Correlation Between Dimensional World and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both Dimensional World 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 World 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 World ex and Dimensional ETF Trust, you can compare the effects of market volatilities on Dimensional World 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 World with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional World and Dimensional ETF.
Diversification Opportunities for Dimensional World and Dimensional ETF
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Dimensional and Dimensional is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World ex 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 World 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 World ex 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 World i.e., Dimensional World and Dimensional ETF go up and down completely randomly.
Pair Corralation between Dimensional World and Dimensional ETF
Given the investment horizon of 90 days Dimensional World ex is expected to generate 2.48 times more return on investment than Dimensional ETF. However, Dimensional World is 2.48 times more volatile than Dimensional ETF Trust. It trades about 0.06 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.07 per unit of risk. If you would invest 2,277 in Dimensional World ex on August 26, 2024 and sell it today you would earn a total of 272.00 from holding Dimensional World ex or generate 11.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional World ex vs. Dimensional ETF Trust
Performance |
| Timeline |
| Dimensional World |
| Dimensional ETF Trust |
Dimensional World and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional World and Dimensional ETF
The main advantage of trading using opposite Dimensional World and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional World 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 World vs. Dimensional Core Equity | Dimensional World vs. Dimensional Targeted Value | Dimensional World vs. Dimensional International Value | Dimensional World vs. Dimensional Small Cap |
| Dimensional ETF vs. iShares MSCI EAFE | Dimensional ETF vs. iShares iBoxx Investment | Dimensional ETF vs. iShares TIPS Bond | Dimensional ETF vs. iShares 1 3 Year |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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