Correlation Between Dimensional ETF and SPDR SP
Can any of the company-specific risk be diversified away by investing in both Dimensional ETF and SPDR 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 ETF and SPDR SP 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 SPDR SP International, you can compare the effects of market volatilities on Dimensional ETF and SPDR 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 ETF with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional ETF and SPDR SP.
Diversification Opportunities for Dimensional ETF and SPDR SP
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dimensional and SPDR is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and SPDR SP International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP International 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP International has no effect on the direction of Dimensional ETF i.e., Dimensional ETF and SPDR SP go up and down completely randomly.
Pair Corralation between Dimensional ETF and SPDR SP
Given the investment horizon of 90 days Dimensional ETF Trust is expected to generate 0.91 times more return on investment than SPDR SP. However, Dimensional ETF Trust is 1.1 times less risky than SPDR SP. It trades about 0.24 of its potential returns per unit of risk. SPDR SP International is currently generating about 0.15 per unit of risk. If you would invest 2,667 in Dimensional ETF Trust on November 4, 2024 and sell it today you would earn a total of 97.00 from holding Dimensional ETF Trust or generate 3.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.0% |
| Values | Daily Returns |
Dimensional ETF Trust vs. SPDR SP International
Performance |
| Timeline |
| Dimensional ETF Trust |
| SPDR SP International |
Dimensional ETF and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional ETF and SPDR SP
The main advantage of trading using opposite Dimensional ETF and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional ETF position performs unexpectedly, SPDR 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional International Value | Dimensional ETF vs. Dimensional Targeted Value |
| SPDR SP vs. JPMorgan Fundamental Data | SPDR SP vs. Davis Select International | SPDR SP vs. Dimensional ETF Trust | SPDR SP vs. Principal Value ETF |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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