Correlation Between Macquarie ETF and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both Macquarie ETF 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 Macquarie ETF and Dimensional ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macquarie ETF Trust and Dimensional ETF Trust, you can compare the effects of market volatilities on Macquarie ETF 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 Macquarie ETF with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macquarie ETF and Dimensional ETF.
Diversification Opportunities for Macquarie ETF and Dimensional ETF
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Macquarie and Dimensional is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Macquarie ETF Trust 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 Macquarie ETF 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 Macquarie ETF Trust 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 Macquarie ETF i.e., Macquarie ETF and Dimensional ETF go up and down completely randomly.
Pair Corralation between Macquarie ETF and Dimensional ETF
Given the investment horizon of 90 days Macquarie ETF is expected to generate 1.11 times less return on investment than Dimensional ETF. But when comparing it to its historical volatility, Macquarie ETF Trust is 4.35 times less risky than Dimensional ETF. It trades about 0.17 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 3,836 in Dimensional ETF Trust on August 26, 2024 and sell it today you would earn a total of 337.00 from holding Dimensional ETF Trust or generate 8.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 50.3% |
| Values | Daily Returns |
Macquarie ETF Trust vs. Dimensional ETF Trust
Performance |
| Timeline |
| Macquarie ETF Trust |
| Dimensional ETF Trust |
Macquarie ETF and Dimensional ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macquarie ETF and Dimensional ETF
The main advantage of trading using opposite Macquarie ETF and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macquarie ETF 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.| Macquarie ETF vs. Dimensional ETF Trust | Macquarie ETF vs. Dimensional ETF Trust | Macquarie ETF vs. Dimensional ETF Trust | Macquarie ETF vs. Dimensional Emerging Core |
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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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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