Projected Return Density against MarketAssuming 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
Actual Return VolatilityDFA 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.
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DFA International Value IV has a volatility of 0.67 and is 1.18 times more volatile than S&P 500. 8% of all equities and portfolios are less risky than DFA Internat. Compared with the overall equity markets, volatility of historical daily returns of DFA International Value IV is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use DFA International Value IV to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. As returns on market increase, DFA Internat returns are expected to increase less than the market. However during bear market, the loss on holding DFA Internat will be expected to be smaller as well.
DFA Internat correlation with market
DFA Internat Current Risk Indicators
Suggested Divercification Pairs