Correlation Between IShares ESG and Dimensional World
Can any of the company-specific risk be diversified away by investing in both IShares ESG and Dimensional World 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 ESG and Dimensional World into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ESG Advanced and Dimensional World ex, you can compare the effects of market volatilities on IShares ESG and Dimensional World 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 ESG with a short position of Dimensional World. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ESG and Dimensional World.
Diversification Opportunities for IShares ESG and Dimensional World
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between IShares and Dimensional is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Advanced and Dimensional World ex in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional World and IShares ESG 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 ESG Advanced are associated (or correlated) with Dimensional World. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional World has no effect on the direction of IShares ESG i.e., IShares ESG and Dimensional World go up and down completely randomly.
Pair Corralation between IShares ESG and Dimensional World
Given the investment horizon of 90 days iShares ESG Advanced is expected to generate 1.16 times more return on investment than Dimensional World. However, IShares ESG is 1.16 times more volatile than Dimensional World ex. It trades about 0.16 of its potential returns per unit of risk. Dimensional World ex is currently generating about -0.12 per unit of risk. If you would invest 5,015 in iShares ESG Advanced on August 24, 2024 and sell it today you would earn a total of 172.00 from holding iShares ESG Advanced or generate 3.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ESG Advanced vs. Dimensional World ex
Performance |
| Timeline |
| iShares ESG Advanced |
| Dimensional World |
IShares ESG and Dimensional World Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ESG and Dimensional World
The main advantage of trading using opposite IShares ESG and Dimensional World positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ESG position performs unexpectedly, Dimensional World 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 World will offset losses from the drop in Dimensional World's long position.| IShares ESG vs. iShares ESG Advanced | IShares ESG vs. iShares ESG MSCI | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG USD |
| Dimensional World vs. Dimensional Core Equity | Dimensional World vs. Dimensional Emerging Core | Dimensional World vs. Dimensional Targeted Value | Dimensional World vs. Dimensional Small Cap |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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