Correlation Between Dimensional Core and IShares SP
Can any of the company-specific risk be diversified away by investing in both Dimensional Core and IShares SP 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 SP 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 SP 100, you can compare the effects of market volatilities on Dimensional Core and IShares SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Core and IShares SP.
Diversification Opportunities for Dimensional Core and IShares SP
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 SP 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 100 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 100 has no effect on the direction of Dimensional Core i.e., Dimensional Core and IShares SP go up and down completely randomly.
Pair Corralation between Dimensional Core and IShares SP
Given the investment horizon of 90 days Dimensional Core Equity is expected to generate 1.05 times more return on investment than IShares SP. However, Dimensional Core is 1.05 times more volatile than iShares SP 100. It trades about 0.17 of its potential returns per unit of risk. iShares SP 100 is currently generating about 0.12 per unit of risk. If you would invest 3,452 in Dimensional Core Equity on August 24, 2024 and sell it today you would earn a total of 130.00 from holding Dimensional Core Equity or generate 3.77% 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 SP 100
Performance |
| Timeline |
| Dimensional Core Equity |
| iShares SP 100 |
Dimensional Core and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Core and IShares SP
The main advantage of trading using opposite Dimensional Core and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Core position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| Dimensional Core vs. Morningstar Unconstrained Allocation | Dimensional Core vs. High Yield Municipal Fund | Dimensional Core vs. Via Renewables | Dimensional Core vs. Knife River |
| IShares SP vs. iShares Russell 1000 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares Russell 3000 | IShares SP vs. iShares SP Mid Cap |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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