Correlation Between NYSE Composite and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both NYSE Composite 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 NYSE Composite and Dimensional ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Dimensional ETF Trust, you can compare the effects of market volatilities on NYSE Composite 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 NYSE Composite with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Dimensional ETF.
Diversification Opportunities for NYSE Composite and Dimensional ETF
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between NYSE and Dimensional is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite 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 NYSE Composite 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 NYSE Composite 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 NYSE Composite i.e., NYSE Composite and Dimensional ETF go up and down completely randomly.
Pair Corralation between NYSE Composite and Dimensional ETF
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.04 times less return on investment than Dimensional ETF. But when comparing it to its historical volatility, NYSE Composite is 1.15 times less risky than Dimensional ETF. It trades about 0.32 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 3,067 in Dimensional ETF Trust on November 3, 2024 and sell it today you would earn a total of 143.00 from holding Dimensional ETF Trust or generate 4.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.24% |
| Values | Daily Returns |
NYSE Composite vs. Dimensional ETF Trust
Performance |
| Timeline |
NYSE Composite and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Dimensional ETF Trust
Pair trading matchups for Dimensional ETF
Pair Trading with NYSE Composite and Dimensional ETF
The main advantage of trading using opposite NYSE Composite and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite 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.| NYSE Composite vs. Arrow Electronics | NYSE Composite vs. Cirmaker Technology | NYSE Composite vs. Zhihu Inc ADR | NYSE Composite vs. Weibo Corp |
| Dimensional ETF vs. JPMorgan Fundamental Data | Dimensional ETF vs. Davis Select International | Dimensional ETF vs. Dimensional ETF Trust | Dimensional ETF vs. Principal Value ETF |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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