Correlation Between Dimensional International and Xtrackers MSCI

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

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

Diversification Opportunities for Dimensional International and Xtrackers MSCI

-0.5

Correlation Coefficient

Dimensional International  Xtrackers MSCI

Very good diversification

The 3 months correlation between Dimensional and Xtrackers is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and Xtrackers MSCI Kokusai in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers MSCI Kokusai and Dimensional 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 Dimensional International High are associated (or correlated) with Xtrackers MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers MSCI Kokusai has no effect on the direction of Dimensional International i.e., Dimensional International and Xtrackers MSCI go up and down completely randomly.

Pair Corralation between Dimensional International and Xtrackers MSCI

Given the investment horizon of 90 days Dimensional International High is expected to under-perform the Xtrackers MSCI. In addition to that, Dimensional International is 1.26 times more volatile than Xtrackers MSCI Kokusai. It trades about -0.07 of its total potential returns per unit of risk. Xtrackers MSCI Kokusai is currently generating about 0.16 per unit of volatility. If you would invest  9,814  in Xtrackers MSCI Kokusai on September 17, 2024 and sell it today you would earn a total of  616.00  from holding Xtrackers MSCI Kokusai or generate 6.28% return on investment over 90 days.

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

Dimensional International High  vs.  Xtrackers MSCI Kokusai

Dimensional International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dimensional International High has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable technical indicators, Dimensional International is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Xtrackers MSCI Kokusai

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Xtrackers MSCI Kokusai are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable forward-looking signals, Xtrackers MSCI is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Dimensional International and Xtrackers MSCI

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

The idea behind Dimensional International High and Xtrackers MSCI Kokusai 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.