Correlation Between Dimensional Core and Nuveen ESG

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

By analyzing existing cross correlation between Dimensional Core Equity and Nuveen ESG Large Cap, you can compare the effects of market volatilities on Dimensional Core and Nuveen ESG 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 Dimensional Core with a short position of Nuveen ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional Core and Nuveen ESG.

Diversification Opportunities for Dimensional Core and Nuveen ESG

0.99

Correlation Coefficient

Dimensional Core  Nuveen ESG

No risk reduction

The 3 months correlation between Dimensional and Nuveen is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional Core Equity and Nuveen ESG Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen ESG Large and Dimensional Core 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 Dimensional Core Equity are associated (or correlated) with Nuveen ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen ESG Large has no effect on the direction of Dimensional Core i.e., Dimensional Core and Nuveen ESG go up and down completely randomly.

Pair Corralation between Dimensional Core and Nuveen ESG

Given the investment horizon of 90 days Dimensional Core Equity is expected to generate 1.08 times more return on investment than Nuveen ESG. However, Dimensional Core is 1.08 times more volatile than Nuveen ESG Large Cap. It trades about 0.16 of its potential returns per unit of risk. Nuveen ESG Large Cap is currently generating about 0.14 per unit of risk. If you would invest  3,350  in Dimensional Core Equity on September 14, 2024 and sell it today you would earn a total of  254.00  from holding Dimensional Core Equity or generate 7.58% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Dimensional Core Equity  vs.  Nuveen ESG Large Cap

Dimensional Core Equity

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dimensional Core Equity are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating basic indicators, Dimensional Core may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Nuveen ESG Large

Risk-Adjusted Performance

10 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Nuveen ESG Large Cap are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound essential indicators, Nuveen ESG is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Dimensional Core and Nuveen ESG

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

The idea behind Dimensional Core Equity and Nuveen ESG Large Cap 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.