Correlation Between Avantis International and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both Avantis International and Dimensional ETF at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Avantis International and Dimensional ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Avantis International Small and Dimensional ETF Trust, you can compare the effects of market volatilities on Avantis International and Dimensional ETF and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Avantis International with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Avantis International and Dimensional ETF.
Diversification Opportunities for Avantis International and Dimensional ETF
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Avantis and Dimensional is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Avantis International Small and Dimensional ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional ETF Trust and Avantis International is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Avantis International Small are associated (or correlated) with Dimensional ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional ETF Trust has no effect on the direction of Avantis International i.e., Avantis International and Dimensional ETF go up and down completely randomly.
Pair Corralation between Avantis International and Dimensional ETF
Given the investment horizon of 90 days Avantis International Small is expected to generate 0.94 times more return on investment than Dimensional ETF. However, Avantis International Small is 1.07 times less risky than Dimensional ETF. It trades about -0.05 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about -0.15 per unit of risk. If you would invest 6,744 in Avantis International Small on August 28, 2024 and sell it today you would lose (61.00) from holding Avantis International Small or give up 0.9% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Avantis International Small vs. Dimensional ETF Trust
Performance |
| Timeline |
| Avantis International |
| Dimensional ETF Trust |
Avantis International and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Avantis International and Dimensional ETF
The main advantage of trading using opposite Avantis International and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Avantis International position performs unexpectedly, Dimensional ETF can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Dimensional ETF will offset losses from the drop in Dimensional ETF's long position.The idea behind Avantis International Small and Dimensional ETF Trust pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| Dimensional ETF vs. Schwab Fundamental International | Dimensional ETF vs. Schwab Fundamental Emerging | Dimensional ETF vs. Schwab Fundamental Small | Dimensional ETF vs. Schwab Fundamental Large |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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