Domini Sustainable Correlations
| LIFEX Fund | USD 16.78 0.12 0.72% |
The current 90-days correlation between Domini Sustainable and Ashmore Emerging Markets is 0.11 (i.e., Average diversification). The correlation of Domini Sustainable 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 Sustainable Correlation With Market
Poor diversification
The correlation between Domini Sustainable Solutions and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Domini Sustainable Solutions and DJI in the same portfolio, assuming nothing else is changed.
Domini |
Moving together with Domini Mutual Fund
| 0.63 | DIEQX | Domini Impact Equity | PairCorr |
| 0.63 | DSEFX | Domini Impact Equity | PairCorr |
| 0.63 | DSFRX | Domini Impact Equity | PairCorr |
| 1.0 | CAREX | Cornerstone Advisors Real | PairCorr |
| 0.91 | FSWFX | American Funds Smallcap | PairCorr |
| 0.91 | FSFWX | American Funds Smallcap | PairCorr |
| 0.92 | SCWCX | American Fds Smallcap | PairCorr |
| 0.92 | SCWFX | Smallcap World | PairCorr |
| 0.92 | SMCWX | Smallcap World | PairCorr |
| 0.91 | CSPFX | Smallcap World | PairCorr |
| 0.92 | CSPAX | Smallcap World | PairCorr |
| 0.92 | CSPEX | Smallcap World | PairCorr |
| 0.92 | RSLCX | Smallcap World | PairCorr |
| 0.91 | RLLGX | Smallcap World | PairCorr |
| 0.63 | TMAPX | Touchstone Mid Cap | PairCorr |
| 0.7 | GVCIX | Gabelli Val | PairCorr |
| 0.65 | VIVIX | Vanguard Value Index | PairCorr |
| 0.65 | RAZAX | Multi Asset Growth | PairCorr |
| 0.71 | FIFAX | Income Fund | PairCorr |
Moving against Domini Mutual Fund
Related Correlations Analysis
| 0.65 | 0.65 | -0.21 | 0.0 | 0.0 | ESDIX | ||
| 0.65 | 1.0 | -0.53 | 0.0 | 0.0 | IATXX | ||
| 0.65 | 1.0 | -0.53 | 0.0 | 0.0 | FRQXX | ||
| -0.21 | -0.53 | -0.53 | 0.0 | 0.0 | SMAAX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | TUGXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | JHMXX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Domini Mutual Fund performing well and Domini Sustainable 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 Sustainable'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ESDIX | 0.05 | 0.00 | (0.76) | 1.17 | 0.00 | 0.11 | 0.68 | |||
| IATXX | 0.03 | 0.01 | 0.00 | (2.04) | 0.00 | 0.00 | 1.01 | |||
| FRQXX | 0.03 | 0.01 | 0.00 | (2.04) | 0.00 | 0.00 | 1.01 | |||
| SMAAX | 0.12 | 0.00 | (0.44) | 0.10 | 0.18 | 0.20 | 0.99 | |||
| TUGXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| JHMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |