Dimensional Small Correlations

Etfs . USA . 
Etf . Dimensional Small Cap
DFAS Etf  USD 75.08  0.91  1.20%   
The current 90-days correlation between Dimensional Small Cap and Avantis International Small is 0.55 (i.e., Very weak 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

Almost no diversification

The correlation between Dimensional Small Cap and DJI is 0.93 (i.e., Almost no 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

  0.99VB Vanguard Small CapPairCorr
  1.0IJR iShares Core SPPairCorr
  0.96IWM iShares Russell 2000PairCorr
  0.96VRTIX Vanguard Russell 2000PairCorr
  0.97VTWO Vanguard Russell 2000PairCorr
  1.0FNDA Schwab Fundamental SmallPairCorr
  1.0SPSM SPDR Portfolio SPPairCorr
  1.0VIOO Vanguard SP SmallPairCorr
  0.96PRFZ Invesco FTSE RAFIPairCorr
  0.9OIH VanEck Oil ServicesPairCorr
  0.8WTMF WisdomTree ManagedPairCorr
  0.9EWC iShares MSCI CanadaPairCorr
  0.71TOT Advisor Managed PortPairCorr
  0.62BST BlackRock Science TechPairCorr
  0.65LQIG SPDR MarketAxess InvPairCorr
  0.83ISTB iShares Core 1PairCorr
  0.89HCMAX THE HILLMAN FUNDPairCorr
  0.87URA Global X UraniumPairCorr
  0.74LGCF Themes Cash FlowPairCorr
  0.76IYR iShares Real EstatePairCorr
  0.89TAXT Northern Trust TaxPairCorr
  0.84UAUG Innovator Equity UltraPairCorr
  0.98AVMC American Century ETFPairCorr
  0.98FNK First Trust MidPairCorr
  0.93DFIV Dimensional International Sell-off TrendPairCorr
  0.72IGEB iShares Edge InvestmentPairCorr
  0.97CFA VictoryShares 500PairCorr
  0.94CCNR CoreCommodity NaturalPairCorr
  0.92PID Invesco InternationalPairCorr
  0.93DIA SPDR Dow JonesPairCorr
  0.81GOCT FT Cboe VestPairCorr
  0.81PAUG Innovator Equity PowerPairCorr
  0.97AVUV Avantis Small CapPairCorr
  0.94AHYB American Century ETFPairCorr
  0.74SLV iShares Silver Trust Aggressive PushPairCorr
  0.96DES WisdomTree SmallCapPairCorr
  0.93FEM First Trust EmergingPairCorr

Moving against Dimensional Etf

  0.68ARKW ARK Next GenerationPairCorr
  0.53HUM Humana IncPairCorr
  0.69ENTR EntrepreneurSharesPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DFAT  0.73  0.12  0.14  0.19  0.51 
(0.86)
 2.37 
(1.24)
 5.30 
DFUV  0.58  0.12  0.17  0.22  0.35 
(0.66)
 1.44 
(1.06)
 3.83 
DFAI  0.52  0.19  0.23  0.38  0.25 
(0.62)
 1.30 
(0.96)
 3.13 
VPADX  0.63  0.31  0.35  0.60  0.00 
(0.74)
 1.68 
(1.02)
 3.92 
DFIC  0.52  0.21  0.23  0.44  0.19 
(0.58)
 1.35 
(0.95)
 3.11 
VPL  0.64  0.30  0.32  0.55  0.20 
(0.78)
 1.72 
(1.14)
 4.31 
HDV  0.51  0.20  0.24  1.18  0.00 
(0.60)
 1.34 
(0.71)
 2.37 
SCHE  0.63  0.15  0.09 (5.90) 0.59 
(0.70)
 1.62 
(1.13)
 4.51 
NOBL  0.55  0.11  0.12  0.29  0.40 
(0.64)
 1.34 
(0.91)
 2.69 
AVDV  0.61  0.30  0.31  0.59  0.30 
(0.79)
 1.53 
(0.64)
 4.26 

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