Dimensional ETF Correlations

DFIP Etf

USD 41.69 0.07 0.17%

The current 90-days correlation between Dimensional ETF Trust and Vanguard Short Term Inflation Protected is 0.83 (i.e., Very poor diversification). The correlation of Dimensional ETF is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Dimensional ETF Correlation With Market

Good diversification

The correlation between Dimensional ETF Trust and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional ETF Trust and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Dimensional Etf

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Dimensional ETF Trust. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Dimensional Etf

0.98	TIP	iShares TIPS Bond Sell-off Trend	Pair Corr
0.98	JCPI	JPMorgan Inflation	Pair Corr
0.62	LTPZ	PIMCO 15 Year	Pair Corr
0.7	TIPZ	PIMCO Broad TIPS	Pair Corr
0.84	TIPSX	DEUTSCHE GLOBAL INFLATION	Pair Corr
0.66	VTI	Vanguard Total Stock	Pair Corr
0.66	SPY	SPDR SP 500	Pair Corr
0.66	IVV	iShares Core SP	Pair Corr
0.92	BND	Vanguard Total Bond Sell-off Trend	Pair Corr
0.69	VTV	Vanguard Value Index	Pair Corr
0.64	VUG	Vanguard Growth Index	Pair Corr
0.66	VO	Vanguard Mid Cap	Pair Corr
0.67	VEA	Vanguard FTSE Developed	Pair Corr
0.64	VB	Vanguard Small Cap	Pair Corr
0.65	VWO	Vanguard FTSE Emerging	Pair Corr
0.66	AIVL	WisdomTree Trust	Pair Corr
0.64	COLO	Global X Funds Symbol Change	Pair Corr
0.66	TACK	Fairlead Tactical Sector	Pair Corr
0.78	DBMF	iMGP DBi Managed	Pair Corr
0.71	ARKW	ARK Next Generation	Pair Corr
0.64	DON	WisdomTree MidCap	Pair Corr
0.69	TRCFX	Popular Total Return	Pair Corr
0.86	IBDS	iShares iBonds Dec	Pair Corr
0.61	GOF	Guggenheim Strategic	Pair Corr
0.62	DSTL	Distillate Fundamental	Pair Corr
0.71	CLOA	BlackRock AAA CLO	Pair Corr
0.68	DGRO	iShares Core Dividend	Pair Corr
0.66	PPA	Invesco Aerospace Defense	Pair Corr
0.82	GEMD	Goldman Sachs ETF	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.78	0.63	0.82	0.71	0.95	0.5	0.79	0.17	0.56	META
MSFT	0.78		0.9	0.53	0.63	0.67	0.47	0.95	-0.23	0.22	MSFT
UBER	0.63	0.9		0.54	0.55	0.54	0.65	0.91	-0.29	0.16	UBER
F	0.82	0.53	0.54		0.7	0.87	0.63	0.66	0.34	0.72	F
T	0.71	0.63	0.55	0.7		0.75	0.3	0.67	0.29	0.45	T
A	0.95	0.67	0.54	0.87	0.75		0.46	0.72	0.28	0.66	A
CRM	0.5	0.47	0.65	0.63	0.3	0.46		0.49	-0.11	0.19	CRM
JPM	0.79	0.95	0.91	0.66	0.67	0.72	0.49		-0.13	0.36	JPM
MRK	0.17	-0.23	-0.29	0.34	0.29	0.28	-0.11	-0.13		0.55	MRK
XOM	0.56	0.22	0.16	0.72	0.45	0.66	0.19	0.36	0.55		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

A	+ 0.95	META
JPM	+ 0.95	MSFT
JPM	+ 0.91	UBER
UBER	+ 0.9	MSFT
A	+ 0.87	F
F	+ 0.82	META

High negative correlations

MRK	- 0.29	UBER
MRK	- 0.23	MSFT
MRK	- 0.13	JPM
MRK	- 0.11	CRM

Dimensional ETF Competition Risk-Adjusted Indicators

There is a big difference between Dimensional Etf performing well and Dimensional ETF ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Dimensional ETF's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.94	0.59	0.23	(1.72)	1.54	(2.36)	4.23	(2.56)	21.50
MSFT	1.20	0.34	0.23	0.45	0.94	(1.38)	2.40	(2.36)	13.79
UBER	1.97	0.28	0.13	0.31	2.17	(2.32)	5.87	(3.48)	16.18
F	1.59	0.45	0.16	(2.14)	1.78	(1.83)	3.70	(2.72)	13.07
T	1.18	(0.01)	(0.04)	0.07	1.89	(1.11)	2.36	(2.62)	8.47
A	1.62	0.31	0.08	(0.72)	1.90	(1.78)	2.76	(3.38)	14.46
CRM	1.45	0.21	0.05	(0.92)	1.58	(1.59)	3.01	(3.30)	13.13
JPM	1.26	0.20	0.09	0.29	1.93	(1.30)	2.75	(1.75)	11.14
MRK	1.58	(0.21)	0.00	(0.17)	0.00	0.00	3.35	(4.58)	10.58
XOM	1.41	(0.14)	0.00	(0.08)	0.00	0.00	2.62	(3.04)	10.53

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