Correlation Between Dimensional Core and IShares ESG
Can any of the company-specific risk be diversified away by investing in both Dimensional Core and IShares ESG 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 IShares ESG 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 iShares ESG Aware, you can compare the effects of market volatilities on Dimensional Core and IShares ESG 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 IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Core and IShares ESG.
Diversification Opportunities for Dimensional Core and IShares ESG
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Dimensional and IShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Core Equity and iShares ESG Aware in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG Aware 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 IShares ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares ESG Aware has no effect on the direction of Dimensional Core i.e., Dimensional Core and IShares ESG go up and down completely randomly.
Pair Corralation between Dimensional Core and IShares ESG
Given the investment horizon of 90 days Dimensional Core Equity is expected to generate 1.1 times more return on investment than IShares ESG. However, Dimensional Core is 1.1 times more volatile than iShares ESG Aware. It trades about 0.22 of its potential returns per unit of risk. iShares ESG Aware is currently generating about 0.17 per unit of risk. If you would invest 3,465 in Dimensional Core Equity on August 30, 2024 and sell it today you would earn a total of 162.00 from holding Dimensional Core Equity or generate 4.68% 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. iShares ESG Aware
Performance |
| Timeline |
| Dimensional Core Equity |
| iShares ESG Aware |
Dimensional Core and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Core and IShares ESG
The main advantage of trading using opposite Dimensional Core and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Core position performs unexpectedly, IShares ESG 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 IShares ESG will offset losses from the drop in IShares ESG'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 |
| IShares ESG vs. JPMorgan BetaBuilders International | IShares ESG vs. JPMorgan Core Plus | IShares ESG vs. JPMorgan BetaBuilders Canada | IShares ESG vs. JPMorgan Emerging Markets |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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