Dimensional Equity Correlations

DFUS Etf

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The current 90-days correlation between Dimensional Equity ETF and iShares Russell Top is 0.9 (i.e., Almost no diversification). The correlation of Dimensional Equity 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 Equity Correlation With Market

Almost no diversification

The correlation between Dimensional Equity ETF and DJI is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Equity ETF 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 Equity ETF. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with Dimensional Etf

1.0	VTI	Vanguard Total Stock	Pair Corr
1.0	SPY	SPDR SP 500	Pair Corr
1.0	IVV	iShares Core SP	Pair Corr
0.91	VIG	Vanguard Dividend Sell-off Trend	Pair Corr
0.99	VV	Vanguard Large Cap	Pair Corr
0.89	RSP	Invesco SP 500	Pair Corr
1.0	IWB	iShares Russell 1000	Pair Corr
0.99	ESGU	iShares ESG Aware	Pair Corr
0.95	DFAC	Dimensional Core Equity	Pair Corr
0.62	SPLG	SSgA Symbol Change	Pair Corr
0.7	MUU	Direxion Daily MU	Pair Corr
0.7	MULL	GraniteShares 2x Long	Pair Corr
0.69	GDXU	MicroSectors Gold Miners	Pair Corr
0.69	AGQ	ProShares Ultra Silver	Pair Corr
0.72	JNUG	Direxion Daily Junior	Pair Corr
0.68	KORU	Direxion Daily South	Pair Corr
0.7	NUGT	Direxion Daily Gold	Pair Corr
0.64	SHNY	Microsectors Gold	Pair Corr
0.69	GDMN	WisdomTree Efficient Gold	Pair Corr
0.76	SLVR	Sprott Silver Miners	Pair Corr
0.75	CAT	Caterpillar	Pair Corr
0.8	BA	Boeing Sell-off Trend	Pair Corr
0.67	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.65	DIS	Walt Disney Earnings Call Tomorrow	Pair Corr

Moving against Dimensional Etf

0.42	HPQ	HP Inc	Pair Corr
0.31	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	IWV	DFAT	VHCIX	VHT	DFAS	IWS	SOXX	DFUV	FNDF	IWY
IWV		0.84	0.44	0.44	0.87	0.88	0.85	0.85	0.81	0.33	IWV
DFAT	0.84		0.7	0.71	0.99	0.99	0.85	0.98	0.94	-0.22	DFAT
VHCIX	0.44	0.7		1.0	0.66	0.68	0.37	0.71	0.63	-0.45	VHCIX
VHT	0.44	0.71	1.0		0.67	0.68	0.37	0.72	0.64	-0.45	VHT
DFAS	0.87	0.99	0.66	0.67		0.99	0.88	0.97	0.93	-0.15	DFAS
IWS	0.88	0.99	0.68	0.68	0.99		0.89	0.99	0.95	-0.15	IWS
SOXX	0.85	0.85	0.37	0.37	0.88	0.89		0.87	0.91	0.0	SOXX
DFUV	0.85	0.98	0.71	0.72	0.97	0.99	0.87		0.97	-0.21	DFUV
FNDF	0.81	0.94	0.63	0.64	0.93	0.95	0.91	0.97		-0.23	FNDF
IWY	0.33	-0.22	-0.45	-0.45	-0.15	-0.15	0.0	-0.21	-0.23		IWY
	IWV	DFAT	VHCIX	VHT	DFAS	IWS	SOXX	DFUV	FNDF	IWY

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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

VHT	+ 1.0	VHCIX
DFAS	+ 0.99	DFAT
IWS	+ 0.99	DFAT
IWS	+ 0.99	DFAS
DFUV	+ 0.99	IWS
DFUV	+ 0.98	DFAT

High negative correlations

IWY	- 0.45	VHT
IWY	- 0.45	VHCIX
IWY	- 0.23	FNDF
IWY	- 0.22	DFAT
IWY	- 0.21	DFUV
IWY	- 0.15	IWS

Dimensional Equity Constituents Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional Equity 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 Equity'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
IWV	0.54	(0.02)	(0.03)	0.01	0.78	(0.52)	1.22	(1.27)	3.43
DFAT	0.74	0.09	0.11	0.12	0.66	(0.85)	2.37	(1.23)	4.62
VHCIX	0.66	0.05	0.06	0.13	0.62	(0.81)	1.96	(1.13)	4.43
VHT	0.66	0.05	0.06	0.12	0.58	(0.81)	1.94	(1.10)	3.84
DFAS	0.79	0.04	0.05	0.07	0.84	(0.83)	1.96	(1.44)	4.40
IWS	0.63	0.03	0.04	0.07	0.67	(0.68)	1.58	(1.24)	3.47
SOXX	1.63	0.16	0.08	0.14	2.02	(1.66)	3.20	(3.93)	9.17
DFUV	0.61	0.08	0.11	0.12	0.53	(0.67)	1.44	(1.15)	2.97
FNDF	0.58	0.15	0.19	0.24	0.46	(0.66)	1.50	(1.12)	2.64
IWY	0.71	(0.09)	0.00	(0.09)	0.00	0.00	1.28	(1.89)	4.74

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