Correlation Between Dimensional International and Litman Gregory
Can any of the company-specific risk be diversified away by investing in both Dimensional International and Litman Gregory 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 Litman Gregory 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 Litman Gregory Funds, you can compare the effects of market volatilities on Dimensional International and Litman Gregory 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 Litman Gregory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and Litman Gregory.
Diversification Opportunities for Dimensional International and Litman Gregory
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dimensional and Litman is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and Litman Gregory Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Litman Gregory Funds 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 Litman Gregory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Litman Gregory Funds has no effect on the direction of Dimensional International i.e., Dimensional International and Litman Gregory go up and down completely randomly.
Pair Corralation between Dimensional International and Litman Gregory
Given the investment horizon of 90 days Dimensional International High is expected to generate 0.91 times more return on investment than Litman Gregory. However, Dimensional International High is 1.1 times less risky than Litman Gregory. It trades about 0.04 of its potential returns per unit of risk. Litman Gregory Funds is currently generating about -0.02 per unit of risk. If you would invest 2,372 in Dimensional International High on September 12, 2024 and sell it today you would earn a total of 259.00 from holding Dimensional International High or generate 10.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 50.4% |
| Values | Daily Returns |
Dimensional International High vs. Litman Gregory Funds
Performance |
| Timeline |
| Dimensional International |
| Litman Gregory Funds |
Dimensional International and Litman Gregory Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional International and Litman Gregory
The main advantage of trading using opposite Dimensional International and Litman Gregory positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional International position performs unexpectedly, Litman Gregory 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 Litman Gregory will offset losses from the drop in Litman Gregory's long position.| Dimensional International vs. iShares MSCI Intl | Dimensional International vs. iShares MSCI Intl | Dimensional International vs. iShares Currency Hedged | Dimensional International vs. iShares Edge MSCI |
| Litman Gregory vs. FT Vest Equity | Litman Gregory vs. Northern Lights | Litman Gregory vs. Dimensional International High | Litman Gregory 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Other Complementary Tools
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets |