Correlation Between Dimensional International and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both Dimensional 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 Dimensional 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 Dimensional International Core and Dimensional ETF Trust, you can compare the effects of market volatilities on Dimensional 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 Dimensional International with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and Dimensional ETF.
Diversification Opportunities for Dimensional International and Dimensional ETF
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Dimensional and Dimensional is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International Core 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 Dimensional 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 Dimensional International Core 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 Dimensional International i.e., Dimensional International and Dimensional ETF go up and down completely randomly.
Pair Corralation between Dimensional International and Dimensional ETF
Given the investment horizon of 90 days Dimensional International Core is expected to under-perform the Dimensional ETF. In addition to that, Dimensional International is 5.9 times more volatile than Dimensional ETF Trust. It trades about -0.11 of its total potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.15 per unit of volatility. If you would invest 4,708 in Dimensional ETF Trust on August 30, 2024 and sell it today you would earn a total of 20.00 from holding Dimensional ETF Trust or generate 0.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional International Core vs. Dimensional ETF Trust
Performance |
| Timeline |
| Dimensional International |
| Dimensional ETF Trust |
Dimensional International and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional International and Dimensional ETF
The main advantage of trading using opposite Dimensional International and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional 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.| Dimensional International vs. ABIVAX Socit Anonyme | Dimensional International vs. HUMANA INC | Dimensional International vs. SCOR PK | Dimensional International vs. Aquagold International |
| Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional Core Equity | Dimensional ETF vs. Dimensional ETF Trust |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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