Correlation Between Dimensional Targeted and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Dimensional Targeted and SPDR MSCI 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 Targeted and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional Targeted Value and SPDR MSCI ACWI, you can compare the effects of market volatilities on Dimensional Targeted and SPDR MSCI 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 Targeted with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Targeted and SPDR MSCI.
Diversification Opportunities for Dimensional Targeted and SPDR MSCI
-0.27 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Dimensional and SPDR is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Targeted Value and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI and Dimensional Targeted 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 Targeted Value are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI ACWI has no effect on the direction of Dimensional Targeted i.e., Dimensional Targeted and SPDR MSCI go up and down completely randomly.
Pair Corralation between Dimensional Targeted and SPDR MSCI
Given the investment horizon of 90 days Dimensional Targeted Value is expected to generate 1.73 times more return on investment than SPDR MSCI. However, Dimensional Targeted is 1.73 times more volatile than SPDR MSCI ACWI. It trades about 0.17 of its potential returns per unit of risk. SPDR MSCI ACWI is currently generating about -0.18 per unit of risk. If you would invest 5,547 in Dimensional Targeted Value on August 28, 2024 and sell it today you would earn a total of 557.00 from holding Dimensional Targeted Value or generate 10.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.67% |
| Values | Daily Returns |
Dimensional Targeted Value vs. SPDR MSCI ACWI
Performance |
| Timeline |
| Dimensional Targeted |
| SPDR MSCI ACWI |
Dimensional Targeted and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Targeted and SPDR MSCI
The main advantage of trading using opposite Dimensional Targeted and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Targeted position performs unexpectedly, SPDR MSCI 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| Dimensional Targeted vs. Dimensional Small Cap | Dimensional Targeted vs. Dimensional Core Equity | Dimensional Targeted vs. Dimensional International Value | Dimensional Targeted vs. Dimensional Equity ETF |
| SPDR MSCI vs. Dimensional Core Equity | SPDR MSCI vs. Dimensional Emerging Core | SPDR MSCI vs. Dimensional Targeted Value | SPDR MSCI vs. Dimensional Small 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 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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