Correlation Between IShares ESG and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both IShares ESG and Dimensional ETF 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 IShares ESG and Dimensional ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ESG Aggregate and Dimensional ETF Trust, you can compare the effects of market volatilities on IShares ESG and Dimensional ETF 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 IShares ESG with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ESG and Dimensional ETF.
Diversification Opportunities for IShares ESG and Dimensional ETF
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and Dimensional is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aggregate and Dimensional ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional ETF Trust and IShares ESG 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 iShares ESG Aggregate are associated (or correlated) with Dimensional ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional ETF Trust has no effect on the direction of IShares ESG i.e., IShares ESG and Dimensional ETF go up and down completely randomly.
Pair Corralation between IShares ESG and Dimensional ETF
Given the investment horizon of 90 days iShares ESG Aggregate is expected to generate 1.08 times more return on investment than Dimensional ETF. However, IShares ESG is 1.08 times more volatile than Dimensional ETF Trust. It trades about 0.05 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.06 per unit of risk. If you would invest 4,536 in iShares ESG Aggregate on August 23, 2024 and sell it today you would earn a total of 152.00 from holding iShares ESG Aggregate or generate 3.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ESG Aggregate vs. Dimensional ETF Trust
Performance |
| Timeline |
| iShares ESG Aggregate |
| Dimensional ETF Trust |
IShares ESG and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ESG and Dimensional ETF
The main advantage of trading using opposite IShares ESG and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ESG position performs unexpectedly, Dimensional ETF 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 Dimensional ETF will offset losses from the drop in Dimensional ETF's long position.| IShares ESG vs. iShares ESG 1 5 | IShares ESG vs. iShares ESG USD | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG Aware |
| Dimensional ETF vs. Hartford Short Duration | Dimensional ETF vs. American Century Diversified | Dimensional ETF vs. First Trust Short | Dimensional ETF vs. HUMANA INC |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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