Davis New Correlations

NYVBX Fund

USD 22.62 0.09 0.40%

The current 90-days correlation between Davis New York and Davis International Fund is 0.51 (i.e., Very weak diversification). The correlation of Davis New 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.

Davis New Correlation With Market

Very poor diversification

The correlation between Davis New York and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis New York and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Davis New York. 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 bureau of labor statistics.

Moving together with Davis Mutual Fund

0.65	DILCX	Davis International	Pair Corr
0.65	DILAX	Davis International	Pair Corr
0.65	DILYX	Davis International	Pair Corr
0.92	RPFGX	Davis Financial	Pair Corr
0.94	RPFCX	Davis Appreciation Income	Pair Corr
0.99	RPEAX	Davis Opportunity	Pair Corr
1.0	DNVYX	Davis New York	Pair Corr
1.0	NYVCX	Davis New York	Pair Corr
1.0	NYVRX	Davis New York	Pair Corr
1.0	NYVTX	Davis New York	Pair Corr
0.94	DCSCX	Davis Appreciation Income	Pair Corr
0.94	DCSYX	Davis Appreciation Income	Pair Corr
0.92	DVFYX	Davis Financial	Pair Corr
0.92	DFFCX	Davis Financial	Pair Corr
0.83	DGFCX	Davis Global	Pair Corr
0.83	DGFAX	Davis Global	Pair Corr
0.83	DGFYX	Davis Global	Pair Corr
0.99	DGOCX	Davis Opportunity	Pair Corr
0.99	DGOYX	Davis Opportunity	Pair Corr
0.96	VTSAX	Vanguard Total Stock	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.96	VTSMX	Vanguard Total Stock	Pair Corr
0.96	VITSX	Vanguard Total Stock	Pair Corr
0.96	VSMPX	Vanguard Total Stock	Pair Corr
0.96	VSTSX	Vanguard Total Stock	Pair Corr
0.96	VFINX	Vanguard 500 Index	Pair Corr
0.96	VFFSX	Vanguard 500 Index	Pair Corr
0.96	VINIX	Vanguard Institutional	Pair Corr
0.96	VIIIX	Vanguard Institutional	Pair Corr

Moving against Davis Mutual Fund

0.57	RFBAX	Davis Government Bond	Pair Corr
0.67	DGVCX	Davis Government Bond	Pair Corr
0.52	BTMPX	Ishares Msci Eafe	Pair Corr
0.52	BTMKX	Blackrock International	Pair Corr
0.52	MDIIX	Blackrock Intern Index	Pair Corr
0.5	DGVYX	Davis Government Bond	Pair Corr
0.43	FMFFX	Fs Managed Futures	Pair Corr

Related Correlations Analysis

	DILCX	DILAX	DILYX	RPFGX	RPFCX	RPFRX	DNVYX	RFBAX	DREYX
DILCX		1.0	1.0	0.39	0.37	-0.3	0.65	-0.48	-0.29	DILCX
DILAX	1.0		1.0	0.4	0.37	-0.3	0.65	-0.48	-0.29	DILAX
DILYX	1.0	1.0		0.4	0.37	-0.3	0.65	-0.48	-0.29	DILYX
RPFGX	0.39	0.4	0.4		0.97	-0.22	0.93	-0.55	-0.21	RPFGX
RPFCX	0.37	0.37	0.37	0.97		-0.15	0.94	-0.47	-0.14	RPFCX
RPFRX	-0.3	-0.3	-0.3	-0.22	-0.15		-0.23	0.63	1.0	RPFRX
DNVYX	0.65	0.65	0.65	0.93	0.94	-0.23		-0.58	-0.22	DNVYX
RFBAX	-0.48	-0.48	-0.48	-0.55	-0.47	0.63	-0.58		0.62	RFBAX
DREYX	-0.29	-0.29	-0.29	-0.21	-0.14	1.0	-0.22	0.62		DREYX
	DILCX	DILAX	DILYX	RPFGX	RPFCX	RPFRX	DNVYX	RFBAX	DREYX

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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

DILAX	+ 1.0	DILCX
DILYX	+ 1.0	DILCX
DILYX	+ 1.0	DILAX
DREYX	+ 1.0	RPFRX
RPFCX	+ 0.97	RPFGX
DNVYX	+ 0.94	RPFCX

High negative correlations

RFBAX	- 0.58	DNVYX
RFBAX	- 0.55	RPFGX
RFBAX	- 0.48	DILYX
RFBAX	- 0.48	DILAX
RFBAX	- 0.48	DILCX
RFBAX	- 0.47	RPFCX

Risk-Adjusted Indicators

There is a big difference between Davis Mutual Fund performing well and Davis New 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 Davis New'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
DILCX	1.17	0.15	0.04	0.47	1.64	(1.19)	3.00	(2.40)	11.02
DILAX	1.16	0.15	0.04	0.48	1.58	(1.19)	2.96	(2.42)	11.02
DILYX	1.17	0.15	0.04	0.48	1.61	(1.17)	2.99	(2.44)	11.08
RPFGX	0.80	0.04	0.10	0.16	0.51	(1.00)	1.85	(1.40)	7.59
RPFCX	0.54	(0.01)	(0.03)	0.12	0.58	(0.59)	1.10	(1.18)	4.01
RPFRX	0.70	0.00	(0.11)	0.14	0.81	(0.72)	1.36	(1.30)	3.53
DNVYX	0.70	(0.01)	(0.01)	0.11	0.78	(0.69)	1.80	(1.58)	4.59
RFBAX	0.06	(0.01)	(0.63)	(0.43)	0.01	(0.22)	0.20	(0.20)	0.59
DREYX	0.71	0.00	(0.11)	0.15	0.81	(0.75)	1.34	(1.33)	3.52

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