Correlation Between Dimensional ETF and FT Cboe

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Can any of the company-specific risk be diversified away by investing in both Dimensional ETF and FT Cboe 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 FT Cboe 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 FT Cboe Vest, you can compare the effects of market volatilities on Dimensional ETF and FT Cboe 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 FT Cboe. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional ETF and FT Cboe.

Diversification Opportunities for Dimensional ETF and FT Cboe

DimensionalSMAYDiversified AwayDimensionalSMAYDiversified Away100%
0.26
  Correlation Coefficient

Modest diversification

The 3 months correlation between Dimensional and SMAY is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and FT Cboe Vest in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FT Cboe Vest 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 FT Cboe. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FT Cboe Vest has no effect on the direction of Dimensional ETF i.e., Dimensional ETF and FT Cboe go up and down completely randomly.

Pair Corralation between Dimensional ETF and FT Cboe

Given the investment horizon of 90 days Dimensional ETF Trust is expected to generate 1.22 times more return on investment than FT Cboe. However, Dimensional ETF is 1.22 times more volatile than FT Cboe Vest. It trades about 0.28 of its potential returns per unit of risk. FT Cboe Vest is currently generating about -0.25 per unit of risk. If you would invest  2,734  in Dimensional ETF Trust on November 29, 2024 and sell it today you would earn a total of  117.00  from holding Dimensional ETF Trust or generate 4.28% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Dimensional ETF Trust  vs.  FT Cboe Vest

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -20246
JavaScript chart by amCharts 3.21.15DISV SMAY
       Timeline  
Dimensional ETF Trust 

Risk-Adjusted Performance

OK

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Dimensional ETF Trust are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Dimensional ETF is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb2626.52727.52828.52929.5
FT Cboe Vest 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days FT Cboe Vest has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, FT Cboe is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb24.424.624.82525.225.425.625.8

Dimensional ETF and FT Cboe Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-2.27-1.69-1.11-0.530.01020.61.191.792.382.97 0.20.40.60.81.01.2
JavaScript chart by amCharts 3.21.15DISV SMAY
       Returns  

Pair Trading with Dimensional ETF and FT Cboe

The main advantage of trading using opposite Dimensional ETF and FT Cboe positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional ETF position performs unexpectedly, FT Cboe 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 FT Cboe will offset losses from the drop in FT Cboe's long position.
The idea behind Dimensional ETF Trust and FT Cboe Vest 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.
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.

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