Dimensional Small Correlations

DFAS Etf

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The current 90-days correlation between Dimensional Small Cap and Dimensional Targeted Value is 0.97 (i.e., Almost no diversification). The correlation of Dimensional Small 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.

Dimensional Small Correlation With Market

Very poor diversification

The correlation between Dimensional Small Cap and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Dimensional Etf

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Dimensional Small Cap. 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

0.97	VB	Vanguard Small Cap	Pair Corr
0.99	IJR	iShares Core SP Sell-off Trend	Pair Corr
0.93	IWM	iShares Russell 2000	Pair Corr
0.93	VRTIX	Vanguard Russell 2000	Pair Corr
0.93	VTWO	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.99	SPSM	SPDR Portfolio SP Sell-off Trend	Pair Corr
0.99	VIOO	Vanguard SP Small	Pair Corr
0.98	PRFZ	Invesco FTSE RAFI	Pair Corr
0.79	VTI	Vanguard Total Stock Sell-off Trend	Pair Corr
0.74	SPY	SPDR SP 500 Sell-off Trend	Pair Corr
0.74	IVV	iShares Core SP Sell-off Trend	Pair Corr
0.79	TOT	Advisor Managed Port	Pair Corr
0.92	VTV	Vanguard Value Index Sell-off Trend	Pair Corr
0.79	VO	Vanguard Mid Cap	Pair Corr
0.74	SLX	VanEck Steel ETF	Pair Corr
0.82	ITDJ	iShares Trust	Pair Corr
0.87	SAWS	AAM Sawgrass Small	Pair Corr
0.77	CPER	United States Copper Buyout Trend	Pair Corr
0.74	ZJAN	Innovator Equity Defined	Pair Corr
0.82	DFAX	Dimensional World	Pair Corr
0.65	MYCI	SPDR SSGA My2029	Pair Corr
0.73	GBUG	Sprott Active Gold	Pair Corr
0.76	EASG	Xtrackers MSCI EAFE	Pair Corr
0.78	QLC	FlexShares Quality Large	Pair Corr
0.91	SIXS	6 Meridian Small	Pair Corr
0.64	BATT	Amplify Lithium Battery	Pair Corr
0.98	FSMD	Fidelity Small Mid	Pair Corr
0.78	SIL	Global X Silver	Pair Corr
0.74	VOO	Vanguard SP 500	Pair Corr

Related Correlations Analysis

	DFAT	DFUV	DFAI	VPADX	DFIC	VPL	HDV	SCHE	NOBL	AVDV
DFAT		0.92	0.84	0.37	0.86	0.5	0.59	-0.09	0.89	0.88	DFAT
DFUV	0.92		0.97	0.55	0.98	0.72	0.53	0.04	0.89	0.97	DFUV
DFAI	0.84	0.97		0.62	1.0	0.8	0.47	0.17	0.84	0.97	DFAI
VPADX	0.37	0.55	0.62		0.58	0.91	-0.06	0.59	0.33	0.5	VPADX
DFIC	0.86	0.98	1.0	0.58		0.76	0.49	0.1	0.86	0.98	DFIC
VPL	0.5	0.72	0.8	0.91	0.76		0.02	0.56	0.46	0.69	VPL
HDV	0.59	0.53	0.47	-0.06	0.49	0.02		-0.26	0.8	0.54	HDV
SCHE	-0.09	0.04	0.17	0.59	0.1	0.56	-0.26		-0.14	0.02	SCHE
NOBL	0.89	0.89	0.84	0.33	0.86	0.46	0.8	-0.14		0.87	NOBL
AVDV	0.88	0.97	0.97	0.5	0.98	0.69	0.54	0.02	0.87		AVDV
	DFAT	DFUV	DFAI	VPADX	DFIC	VPL	HDV	SCHE	NOBL	AVDV

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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

DFIC	+ 1.0	DFAI
DFIC	+ 0.98	DFUV
AVDV	+ 0.98	DFIC
DFAI	+ 0.97	DFUV
AVDV	+ 0.97	DFUV
AVDV	+ 0.97	DFAI

High negative correlations

SCHE	- 0.26	HDV
NOBL	- 0.14	SCHE
SCHE	- 0.09	DFAT
HDV	- 0.06	VPADX

Dimensional Small Constituents Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional Small 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 Small'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
DFAT	0.75	(0.03)	(0.02)	0.05	0.98	(0.75)	1.74	(1.33)	4.32
DFUV	0.59	0.01	0.01	0.09	0.69	(0.59)	1.25	(1.19)	3.36
DFAI	0.54	0.04	0.03	0.12	0.60	(0.56)	1.07	(1.04)	2.59
VPADX	0.72	(0.02)	(0.02)	0.05	1.08	(0.67)	1.64	(1.69)	4.79
DFIC	0.54	0.04	0.03	0.13	0.56	(0.57)	1.07	(1.12)	2.54
VPL	0.68	0.02	0.01	0.09	1.02	(0.64)	1.43	(1.42)	4.67
HDV	0.47	(0.02)	(0.12)	0.03	0.52	(0.49)	1.02	(0.82)	2.75
SCHE	0.62	(0.03)	(0.06)	0.03	0.87	(0.67)	1.17	(1.13)	4.39
NOBL	0.52	0.00	(0.05)	0.07	0.58	(0.54)	1.15	(0.91)	3.16
AVDV	0.61	0.06	0.05	0.16	0.70	(0.63)	1.31	(1.20)	3.24

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