Correlation Between Dimensional World and ProShares MSCI
Can any of the company-specific risk be diversified away by investing in both Dimensional World and ProShares 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 World and ProShares MSCI 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 ProShares MSCI EAFE, you can compare the effects of market volatilities on Dimensional World and ProShares 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 World with a short position of ProShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional World and ProShares MSCI.
Diversification Opportunities for Dimensional World and ProShares MSCI
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Dimensional and ProShares is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World ex and ProShares MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares MSCI EAFE 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 ProShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares MSCI EAFE has no effect on the direction of Dimensional World i.e., Dimensional World and ProShares MSCI go up and down completely randomly.
Pair Corralation between Dimensional World and ProShares MSCI
Given the investment horizon of 90 days Dimensional World ex is expected to generate 1.07 times more return on investment than ProShares MSCI. However, Dimensional World is 1.07 times more volatile than ProShares MSCI EAFE. It trades about 0.04 of its potential returns per unit of risk. ProShares MSCI EAFE is currently generating about -0.03 per unit of risk. If you would invest 2,542 in Dimensional World ex on December 10, 2024 and sell it today you would earn a total of 88.00 from holding Dimensional World ex or generate 3.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional World ex vs. ProShares MSCI EAFE
Performance |
| Timeline |
| Dimensional World |
| ProShares MSCI EAFE |
Dimensional World and ProShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional World and ProShares MSCI
The main advantage of trading using opposite Dimensional World and ProShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional World position performs unexpectedly, ProShares 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 ProShares MSCI will offset losses from the drop in ProShares MSCI's long position.| Dimensional World vs. Dimensional Core Equity | ||
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| ProShares MSCI vs. ProShares MSCI Europe | ||
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| ProShares MSCI vs. ProShares SP MidCap |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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