Correlation Between Dimensional International and IShares SP
Can any of the company-specific risk be diversified away by investing in both Dimensional International and IShares SP 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 International and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional International High and iShares SP Mid Cap, you can compare the effects of market volatilities on Dimensional International and IShares SP 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 International with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and IShares SP.
Diversification Opportunities for Dimensional International and IShares SP
-0.5 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Dimensional and IShares is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and iShares SP Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Mid and Dimensional International 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 International High are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP Mid has no effect on the direction of Dimensional International i.e., Dimensional International and IShares SP go up and down completely randomly.
Pair Corralation between Dimensional International and IShares SP
Given the investment horizon of 90 days Dimensional International is expected to generate 12.78 times less return on investment than IShares SP. But when comparing it to its historical volatility, Dimensional International High is 1.47 times less risky than IShares SP. It trades about 0.04 of its potential returns per unit of risk. iShares SP Mid Cap is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 9,134 in iShares SP Mid Cap on September 4, 2024 and sell it today you would earn a total of 711.00 from holding iShares SP Mid Cap or generate 7.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional International High vs. iShares SP Mid Cap
Performance |
| Timeline |
| Dimensional International |
| iShares SP Mid |
Dimensional International and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional International and IShares SP
The main advantage of trading using opposite Dimensional International and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional International position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.The idea behind Dimensional International High and iShares SP Mid Cap pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| IShares SP vs. FT Vest Equity | IShares SP vs. Northern Lights | IShares SP vs. Dimensional International High | IShares SP vs. JPMorgan Fundamental Data |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Other Complementary Tools
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Stocks Directory Find actively traded stocks across global markets |