Correlation Between Dimensional ETF and ETF Series
Can any of the company-specific risk be diversified away by investing in both Dimensional ETF and ETF Series 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 ETF and ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional ETF Trust and ETF Series Solutions, you can compare the effects of market volatilities on Dimensional ETF and ETF Series 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 ETF with a short position of ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional ETF and ETF Series.
Diversification Opportunities for Dimensional ETF and ETF Series
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Dimensional and ETF is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions and Dimensional ETF 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 ETF Trust are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of Dimensional ETF i.e., Dimensional ETF and ETF Series go up and down completely randomly.
Pair Corralation between Dimensional ETF and ETF Series
Given the investment horizon of 90 days Dimensional ETF Trust is expected to under-perform the ETF Series. In addition to that, Dimensional ETF is 1.66 times more volatile than ETF Series Solutions. It trades about -0.05 of its total potential returns per unit of risk. ETF Series Solutions is currently generating about 0.03 per unit of volatility. If you would invest 2,274 in ETF Series Solutions on January 17, 2025 and sell it today you would earn a total of 5.00 from holding ETF Series Solutions or generate 0.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
Dimensional ETF Trust vs. ETF Series Solutions
Performance |
| Timeline |
| Dimensional ETF Trust |
| ETF Series Solutions |
Dimensional ETF and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional ETF and ETF Series
The main advantage of trading using opposite Dimensional ETF and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional ETF position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional Core Equity | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional Emerging Core |
| ETF Series vs. Strategy Shares | ETF Series vs. Freedom Day Dividend | ETF Series vs. Franklin Templeton ETF | ETF Series vs. iShares MSCI China |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Other Complementary Tools
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |