01	(0.52)	0.00	0.11	(0.13)	0.20	(0.19)	0.78
MDMTX	0.17	0.01	(0.31)	0.01	0.24	(0.23)	0.38	(0.56)	1.33
TPYYX	0.70	(0.08)	(0.11)	0.02	0.95	(0.74)	1.40	(1.71)	5.39

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