Correlation Between Dimensional ETF and Strategy Shares

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

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

Diversification Opportunities for Dimensional ETF and Strategy Shares

0.22

Correlation Coefficient

Dimensional ETF  Strategy Shares

Modest diversification

The 3 months correlation between Dimensional and Strategy is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and Strategy Shares in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Strategy Shares and Dimensional ETF 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 ETF Trust are associated (or correlated) with Strategy Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Strategy Shares has no effect on the direction of Dimensional ETF i.e., Dimensional ETF and Strategy Shares go up and down completely randomly.

Pair Corralation between Dimensional ETF and Strategy Shares

Given the investment horizon of 90 days Dimensional ETF is expected to generate 1722.09 times less return on investment than Strategy Shares. But when comparing it to its historical volatility, Dimensional ETF Trust is 299.24 times less risky than Strategy Shares. It trades about 0.05 of its potential returns per unit of risk. Strategy Shares is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest  0.00  in Strategy Shares on October 9, 2024 and sell it today you would earn a total of  2,445  from holding Strategy Shares or generate 9.223372036854776E16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	5.67%
Values	Daily Returns

Dimensional ETF Trust  vs.  Strategy Shares

Dimensional ETF Trust

Risk-Adjusted Performance

0 of 100

Very Weak

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

Strategy Shares

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Strategy Shares are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. In spite of very uncertain basic indicators, Strategy Shares displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Dimensional ETF and Strategy Shares

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

The idea behind Dimensional ETF Trust and Strategy Shares 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.

Check out your portfolio center.

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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.