Correlation Between Dimensional ETF and IShares SP
Can any of the company-specific risk be diversified away by investing in both Dimensional ETF 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 ETF 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 ETF Trust and iShares SP Mid Cap, you can compare the effects of market volatilities on Dimensional ETF 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 ETF with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional ETF and IShares SP.
Diversification Opportunities for Dimensional ETF and IShares SP
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Dimensional and IShares is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust 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 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 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 ETF i.e., Dimensional ETF and IShares SP go up and down completely randomly.
Pair Corralation between Dimensional ETF and IShares SP
Given the investment horizon of 90 days Dimensional ETF is expected to generate 1.1 times less return on investment than IShares SP. But when comparing it to its historical volatility, Dimensional ETF Trust is 1.25 times less risky than IShares SP. It trades about 0.26 of its potential returns per unit of risk. iShares SP Mid Cap is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 9,106 in iShares SP Mid Cap on November 2, 2024 and sell it today you would earn a total of 395.00 from holding iShares SP Mid Cap or generate 4.34% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional ETF Trust vs. iShares SP Mid Cap
Performance |
| Timeline |
| Dimensional ETF Trust |
| iShares SP Mid |
Dimensional ETF and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional ETF and IShares SP
The main advantage of trading using opposite Dimensional ETF and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional ETF 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.| Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional International Value | Dimensional ETF vs. Dimensional Targeted Value |
| IShares SP vs. JPMorgan Fundamental Data | IShares SP vs. Vanguard Mid Cap Index | IShares SP vs. SPDR SP 400 | IShares SP vs. SPDR SP 400 |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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