Davis Real Correlations
| RPFRX Fund | USD 46.35 0.25 0.54% |
The correlation of Davis Real 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 Real Correlation With Market
Modest diversification
The correlation between Davis Real Estate and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis Real Estate and DJI in the same portfolio, assuming nothing else is changed.
Davis |
Moving together with Davis Mutual Fund
| 0.62 | FR | First Industrial Realty | PairCorr |
| 0.78 | HR | Healthcare Realty Trust | PairCorr |
| 0.69 | VICI | VICI Properties | PairCorr |
| 0.62 | ELME | Elme Communities | PairCorr |
Moving against Davis Mutual Fund
Related Correlations Analysis
| 0.97 | 0.1 | 0.0 | 0.63 | 0.0 | 0.7 | GMBXX | ||
| 0.97 | 0.1 | 0.0 | 0.63 | 0.0 | 0.65 | JNMXX | ||
| 0.1 | 0.1 | 0.0 | 0.63 | 0.0 | 0.02 | STSEX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ICAXX | ||
| 0.63 | 0.63 | 0.63 | 0.0 | 0.0 | 0.46 | FMVUX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | HUCXX | ||
| 0.7 | 0.65 | 0.02 | 0.0 | 0.46 | 0.0 | ESDIX | ||
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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 Davis Mutual Fund performing well and Davis Real 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 Real'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GMBXX | 0.03 | 0.00 | 0.00 | 1.06 | 0.00 | 0.00 | 1.01 | |||
| JNMXX | 0.03 | 0.01 | 0.00 | (2.04) | 0.00 | 0.00 | 1.01 | |||
| STSEX | 0.51 | (0.06) | (0.12) | 0.05 | 0.70 | 0.95 | 3.90 | |||
| ICAXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FMVUX | 0.71 | (0.03) | 0.00 | 0.10 | 0.64 | 1.49 | 6.14 | |||
| HUCXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| ESDIX | 0.05 | 0.00 | (0.76) | 1.17 | 0.00 | 0.11 | 0.68 |