Correlation Between IShares Core and Dimensional World
Can any of the company-specific risk be diversified away by investing in both IShares Core 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 Core 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 Core MSCI and Dimensional World ex, you can compare the effects of market volatilities on IShares Core 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 Core with a short position of Dimensional World. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and Dimensional World.
Diversification Opportunities for IShares Core and Dimensional World
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Dimensional is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI 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 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 MSCI 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 Core i.e., IShares Core and Dimensional World go up and down completely randomly.
Pair Corralation between IShares Core and Dimensional World
Given the investment horizon of 90 days iShares Core MSCI is expected to under-perform the Dimensional World. In addition to that, IShares Core is 1.06 times more volatile than Dimensional World ex. It trades about -0.13 of its total potential returns per unit of risk. Dimensional World ex is currently generating about -0.07 per unit of volatility. If you would invest 2,542 in Dimensional World ex on January 30, 2024 and sell it today you would lose (27.00) from holding Dimensional World ex or give up 1.06% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
iShares Core MSCI vs. Dimensional World ex
Performance |
Timeline |
iShares Core MSCI |
Dimensional World |
IShares Core and Dimensional World Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares Core and Dimensional World
The main advantage of trading using opposite IShares Core and Dimensional World positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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 Core vs. Invesco PureBeta MSCI | IShares Core vs. HUMANA INC | IShares Core vs. Aquagold International | IShares Core vs. Barloworld Ltd ADR |
Dimensional World vs. Invesco PureBeta MSCI | Dimensional World vs. HUMANA INC | Dimensional World vs. Aquagold International | Dimensional World vs. Barloworld Ltd ADR |
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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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