Correlation Between Dimensional World and IShares International
Can any of the company-specific risk be diversified away by investing in both Dimensional World and IShares International 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 IShares International 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 iShares International Dividend, you can compare the effects of market volatilities on Dimensional World and IShares International 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 IShares International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional World and IShares International.
Diversification Opportunities for Dimensional World and IShares International
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Dimensional and IShares is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World ex and iShares International Dividend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares International 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 IShares International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares International has no effect on the direction of Dimensional World i.e., Dimensional World and IShares International go up and down completely randomly.
Pair Corralation between Dimensional World and IShares International
Given the investment horizon of 90 days Dimensional World ex is expected to under-perform the IShares International. In addition to that, Dimensional World is 1.03 times more volatile than iShares International Dividend. It trades about -0.01 of its total potential returns per unit of risk. iShares International Dividend is currently generating about 0.01 per unit of volatility. If you would invest 7,114 in iShares International Dividend on September 2, 2024 and sell it today you would earn a total of 9.00 from holding iShares International Dividend or generate 0.13% 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. iShares International Dividend
Performance |
| Timeline |
| Dimensional World |
| iShares International |
Dimensional World and IShares International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional World and IShares International
The main advantage of trading using opposite Dimensional World and IShares International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional World position performs unexpectedly, IShares International 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 International will offset losses from the drop in IShares International'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 |
| IShares International vs. iShares MSCI Intl | IShares International vs. iShares MSCI Intl | IShares International vs. iShares MSCI Intl | IShares International vs. iShares Currency Hedged |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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