Dimensional ETF Correlations

DFIP Etf

USD 41.90 0.01 0.02%

The current 90-days correlation between Dimensional ETF Trust and Dimensional ETF Trust is 0.89 (i.e., Very poor diversification). The correlation of Dimensional ETF 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 ETF Correlation With Market

Average diversification

The correlation between Dimensional ETF Trust and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Dimensional Etf

1.0	TIP	iShares TIPS Bond Sell-off Trend	Pair Corr
0.92	SPIP	SPDR Portfolio TIPS	Pair Corr
0.81	IVOL	Quadratic Interest Rate	Pair Corr
0.99	JCPI	JPMorgan Inflation	Pair Corr
1.0	TDTF	FlexShares iBoxx 5	Pair Corr
0.95	LTPZ	PIMCO 15 Year	Pair Corr
1.0	TIPZ	PIMCO Broad TIPS	Pair Corr
1.0	TIPSX	DEUTSCHE GLOBAL INFLATION	Pair Corr
0.81	GDXU	MicroSectors Gold Miners	Pair Corr
0.63	IBM	International Business	Pair Corr
0.79	VZ	Verizon Communications	Pair Corr
0.7	PG	Procter Gamble	Pair Corr
0.68	TRV	The Travelers Companies	Pair Corr
0.77	JNJ	Johnson Johnson Sell-off Trend	Pair Corr

Moving against Dimensional Etf

0.83	USD	ProShares Ultra Semi	Pair Corr
0.75	TECL	Direxion Daily Technology	Pair Corr
0.72	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.71	NAIL	Direxion Daily Homeb	Pair Corr
0.65	FNGO	MicroSectors FANG Index	Pair Corr
0.54	SPXL	Direxion Daily SP500	Pair Corr
0.54	UPRO	ProShares UltraPro SP500	Pair Corr
0.41	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.33	DUSL	Direxion Daily Indus	Pair Corr
0.6	AA	Alcoa Corp	Pair Corr
0.55	MSFT	Microsoft Aggressive Push	Pair Corr
0.5	HPQ	HP Inc	Pair Corr
0.46	BAC	Bank of America Aggressive Push	Pair Corr
0.41	HD	Home Depot	Pair Corr
0.39	MRK	Merck Company	Pair Corr
0.36	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.02	0.58	-0.53	0.3	0.41	0.28	0.9	-0.74	-0.03	META
MSFT	-0.02		-0.62	0.02	-0.8	0.54	0.89	0.13	0.43	-0.55	MSFT
UBER	0.58	-0.62		-0.28	0.81	-0.16	-0.53	0.51	-0.84	0.57	UBER
F	-0.53	0.02	-0.28		0.0	-0.05	-0.16	-0.37	0.51	0.36	F
T	0.3	-0.8	0.81	0.0		-0.51	-0.71	0.16	-0.65	0.6	T
A	0.41	0.54	-0.16	-0.05	-0.51		0.64	0.64	0.07	-0.23	A
CRM	0.28	0.89	-0.53	-0.16	-0.71	0.64		0.36	0.23	-0.61	CRM
JPM	0.9	0.13	0.51	-0.37	0.16	0.64	0.36		-0.63	0.06	JPM
MRK	-0.74	0.43	-0.84	0.51	-0.65	0.07	0.23	-0.63		-0.32	MRK
XOM	-0.03	-0.55	0.57	0.36	0.6	-0.23	-0.61	0.06	-0.32		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.81	UBER
CRM	+ 0.64	A
JPM	+ 0.64	A
XOM	+ 0.6	T

High negative correlations

MRK	- 0.84	UBER
T	- 0.8	MSFT
MRK	- 0.74	META
CRM	- 0.71	T
MRK	- 0.65	T
MRK	- 0.63	JPM

Dimensional ETF Competition Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional ETF 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 ETF'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
META	1.63	0.04	0.02	0.00	2.27	(1.46)	2.96	(3.73)	8.90
MSFT	1.11	(0.18)	0.00	(0.29)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.88	0.40	0.18	0.75	2.03	(2.05)	4.72	(3.13)	12.75
F	1.44	0.14	0.06	0.09	2.12	(1.42)	2.71	(2.88)	10.14
T	0.99	0.29	0.19	0.56	1.43	(1.11)	1.90	(1.55)	11.66
A	1.15	(0.18)	0.00	4.17	0.00	0.00	2.92	(2.59)	9.03
CRM	1.40	(0.29)	0.00	(0.29)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.14	0.10	0.05	0.05	1.76	(1.09)	2.16	(3.35)	6.85
MRK	1.16	(0.11)	0.00	1.03	0.00	0.00	2.07	(1.80)	11.58
XOM	1.03	0.13	0.10	0.27	1.28	(1.06)	2.55	(2.36)	5.89

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