Correlation Between IShares Russell and Dimensional ETF
Can any of the company-specific risk be diversified away by investing in both IShares Russell 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 IShares Russell and Dimensional ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Russell 1000 and Dimensional ETF Trust, you can compare the effects of market volatilities on IShares Russell 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 IShares Russell with a short position of Dimensional ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and Dimensional ETF.
Diversification Opportunities for IShares Russell and Dimensional ETF
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Dimensional is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 1000 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 IShares Russell 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 Russell 1000 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 IShares Russell i.e., IShares Russell and Dimensional ETF go up and down completely randomly.
Pair Corralation between IShares Russell and Dimensional ETF
Considering the 90-day investment horizon iShares Russell 1000 is expected to generate 0.59 times more return on investment than Dimensional ETF. However, iShares Russell 1000 is 1.7 times less risky than Dimensional ETF. It trades about 0.04 of its potential returns per unit of risk. Dimensional ETF Trust is currently generating about -0.06 per unit of risk. If you would invest 17,369 in iShares Russell 1000 on March 31, 2024 and sell it today you would earn a total of 78.00 from holding iShares Russell 1000 or generate 0.45% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 95.45% |
Values | Daily Returns |
iShares Russell 1000 vs. Dimensional ETF Trust
Performance |
Timeline |
iShares Russell 1000 |
Dimensional ETF Trust |
IShares Russell and Dimensional ETF Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares Russell and Dimensional ETF
The main advantage of trading using opposite IShares Russell and Dimensional ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Russell 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.IShares Russell vs. SPDR SP 500 | IShares Russell vs. Financial Select Sector | IShares Russell vs. Invesco QQQ Trust | IShares Russell vs. SCOR PK |
Dimensional ETF vs. iShares Russell 2000 | Dimensional ETF vs. iShares Russell 1000 | Dimensional ETF vs. iShares Russell Mid Cap | Dimensional ETF vs. iShares Russell 1000 |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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