Correlation Between Dimensional Core and DoubleLine Shiller
Can any of the company-specific risk be diversified away by investing in both Dimensional Core and DoubleLine Shiller 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 Dimensional Core and DoubleLine Shiller into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional Core Equity and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on Dimensional Core and DoubleLine Shiller 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 Dimensional Core with a short position of DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Core and DoubleLine Shiller.
Diversification Opportunities for Dimensional Core and DoubleLine Shiller
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Dimensional and DoubleLine is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Core Equity and DoubleLine Shiller CAPE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DoubleLine Shiller CAPE and Dimensional Core 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 Dimensional Core Equity are associated (or correlated) with DoubleLine Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DoubleLine Shiller CAPE has no effect on the direction of Dimensional Core i.e., Dimensional Core and DoubleLine Shiller go up and down completely randomly.
Pair Corralation between Dimensional Core and DoubleLine Shiller
Given the investment horizon of 90 days Dimensional Core Equity is expected to generate 1.05 times more return on investment than DoubleLine Shiller. However, Dimensional Core is 1.05 times more volatile than DoubleLine Shiller CAPE. It trades about 0.11 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about 0.1 per unit of risk. If you would invest 2,625 in Dimensional Core Equity on September 12, 2024 and sell it today you would earn a total of 980.00 from holding Dimensional Core Equity or generate 37.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional Core Equity vs. DoubleLine Shiller CAPE
Performance |
| Timeline |
| Dimensional Core Equity |
| DoubleLine Shiller CAPE |
Dimensional Core and DoubleLine Shiller Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Core and DoubleLine Shiller
The main advantage of trading using opposite Dimensional Core and DoubleLine Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Core position performs unexpectedly, DoubleLine Shiller 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 DoubleLine Shiller will offset losses from the drop in DoubleLine Shiller's long position.| Dimensional Core vs. Dimensional Targeted Value | Dimensional Core vs. Dimensional World ex | Dimensional Core vs. Dimensional Small Cap | Dimensional Core vs. Dimensional Core Equity |
| DoubleLine Shiller vs. FT Vest Equity | DoubleLine Shiller vs. Zillow Group Class | DoubleLine Shiller vs. Northern Lights | DoubleLine Shiller vs. VanEck Vectors Moodys |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
Other Complementary Tools
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios |