Dimensional Core Correlations

DFAC Etf

USD 40.78 0.19 0.47%

The current 90-days correlation between Dimensional Core Equity and SPDR Dow Jones is 0.87 (i.e., Very poor diversification). The correlation of Dimensional Core 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.

Dimensional Core Correlation With Market

Very poor diversification

The correlation between Dimensional Core Equity and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Core Equity and DJI in the same portfolio, assuming nothing else is changed.

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Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Dimensional Core Equity. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Dimensional Etf

0.88	VTI	Vanguard Total Stock	Pair Corr
0.95	SPY	SPDR SP 500	Pair Corr
0.95	IVV	iShares Core SP	Pair Corr
0.97	VIG	Vanguard Dividend	Pair Corr
0.94	VV	Vanguard Large Cap	Pair Corr
0.95	RSP	Invesco SP 500	Pair Corr
0.96	IWB	iShares Russell 1000	Pair Corr
0.93	ESGU	iShares ESG Aware	Pair Corr
0.82	SPLG	SSgA Symbol Change	Pair Corr
0.79	JNUG	Direxion Daily Junior	Pair Corr
0.78	NUGT	Direxion Daily Gold	Pair Corr
0.85	AGQ	ProShares Ultra Silver Trending	Pair Corr
0.95	JEPI	JPMorgan Equity Premium	Pair Corr
0.9	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.77	MRK	Merck Company Sell-off Trend	Pair Corr
0.77	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.66	BA	Boeing	Pair Corr
0.64	JNJ	Johnson Johnson Earnings Call This Week	Pair Corr
0.73	DD	Dupont De Nemours	Pair Corr
0.72	AXP	American Express	Pair Corr
0.81	BAC	Bank of America	Pair Corr

Moving against Dimensional Etf

0.71	T	ATT Inc	Pair Corr
0.63	PG	Procter Gamble Earnings Call This Week	Pair Corr
0.55	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	DIA	VBK	VSGIX	SCHB	IVE	XLV	DFUS	VGHAX	IWR	SMH
DIA		0.81	0.81	0.89	0.98	0.7	0.66	0.78	0.89	0.87	DIA
VBK	0.81		1.0	0.75	0.83	0.36	0.85	0.49	0.97	0.88	VBK
VSGIX	0.81	1.0		0.75	0.83	0.36	0.85	0.49	0.97	0.87	VSGIX
SCHB	0.89	0.75	0.75		0.86	0.5	0.65	0.59	0.78	0.86	SCHB
IVE	0.98	0.83	0.83	0.86		0.74	0.65	0.81	0.92	0.85	IVE
XLV	0.7	0.36	0.36	0.5	0.74		0.22	0.98	0.51	0.45	XLV
DFUS	0.66	0.85	0.85	0.65	0.65	0.22		0.37	0.79	0.73	DFUS
VGHAX	0.78	0.49	0.49	0.59	0.81	0.98	0.37		0.62	0.57	VGHAX
IWR	0.89	0.97	0.97	0.78	0.92	0.51	0.79	0.62		0.85	IWR
SMH	0.87	0.88	0.87	0.86	0.85	0.45	0.73	0.57	0.85		SMH
	DIA	VBK	VSGIX	SCHB	IVE	XLV	DFUS	VGHAX	IWR	SMH

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Dimensional Core Constituents Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional Core ETF 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 Dimensional Core'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
DIA	0.57	0.01	0.01	0.11	0.56	(0.61)	1.18	(0.94)	2.84
VBK	0.94	(0.02)	0.01	0.08	1.08	(1.06)	1.97	(1.96)	5.17
VSGIX	0.98	(0.02)	0.01	0.09	1.07	(1.09)	1.91	(2.03)	5.15
SCHB	0.57	0.06	(0.02)	0.35	0.66	(0.58)	1.19	(1.19)	3.38
IVE	0.50	0.02	(0.01)	0.12	0.42	(0.55)	0.99	(0.95)	2.41
XLV	0.60	0.10	0.08	0.27	0.41	(0.71)	1.97	(1.01)	3.80
DFUS	0.56	(0.01)	(0.04)	0.09	0.71	(0.56)	1.11	(1.18)	3.25
VGHAX	0.59	0.14	0.14	0.40	0.25	(0.71)	1.94	(0.87)	4.14
IWR	0.66	(0.01)	(0.01)	0.09	0.77	(0.65)	1.35	(1.19)	3.05
SMH	1.45	0.11	0.07	0.17	1.81	(1.47)	2.70	(3.61)	8.51

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