Correlation Between Vanguard ESG and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both Vanguard 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 Vanguard 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 Vanguard ESG Stock and Dimensional ETF Trust, you can compare the effects of market volatilities on Vanguard 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 Vanguard ESG with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard ESG and Dimensional ETF.
Diversification Opportunities for Vanguard ESG and Dimensional ETF
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and Dimensional is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard ESG Stock 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 Vanguard 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 Vanguard ESG Stock 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 Vanguard ESG i.e., Vanguard ESG and Dimensional ETF go up and down completely randomly.
Pair Corralation between Vanguard ESG and Dimensional ETF
Given the investment horizon of 90 days Vanguard ESG is expected to generate 1.29 times less return on investment than Dimensional ETF. In addition to that, Vanguard ESG is 1.19 times more volatile than Dimensional ETF Trust. It trades about 0.16 of its total potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.24 per unit of volatility. If you would invest 3,442 in Dimensional ETF Trust on November 18, 2024 and sell it today you would earn a total of 106.00 from holding Dimensional ETF Trust or generate 3.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard ESG Stock vs. Dimensional ETF Trust
Performance |
| Timeline |
| Vanguard ESG Stock |
| Dimensional ETF Trust |
Vanguard ESG and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard ESG and Dimensional ETF
The main advantage of trading using opposite Vanguard ESG and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard 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.| Vanguard ESG vs. Vanguard ESG International | Vanguard ESG vs. iShares ESG Aware | Vanguard ESG vs. iShares MSCI USA | Vanguard ESG vs. iShares ESG Aware |
| Dimensional ETF vs. Dimensional International High | Dimensional ETF vs. Dimensional Core Equity | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Dimensional International Core |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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