Correlation Between Dimensional International and ProShares Russell

Can any of the company-specific risk be diversified away by investing in both Dimensional International and ProShares Russell 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 ProShares Russell 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 ProShares Russell 2000, you can compare the effects of market volatilities on Dimensional International and ProShares Russell 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 ProShares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and ProShares Russell.

Diversification Opportunities for Dimensional International and ProShares Russell

0.18

Correlation Coefficient

Dimensional International  ProShares Russell

Average diversification

The 3 months correlation between Dimensional and ProShares is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and ProShares Russell 2000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Russell 2000 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 ProShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Russell 2000 has no effect on the direction of Dimensional International i.e., Dimensional International and ProShares Russell go up and down completely randomly.

Pair Corralation between Dimensional International and ProShares Russell

Given the investment horizon of 90 days Dimensional International High is expected to generate 0.77 times more return on investment than ProShares Russell. However, Dimensional International High is 1.3 times less risky than ProShares Russell. It trades about 0.16 of its potential returns per unit of risk. ProShares Russell 2000 is currently generating about -0.04 per unit of risk. If you would invest  2,516  in Dimensional International High on December 31, 2024 and sell it today you would earn a total of  196.00  from holding Dimensional International High or generate 7.79% return on investment over 90 days.

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

Dimensional International High  vs.  ProShares Russell 2000

Dimensional International

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dimensional International High are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak technical indicators, Dimensional International may actually be approaching a critical reversion point that can send shares even higher in May 2025.

ProShares Russell 2000

Risk-Adjusted Performance

Very Weak

Over the last 90 days ProShares Russell 2000 has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable fundamental indicators, ProShares Russell is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Dimensional International and ProShares Russell

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

The idea behind Dimensional International High and ProShares Russell 2000 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.