Correlation Between Dimensional ETF and Listed Funds
Can any of the company-specific risk be diversified away by investing in both Dimensional ETF and Listed Funds 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 Listed Funds 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 Listed Funds Trust, you can compare the effects of market volatilities on Dimensional ETF and Listed Funds 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 Listed Funds. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional ETF and Listed Funds.
Diversification Opportunities for Dimensional ETF and Listed Funds
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Dimensional and Listed is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and Listed Funds Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Listed Funds Trust 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 Listed Funds. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Listed Funds Trust has no effect on the direction of Dimensional ETF i.e., Dimensional ETF and Listed Funds go up and down completely randomly.
Pair Corralation between Dimensional ETF and Listed Funds
Given the investment horizon of 90 days Dimensional ETF is expected to generate 1.64 times less return on investment than Listed Funds. In addition to that, Dimensional ETF is 1.08 times more volatile than Listed Funds Trust. It trades about 0.04 of its total potential returns per unit of risk. Listed Funds Trust is currently generating about 0.08 per unit of volatility. If you would invest 2,228 in Listed Funds Trust on August 28, 2024 and sell it today you would earn a total of 9.00 from holding Listed Funds Trust or generate 0.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional ETF Trust vs. Listed Funds Trust
Performance |
| Timeline |
| Dimensional ETF Trust |
| Listed Funds Trust |
Dimensional ETF and Listed Funds Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional ETF and Listed Funds
The main advantage of trading using opposite Dimensional ETF and Listed Funds positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional ETF position performs unexpectedly, Listed Funds 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 Listed Funds will offset losses from the drop in Listed Funds' long position.| Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional Core Equity |
| Listed Funds vs. Dimensional ETF Trust | Listed Funds vs. Dimensional ETF Trust | Listed Funds vs. Dimensional Core Equity | Listed Funds vs. Dimensional ETF Trust |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |