Correlation Between SPDR MSCI and Dimensional Core
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Dimensional Core 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 SPDR MSCI and Dimensional Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI EAFE and Dimensional Core Equity, you can compare the effects of market volatilities on SPDR MSCI and Dimensional Core 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 SPDR MSCI with a short position of Dimensional Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Dimensional Core.
Diversification Opportunities for SPDR MSCI and Dimensional Core
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between SPDR and Dimensional is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI EAFE and Dimensional Core Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Core Equity and SPDR MSCI 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 SPDR MSCI EAFE are associated (or correlated) with Dimensional Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Core Equity has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Dimensional Core go up and down completely randomly.
Pair Corralation between SPDR MSCI and Dimensional Core
Given the investment horizon of 90 days SPDR MSCI EAFE is expected to under-perform the Dimensional Core. In addition to that, SPDR MSCI is 1.02 times more volatile than Dimensional Core Equity. It trades about -0.02 of its total potential returns per unit of risk. Dimensional Core Equity is currently generating about 0.39 per unit of volatility. If you would invest 3,938 in Dimensional Core Equity on September 1, 2024 and sell it today you would earn a total of 267.00 from holding Dimensional Core Equity or generate 6.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI EAFE vs. Dimensional Core Equity
Performance |
| Timeline |
| SPDR MSCI EAFE |
| Dimensional Core Equity |
SPDR MSCI and Dimensional Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Dimensional Core
The main advantage of trading using opposite SPDR MSCI and Dimensional Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Dimensional Core 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 Core will offset losses from the drop in Dimensional Core's long position.| SPDR MSCI vs. iShares ESG Aggregate | SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. Aquagold International | SPDR MSCI vs. Thrivent High Yield |
| Dimensional Core vs. Vanguard Total Stock | Dimensional Core vs. SPDR SP 500 | Dimensional Core vs. iShares Core SP | Dimensional Core vs. Vanguard Dividend Appreciation |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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