Dfa Sustainability Core Fund Market Value
| DFSIX Fund | USD 40.72 0.05 0.12% |
| Symbol | Dfa |
Dfa Sustainability 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Dfa Sustainability's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Dfa Sustainability.
| 02/12/2024 |
| 05/12/2024 |
If you would invest 0.00 in Dfa Sustainability on February 12, 2024 and sell it all today you would earn a total of 0.00 from holding Dfa Sustainability Core or generate 0.0% return on investment in Dfa Sustainability over 90 days. Dfa Sustainability is related to or competes with Vanguard Total, and Vanguard 500. The Portfolio purchases a broad and diverse group of securities of U.S More
Dfa Sustainability Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Dfa Sustainability's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Dfa Sustainability Core upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7766 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 3.66 | |||
| Value At Risk | (1.25) | |||
| Potential Upside | 1.22 |
Dfa Sustainability Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dfa Sustainability's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dfa Sustainability's standard deviation. In reality, there are many statistical measures that can use Dfa Sustainability historical prices to predict the future Dfa Sustainability's volatility.| Risk Adjusted Performance | 0.0621 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0576 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Dfa Sustainability's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Dfa Sustainability Core Backtested Returns
We consider Dfa Sustainability very steady. Dfa Sustainability Core secures Sharpe Ratio (or Efficiency) of 0.0746, which denotes the fund had a 0.0746% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Dfa Sustainability Core, which you can use to evaluate the volatility of the entity. Please confirm Dfa Sustainability's Mean Deviation of 0.6352, downside deviation of 0.7766, and Semi Deviation of 0.673 to check if the risk estimate we provide is consistent with the expected return of 0.0598%. The fund shows a Beta (market volatility) of 1.16, which means a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Dfa Sustainability will likely underperform.
Auto-correlation | -0.22 |
Weak reverse predictability
Dfa Sustainability Core has weak reverse predictability. Overlapping area represents the amount of predictability between Dfa Sustainability time series from 12th of February 2024 to 28th of March 2024 and 28th of March 2024 to 12th of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Dfa Sustainability Core price movement. The serial correlation of -0.22 indicates that over 22.0% of current Dfa Sustainability price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.51 |
Dfa Sustainability Core lagged returns against current returns
Autocorrelation, which is Dfa Sustainability mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Dfa Sustainability's mutual fund expected returns. We can calculate the autocorrelation of Dfa Sustainability returns to help us make a trade decision. For example, suppose you find that Dfa Sustainability has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Dfa Sustainability regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Dfa Sustainability mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dfa Sustainability mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dfa Sustainability mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Dfa Sustainability Lagged Returns
When evaluating Dfa Sustainability's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dfa Sustainability mutual fund have on its future price. Dfa Sustainability autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Dfa Sustainability autocorrelation shows the relationship between Dfa Sustainability mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Dfa Sustainability Core.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Dfa Sustainability in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Dfa Sustainability's short interest history, or implied volatility extrapolated from Dfa Sustainability options trading.
Pair Trading with Dfa Sustainability
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Dfa Sustainability position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Dfa Sustainability will appreciate offsetting losses from the drop in the long position's value.Moving together with Dfa Mutual Fund
| 0.94 | DIHRX | Intal High Relative | PairCorr |
| 0.86 | DILRX | Dfa International | PairCorr |
| 0.66 | DIPSX | Dfa Inflation Protected | PairCorr |
| 0.68 | DISVX | Dfa International Small | PairCorr |
| 0.91 | DISMX | Dfa International | PairCorr |
The ability to find closely correlated positions to Dfa Sustainability could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dfa Sustainability when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Dfa Sustainability - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Dfa Sustainability Core to buy it.
The correlation of Dfa Sustainability 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Dfa Sustainability moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dfa Sustainability Core moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Dfa Sustainability can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Dfa Sustainability Correlation, Dfa Sustainability Volatility and Dfa Sustainability Alpha and Beta module to complement your research on Dfa Sustainability. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Dfa Sustainability technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.