Correlation Between Dfa Real and Dfa Commodity

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

By analyzing existing cross correlation between Dfa Real Estate and Dfa Commodity Strategy, you can compare the effects of market volatilities on Dfa Real and Dfa Commodity 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 Dfa Real with a short position of Dfa Commodity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dfa Real and Dfa Commodity.

Diversification Opportunities for Dfa Real and Dfa Commodity

-0.55

Correlation Coefficient

Dfa Real  Dfa Commodity

Excellent diversification

The 3 months correlation between Dfa and Dfa is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Real Estate and Dfa Commodity Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa Commodity Strategy and Dfa Real 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 Dfa Real Estate are associated (or correlated) with Dfa Commodity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa Commodity Strategy has no effect on the direction of Dfa Real i.e., Dfa Real and Dfa Commodity go up and down completely randomly.

Pair Corralation between Dfa Real and Dfa Commodity

Assuming the 90 days horizon Dfa Real Estate is expected to under-perform the Dfa Commodity. In addition to that, Dfa Real is 1.49 times more volatile than Dfa Commodity Strategy. It trades about -0.1 of its total potential returns per unit of risk. Dfa Commodity Strategy is currently generating about 0.15 per unit of volatility. If you would invest  442.00  in Dfa Commodity Strategy on October 26, 2024 and sell it today you would earn a total of  29.00  from holding Dfa Commodity Strategy or generate 6.56% return on investment over 90 days.

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

Dfa Real Estate  vs.  Dfa Commodity Strategy

Dfa Real Estate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dfa Real Estate has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Dfa Commodity Strategy

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa Commodity Strategy are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Dfa Commodity may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Dfa Real and Dfa Commodity

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

The idea behind Dfa Real Estate and Dfa Commodity Strategy 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.