Dimensional ETF Correlations

DFNM Etf

USD 47.93 0.06 0.13%

The current 90-days correlation between Dimensional ETF Trust and Dimensional ETF Trust is 0.17 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Dimensional ETF moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dimensional ETF Trust moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Dimensional ETF Correlation With Market

Modest diversification

The correlation between Dimensional ETF Trust and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Dimensional Etf

0.65	SUB	iShares Short Term	Pair Corr
0.92	SHM	SPDR Nuveen Bloomberg	Pair Corr
0.62	MEAR	iShares Short Maturity	Pair Corr
0.9	FSMB	First Trust Short	Pair Corr
0.89	SMB	VanEck Short Muni	Pair Corr
0.79	TAFI	Ab Tax Aware	Pair Corr
0.68	WTMF	WisdomTree Managed	Pair Corr
0.74	EWC	iShares MSCI Canada	Pair Corr
0.74	BUFS	BUFS	Pair Corr
0.65	EZM	WisdomTree MidCap	Pair Corr
0.69	FSCC	Federated Hermes ETF	Pair Corr
0.82	ICVT	iShares Convertible Bond	Pair Corr
0.7	ITAN	Alpha Architect ETF	Pair Corr
0.67	LCF	Touchstone ETF Trust	Pair Corr
0.69	ETH	Grayscale Ethereum Mini	Pair Corr
0.7	RFDA	RiverFront Dynamic	Pair Corr
0.68	VIOV	Vanguard SP Small	Pair Corr
0.61	ALTY	Global X Alternative	Pair Corr
0.81	AWAY	Amplify ETF Trust	Pair Corr
0.7	NIXT	Research Affiliates	Pair Corr
0.66	IJR	iShares Core SP	Pair Corr
0.7	ISPY	ProShares SP 500	Pair Corr

Moving against Dimensional Etf

0.41

IAUF

IShares

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.62	-0.43	-0.5	0.58	0.77	0.5	0.62	-0.15	-0.63	META
MSFT	0.62		-0.46	-0.23	0.48	0.4	0.6	0.3	-0.01	-0.46	MSFT
UBER	-0.43	-0.46		0.65	-0.3	-0.2	-0.71	-0.25	0.31	0.78	UBER
F	-0.5	-0.23	0.65		0.05	-0.32	-0.17	-0.06	0.09	0.9	F
T	0.58	0.48	-0.3	0.05		0.41	0.67	0.59	-0.17	-0.17	T
A	0.77	0.4	-0.2	-0.32	0.41		0.25	0.72	-0.21	-0.39	A
CRM	0.5	0.6	-0.71	-0.17	0.67	0.25		0.5	-0.29	-0.41	CRM
JPM	0.62	0.3	-0.25	-0.06	0.59	0.72	0.5		-0.55	-0.24	JPM
MRK	-0.15	-0.01	0.31	0.09	-0.17	-0.21	-0.29	-0.55		0.16	MRK
XOM	-0.63	-0.46	0.78	0.9	-0.17	-0.39	-0.41	-0.24	0.16		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

XOM	+ 0.9	F
XOM	+ 0.78	UBER
A	+ 0.77	META
JPM	+ 0.72	A
CRM	+ 0.67	T
F	+ 0.65	UBER

High negative correlations

CRM	- 0.71	UBER
XOM	- 0.63	META
MRK	- 0.55	JPM
F	- 0.5	META
XOM	- 0.46	MSFT
UBER	- 0.46	MSFT

Dimensional ETF Competition Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional ETF 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 ETF'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
META	1.41	0.26	0.13	0.73	1.40	(1.61)	3.43	(2.31)	7.43
MSFT	1.12	(0.03)	0.00	(0.42)	0.00	0.00	2.20	(2.79)	7.31
UBER	1.56	(0.23)	0.00	(3.08)	0.00	0.00	2.67	(5.35)	12.29
F	1.47	(0.18)	0.00	(0.20)	0.00	0.00	2.57	(2.90)	11.21
T	1.00	0.10	0.04	0.30	1.08	(1.12)	1.91	(1.84)	7.94
A	1.20	0.19	0.11	0.48	1.06	(1.46)	2.92	(2.16)	8.06
CRM	1.51	0.34	0.15	2.71	1.42	(1.76)	3.70	(2.88)	14.80
JPM	1.05	0.25	0.15	0.96	1.05	(1.23)	1.92	(1.42)	15.87
MRK	1.03	(0.11)	0.00	(0.43)	0.00	0.00	2.00	(2.13)	5.24
XOM	0.82	(0.16)	0.00	(0.28)	0.00	0.00	1.71	(1.74)	6.06

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