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 1 5 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
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Dimensional is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core 1 5 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 1 5 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 is expected to generate 1.32 times less return on investment than Dimensional Global. But when comparing it to its historical volatility, iShares Core 1 5 is 1.84 times less risky than Dimensional Global. It trades about 0.13 of its potential returns per unit of risk. Dimensional Global Core is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 5,008 in Dimensional Global Core on August 27, 2024 and sell it today you would earn a total of 348.00 from holding Dimensional Global Core or generate 6.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core 1 5 vs. Dimensional Global Core
Performance |
| Timeline |
| iShares Core 1 |
| 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. Dimensional ETF Trust | IShares Core vs. Dimensional ETF Trust | IShares Core vs. Dimensional Core Equity | IShares Core vs. Dimensional ETF Trust |
| Dimensional Global vs. Valued Advisers Trust | Dimensional Global vs. Columbia Diversified Fixed | Dimensional Global vs. Principal Exchange Traded Funds | Dimensional Global vs. Doubleline Etf Trust |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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