DFA Internat risk analysis

Use DFA International Value IV risk analysis together with your fund portfolios to protect against small markets fluctuations and to determine Fund optimization strategy that fits your criteria.  Suggest Portfolio

Projected Return Density against Market

Assuming 30 trading days horizon, DFA Internat has beta of 0.67 suggesting as returns on market go up, DFA Internat avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding DFA International Value IV will be expected to be much smaller as well. Moreover, DFA International Value IV has alpha of 0.67 implying that it can potentially generate 0.67% excess return over S&P 500 after adjusting for the inherited market risk (beta).Assuming 30 trading days horizon, the coefficient of variation of DFA Internat is 244.86. The daily returns are destributed with a variance of 0.45 and standard deviation of 0.67. The mean deviation of DFA International Value IV is currently at 0.53. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.58

	(alpha)	=	0.67	Details
	(beta)	=	0.67	Details
	(volatility)	=	0.67	Details

Actual Return Volatility

DFA International Value IV shows 0.67% volatility of returns over 30 trading days. S&P 500 shows 0.57% volatility of returns over 30 trading days.