Dimensional Targeted Correlations

DFAT Etf

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The current 90-days correlation between Dimensional Targeted and Dimensional Small Cap is 0.96 (i.e., Almost no diversification). The correlation of Dimensional Targeted 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 Targeted Correlation With Market

Poor diversification

The correlation between Dimensional Targeted Value and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Targeted Value 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 Targeted Value. 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

0.98	VBR	Vanguard Small Cap	Pair Corr
0.94	IWN	iShares Russell 2000	Pair Corr
0.98	IJJ	iShares SP Mid	Pair Corr
0.94	IJS	iShares SP Small	Pair Corr
0.94	SLYV	SPDR SP 600	Pair Corr
0.99	AVUV	Avantis Small Cap	Pair Corr
0.96	DES	WisdomTree SmallCap	Pair Corr
0.98	MDYV	SPDR SP 400	Pair Corr
0.95	CALF	Pacer Small Cap	Pair Corr
0.62	TOT	Advisor Managed Port	Pair Corr
0.67	SWP	SWP Growth Income	Pair Corr
0.84	DUKH	Ocean Park High	Pair Corr
0.75	IYJ	iShares Industrials ETF	Pair Corr
0.64	KIE	SPDR SP Insurance	Pair Corr
0.63	BAC	Bank of America	Pair Corr
0.78	WMT	Walmart Common Stock	Pair Corr

Moving against Dimensional Etf

0.42	MSFT	Microsoft	Pair Corr
0.4	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	DFAS	DFUV	DFAI	SCHE	VTRIX	VPL	VPADX	HDV	AVDV	VSS
DFAS		0.89	0.83	0.03	-0.08	0.53	0.47	0.49	0.84	0.84	DFAS
DFUV	0.89		0.96	0.02	-0.09	0.68	0.6	0.49	0.96	0.68	DFUV
DFAI	0.83	0.96		0.17	-0.08	0.78	0.69	0.42	0.96	0.71	DFAI
SCHE	0.03	0.02	0.17		0.41	0.57	0.6	-0.28	0.0	0.32	SCHE
VTRIX	-0.08	-0.09	-0.08	0.41		0.18	0.36	-0.03	-0.14	-0.05	VTRIX
VPL	0.53	0.68	0.78	0.57	0.18		0.96	-0.05	0.65	0.5	VPL
VPADX	0.47	0.6	0.69	0.6	0.36	0.96		-0.07	0.56	0.45	VPADX
HDV	0.49	0.49	0.42	-0.28	-0.03	-0.05	-0.07		0.5	0.34	HDV
AVDV	0.84	0.96	0.96	0.0	-0.14	0.65	0.56	0.5		0.68	AVDV
VSS	0.84	0.68	0.71	0.32	-0.05	0.5	0.45	0.34	0.68		VSS
	DFAS	DFUV	DFAI	SCHE	VTRIX	VPL	VPADX	HDV	AVDV	VSS

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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

DFAI	+ 0.96	DFUV
AVDV	+ 0.96	DFUV
AVDV	+ 0.96	DFAI
VPADX	+ 0.96	VPL
DFUV	+ 0.89	DFAS
AVDV	+ 0.84	DFAS

High negative correlations

HDV	- 0.28	SCHE
AVDV	- 0.14	VTRIX
VTRIX	- 0.09	DFUV
VTRIX	- 0.08	DFAI
VTRIX	- 0.08	DFAS
HDV	- 0.07	VPADX

Dimensional Targeted Constituents Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional Targeted 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 Targeted'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
DFAS	0.81	(0.02)	0.00	0.04	1.05	(0.76)	1.96	(1.53)	4.29
DFUV	0.60	0.02	0.02	0.08	0.71	(0.62)	1.25	(1.19)	3.36
DFAI	0.55	0.03	0.03	0.10	0.61	(0.58)	1.07	(1.04)	2.59
SCHE	0.61	(0.04)	(0.06)	0.01	0.88	(0.64)	1.17	(1.13)	4.39
VTRIX	0.86	(0.23)	0.00	(0.15)	0.00	0.00	1.14	(1.56)	17.70
VPL	0.69	0.00	0.00	0.06	1.02	(0.65)	1.43	(1.42)	4.67
VPADX	0.73	(0.04)	(0.04)	0.02	1.16	(0.68)	1.64	(1.69)	4.79
HDV	0.48	(0.01)	(0.09)	0.02	0.54	(0.50)	1.02	(0.82)	2.75
AVDV	0.62	0.07	0.07	0.15	0.71	(0.63)	1.31	(1.20)	3.24
VSS	0.58	(0.02)	(0.04)	0.03	0.75	(0.55)	1.18	(1.16)	2.91

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