Correlation Between Dimensional Core and Vanguard Russell
Can any of the company-specific risk be diversified away by investing in both Dimensional Core and Vanguard Russell 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 Vanguard Russell 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 Vanguard Russell 3000, you can compare the effects of market volatilities on Dimensional Core and Vanguard Russell 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 Vanguard Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Core and Vanguard Russell.
Diversification Opportunities for Dimensional Core and Vanguard Russell
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Dimensional and Vanguard is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Core Equity and Vanguard Russell 3000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Russell 3000 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 Vanguard Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Russell 3000 has no effect on the direction of Dimensional Core i.e., Dimensional Core and Vanguard Russell go up and down completely randomly.
Pair Corralation between Dimensional Core and Vanguard Russell
Given the investment horizon of 90 days Dimensional Core is expected to generate 1.13 times less return on investment than Vanguard Russell. In addition to that, Dimensional Core is 1.01 times more volatile than Vanguard Russell 3000. It trades about 0.1 of its total potential returns per unit of risk. Vanguard Russell 3000 is currently generating about 0.11 per unit of volatility. If you would invest 34,503 in Vanguard Russell 3000 on November 27, 2024 and sell it today you would earn a total of 16,591 from holding Vanguard Russell 3000 or generate 48.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional Core Equity vs. Vanguard Russell 3000
Performance |
| Timeline |
| Dimensional Core Equity |
| Vanguard Russell 3000 |
Dimensional Core and Vanguard Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Core and Vanguard Russell
The main advantage of trading using opposite Dimensional Core and Vanguard Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Core position performs unexpectedly, Vanguard Russell 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 Vanguard Russell will offset losses from the drop in Vanguard Russell'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 |
| Vanguard Russell vs. Vanguard FTSE Canadian | Vanguard Russell vs. Vanguard Funds Public | Vanguard Russell vs. Vanguard Funds Public | Vanguard Russell vs. Vanguard Funds Public |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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