Correlation Between Dfa Commodity and Dfa Short-duration

Can any of the company-specific risk be diversified away by investing in both Dfa Commodity and Dfa Short-duration 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 Dfa Commodity and Dfa Short-duration into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Dfa Commodity Strategy and Dfa Short Duration Real, you can compare the effects of market volatilities on Dfa Commodity and Dfa Short-duration 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 Dfa Commodity with a short position of Dfa Short-duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dfa Commodity and Dfa Short-duration.

Diversification Opportunities for Dfa Commodity and Dfa Short-duration

0.63

Correlation Coefficient

Dfa Commodity  Dfa Short-duration

Poor diversification

The 3 months correlation between Dfa and Dfa is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Commodity Strategy and Dfa Short Duration Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa Short Duration and Dfa Commodity 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 Dfa Commodity Strategy are associated (or correlated) with Dfa Short-duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa Short Duration has no effect on the direction of Dfa Commodity i.e., Dfa Commodity and Dfa Short-duration go up and down completely randomly.

Pair Corralation between Dfa Commodity and Dfa Short-duration

Assuming the 90 days horizon Dfa Commodity Strategy is expected to generate 12.24 times more return on investment than Dfa Short-duration. However, Dfa Commodity is 12.24 times more volatile than Dfa Short Duration Real. It trades about 0.09 of its potential returns per unit of risk. Dfa Short Duration Real is currently generating about 0.29 per unit of risk. If you would invest  455.00  in Dfa Commodity Strategy on April 30, 2025 and sell it today you would earn a total of  18.00  from holding Dfa Commodity Strategy or generate 3.96% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Dfa Commodity Strategy  vs.  Dfa Short Duration Real

Dfa Commodity Strategy

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa Commodity Strategy are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Dfa Commodity is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Dfa Short Duration

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa Short Duration Real are ranked lower than 22 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Dfa Short-duration is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Dfa Commodity and Dfa Short-duration

The main advantage of trading using opposite Dfa Commodity and Dfa Short-duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dfa Commodity position performs unexpectedly, Dfa Short-duration 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 Dfa Short-duration will offset losses from the drop in Dfa Short-duration's long position.

The idea behind Dfa Commodity Strategy and Dfa Short Duration Real pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.