Dimensional Global Correlations

DGCE Etf

28.04 0.12 0.43%

The correlation of Dimensional Global 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 Global Correlation With Market

Very weak diversification

The correlation between Dimensional Global Core and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Global Core and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Dimensional Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dimensional Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Dimensional Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Dimensional Global Core to buy it.

Moving together with Dimensional Etf

0.82	A200	BetaShares Australia 200	Pair Corr
0.97	AAA	Australian High Interest	Pair Corr
0.87	VBLD	Vanguard Global Infr	Pair Corr
0.82	VAS	Vanguard Australian	Pair Corr
0.81	E200	SPDR SPASX 200	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.49	-0.38	-0.3	0.5	0.27	0.65	0.42	-0.38	-0.13	META
MSFT	0.49		-0.54	-0.16	0.38	0.15	0.34	0.19	0.06	-0.76	MSFT
UBER	-0.38	-0.54		0.16	-0.72	0.1	-0.65	-0.5	0.44	0.51	UBER
F	-0.3	-0.16	0.16		0.14	-0.46	0.18	0.45	-0.27	0.38	F
T	0.5	0.38	-0.72	0.14		-0.3	0.88	0.85	-0.72	-0.24	T
A	0.27	0.15	0.1	-0.46	-0.3		-0.27	-0.47	0.58	-0.09	A
CRM	0.65	0.34	-0.65	0.18	0.88	-0.27		0.91	-0.83	-0.08	CRM
JPM	0.42	0.19	-0.5	0.45	0.85	-0.47	0.91		-0.87	0.03	JPM
MRK	-0.38	0.06	0.44	-0.27	-0.72	0.58	-0.83	-0.87		-0.18	MRK
XOM	-0.13	-0.76	0.51	0.38	-0.24	-0.09	-0.08	0.03	-0.18		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	+ 0.91	CRM
CRM	+ 0.88	T
JPM	+ 0.85	T
CRM	+ 0.65	META
MRK	+ 0.58	A
XOM	+ 0.51	UBER

High negative correlations

MRK	- 0.87	JPM
MRK	- 0.83	CRM
XOM	- 0.76	MSFT
MRK	- 0.72	T
T	- 0.72	UBER
CRM	- 0.65	UBER

Dimensional Global Competition Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional Global 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 Global'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	1.15	0.23	0.13	0.57	1.26	(1.31)	3.22	(1.87)	8.02
MSFT	0.84	0.03	0.00	0.13	1.45	(0.79)	1.83	(1.57)	8.14
UBER	1.75	(0.34)	0.00	(0.22)	0.00	0.00	2.67	(5.35)	20.41
F	1.41	(0.18)	0.00	(0.05)	0.00	0.00	2.53	(2.90)	11.21
T	1.02	0.09	0.02	1.05	1.18	(1.10)	2.36	(1.99)	6.74
A	1.22	(0.02)	(0.04)	0.03	1.47	(1.32)	2.71	(2.41)	9.02
CRM	1.48	0.43	0.30	0.38	1.05	(1.72)	3.59	(1.93)	13.87
JPM	1.00	0.12	0.16	0.14	0.90	(1.19)	1.73	(1.42)	15.87
MRK	0.96	(0.22)	0.00	(0.95)	0.00	0.00	2.00	(2.17)	5.18
XOM	0.92	(0.05)	0.00	(0.09)	0.00	0.00	1.83	(2.14)	6.06

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