Correlation Between Avantis International and Dimensional Marketwide

Can any of the company-specific risk be diversified away by investing in both Avantis International and Dimensional Marketwide 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 Avantis International and Dimensional Marketwide into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Avantis International Small and Dimensional Marketwide Value, you can compare the effects of market volatilities on Avantis International and Dimensional Marketwide 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 Avantis International with a short position of Dimensional Marketwide. Check out your portfolio center. Please also check ongoing floating volatility patterns of Avantis International and Dimensional Marketwide.

Diversification Opportunities for Avantis International and Dimensional Marketwide

-0.04

Correlation Coefficient

Avantis International  Dimensional Marketwide

Good diversification

The 3 months correlation between Avantis and Dimensional is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Avantis International Small and Dimensional Marketwide Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Marketwide and Avantis International 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 Avantis International Small are associated (or correlated) with Dimensional Marketwide. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Marketwide has no effect on the direction of Avantis International i.e., Avantis International and Dimensional Marketwide go up and down completely randomly.

Pair Corralation between Avantis International and Dimensional Marketwide

Given the investment horizon of 90 days Avantis International Small is expected to generate 1.04 times more return on investment than Dimensional Marketwide. However, Avantis International is 1.04 times more volatile than Dimensional Marketwide Value. It trades about 0.16 of its potential returns per unit of risk. Dimensional Marketwide Value is currently generating about 0.02 per unit of risk. If you would invest  6,479  in Avantis International Small on December 30, 2024 and sell it today you would earn a total of  573.00  from holding Avantis International Small or generate 8.84% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Avantis International Small  vs.  Dimensional Marketwide Value

Avantis International

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Avantis International Small are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal fundamental indicators, Avantis International may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Dimensional Marketwide

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Dimensional Marketwide Value are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Dimensional Marketwide is not utilizing all of its potentials. The newest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Avantis International and Dimensional Marketwide

The main advantage of trading using opposite Avantis International and Dimensional Marketwide positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Avantis International position performs unexpectedly, Dimensional Marketwide 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 Marketwide will offset losses from the drop in Dimensional Marketwide's long position.

The idea behind Avantis International Small and Dimensional Marketwide Value pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.