Dimensional World Correlations

DFAX Etf

USD 32.89 0.08 0.24%

The current 90-days correlation between Dimensional World and Avantis International Equity is 0.96 (i.e., Almost no diversification). The correlation of Dimensional World is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Dimensional World Correlation With Market

Poor diversification

The correlation between Dimensional World ex and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World ex and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Dimensional Etf

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Dimensional World ex. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Dimensional Etf

0.66	VEA	Vanguard FTSE Developed	Pair Corr
0.97	IEFA	iShares Core MSCI	Pair Corr
0.62	VEU	Vanguard FTSE All	Pair Corr
0.97	EFA	iShares MSCI EAFE	Pair Corr
0.97	IXUS	iShares Core MSCI	Pair Corr
0.99	SPDW	SPDR SP World	Pair Corr
0.68	IDEV	iShares Core MSCI	Pair Corr
0.95	ESGD	iShares ESG Aware	Pair Corr
0.97	JIRE	JP Morgan Exchange	Pair Corr
0.61	AGQ	ProShares Ultra Silver Trending	Pair Corr
0.62	SHNY	Microsectors Gold	Pair Corr
0.8	SIXS	6 Meridian Small	Pair Corr
0.89	CPER	United States Copper Buyout Trend	Pair Corr
0.8	USCL	iShares Climate Conscious	Pair Corr
0.62	CPSU	Calamos SP 500	Pair Corr
0.86	SCZ	iShares MSCI EAFE	Pair Corr
0.73	ITDJ	iShares Trust	Pair Corr
0.91	CSD	Invesco SP Spin	Pair Corr
0.66	FTBI	First Trust Exchange	Pair Corr
0.74	JADE	JP Morgan Exchange	Pair Corr
0.74	QLC	FlexShares Quality Large	Pair Corr
0.82	AVUV	Avantis Small Cap	Pair Corr
0.89	QQJG	Invesco ESG NASDAQ	Pair Corr
0.73	FLCV	Federated Hermes ETF	Pair Corr

Related Correlations Analysis

	AVDE	EZU	DFIV	VTSIX	DUHP	DFIC	VUIAX	DFAU	SDVY	VDE
AVDE		0.95	0.94	0.88	0.73	1.0	-0.66	0.86	0.92	0.48	AVDE
EZU	0.95		0.82	0.89	0.81	0.93	-0.56	0.82	0.88	0.37	EZU
DFIV	0.94	0.82		0.77	0.49	0.96	-0.77	0.76	0.88	0.59	DFIV
VTSIX	0.88	0.89	0.77		0.81	0.88	-0.54	0.85	0.95	0.38	VTSIX
DUHP	0.73	0.81	0.49	0.81		0.69	-0.25	0.85	0.7	0.24	DUHP
DFIC	1.0	0.93	0.96	0.88	0.69		-0.67	0.84	0.93	0.5	DFIC
VUIAX	-0.66	-0.56	-0.77	-0.54	-0.25	-0.67		-0.51	-0.7	-0.54	VUIAX
DFAU	0.86	0.82	0.76	0.85	0.85	0.84	-0.51		0.81	0.49	DFAU
SDVY	0.92	0.88	0.88	0.95	0.7	0.93	-0.7	0.81		0.47	SDVY
VDE	0.48	0.37	0.59	0.38	0.24	0.5	-0.54	0.49	0.47		VDE
	AVDE	EZU	DFIV	VTSIX	DUHP	DFIC	VUIAX	DFAU	SDVY	VDE

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

DFIC	+ 1.0	AVDE
DFIC	+ 0.96	DFIV
EZU	+ 0.95	AVDE
SDVY	+ 0.95	VTSIX
DFIV	+ 0.94	AVDE
DFIC	+ 0.93	EZU

High negative correlations

VUIAX	- 0.77	DFIV
SDVY	- 0.7	VUIAX
VUIAX	- 0.67	DFIC
VUIAX	- 0.66	AVDE
VUIAX	- 0.56	EZU
VDE	- 0.54	VUIAX

Dimensional World Constituents Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional World ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Dimensional World's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AVDE	0.54	0.04	0.02	0.12	0.61	(0.53)	1.15	(1.18)	2.63
EZU	0.62	0.02	0.00	0.10	0.66	(0.68)	1.12	(1.24)	2.77
DFIV	0.54	0.08	0.08	0.18	0.52	(0.57)	1.14	(1.15)	2.69
VTSIX	0.85	(0.03)	(0.01)	0.05	1.05	(0.91)	1.97	(1.73)	4.25
DUHP	0.50	(0.02)	(0.05)	0.05	0.70	(0.46)	1.08	(1.13)	2.96
DFIC	0.54	0.04	0.03	0.13	0.56	(0.57)	1.07	(1.12)	2.54
VUIAX	0.62	(0.04)	0.00	(0.03)	0.00	0.00	1.25	(1.31)	4.52
DFAU	0.59	(0.01)	(0.02)	0.06	0.94	(0.55)	1.21	(1.16)	3.33
SDVY	0.64	(0.03)	(0.03)	0.05	0.75	(0.70)	1.60	(1.42)	3.79
VDE	0.92	(0.06)	0.00	(0.05)	0.00	0.00	1.62	(1.77)	5.10

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