Correlation Between Dimensional Targeted and IShares ESG
Can any of the company-specific risk be diversified away by investing in both Dimensional Targeted 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 Targeted 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 Targeted Value and iShares ESG Advanced, you can compare the effects of market volatilities on Dimensional Targeted 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 Targeted with a short position of IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Targeted and IShares ESG.
Diversification Opportunities for Dimensional Targeted and IShares ESG
-0.56 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Dimensional and IShares is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Targeted Value and iShares ESG Advanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG Advanced 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 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 Advanced has no effect on the direction of Dimensional Targeted i.e., Dimensional Targeted and IShares ESG go up and down completely randomly.
Pair Corralation between Dimensional Targeted and IShares ESG
Given the investment horizon of 90 days Dimensional Targeted Value is expected to generate 1.43 times more return on investment than IShares ESG. However, Dimensional Targeted is 1.43 times more volatile than iShares ESG Advanced. It trades about 0.06 of its potential returns per unit of risk. iShares ESG Advanced is currently generating about 0.06 per unit of risk. If you would invest 4,425 in Dimensional Targeted Value on August 26, 2024 and sell it today you would earn a total of 1,593 from holding Dimensional Targeted Value or generate 36.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional Targeted Value vs. iShares ESG Advanced
Performance |
| Timeline |
| Dimensional Targeted |
| iShares ESG Advanced |
Dimensional Targeted and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional Targeted and IShares ESG
The main advantage of trading using opposite Dimensional Targeted and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional Targeted 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 Targeted vs. Dimensional Small Cap | Dimensional Targeted vs. Dimensional Core Equity | Dimensional Targeted vs. Dimensional International Value | Dimensional Targeted vs. Dimensional Equity ETF |
| IShares ESG vs. Dimensional Core Equity | IShares ESG vs. Dimensional Emerging Core | IShares ESG vs. Dimensional Targeted Value | IShares ESG 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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