Correlation Between IShares Core and Dimensional Global
Can any of the company-specific risk be diversified away by investing in both IShares Core and Dimensional Global 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 Core and Dimensional Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core 10 and Dimensional Global Core, you can compare the effects of market volatilities on IShares Core and Dimensional Global 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 Core with a short position of Dimensional Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and Dimensional Global.
Diversification Opportunities for IShares Core and Dimensional Global
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Dimensional is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core 10 and Dimensional Global Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Global Core and IShares Core 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 Core 10 are associated (or correlated) with Dimensional Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Global Core has no effect on the direction of IShares Core i.e., IShares Core and Dimensional Global go up and down completely randomly.
Pair Corralation between IShares Core and Dimensional Global
Given the investment horizon of 90 days iShares Core 10 is expected to under-perform the Dimensional Global. In addition to that, IShares Core is 2.29 times more volatile than Dimensional Global Core. It trades about -0.12 of its total potential returns per unit of risk. Dimensional Global Core is currently generating about -0.11 per unit of volatility. If you would invest 5,453 in Dimensional Global Core on August 23, 2024 and sell it today you would lose (107.00) from holding Dimensional Global Core or give up 1.96% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core 10 vs. Dimensional Global Core
Performance |
| Timeline |
| iShares Core 10 |
| Dimensional Global Core |
IShares Core and Dimensional Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and Dimensional Global
The main advantage of trading using opposite IShares Core and Dimensional Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, Dimensional Global 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 Global will offset losses from the drop in Dimensional Global's long position.| IShares Core vs. iShares Core 1 5 | IShares Core vs. iShares Agency Bond | IShares Core vs. iShares Intermediate GovernmentCredit | IShares Core vs. iShares GNMA Bond |
| Dimensional Global vs. iShares Core Total | Dimensional Global vs. iShares Core 1 5 | Dimensional Global vs. iShares Core 10 | Dimensional Global vs. iShares Core MSCI |
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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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