Dimensional ETF Correlations

DFSB Etf

52.05 0.03 0.06%

The current 90-days correlation between Dimensional ETF Trust and iShares ESG USD is 0.89 (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.

Dimensional ETF Correlation With Market

Weak diversification

The correlation between Dimensional ETF Trust and DJI is 0.36 (i.e., Weak 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 state.

Moving together with Dimensional Etf

0.96	IAGG	iShares Core Interna	Pair Corr
0.77	BNDW	Vanguard Total World	Pair Corr
0.76	BGRN	iShares USD Green	Pair Corr
0.86	FLIA	Franklin Liberty Int	Pair Corr
0.78	USD	ProShares Ultra Semi	Pair Corr
0.77	DFEN	Direxion Daily Aerospace	Pair Corr
0.69	DUSL	Direxion Daily Indus	Pair Corr
0.69	DIG	ProShares Ultra Oil	Pair Corr
0.78	FNGO	MicroSectors FANG Index	Pair Corr
0.77	SPXL	Direxion Daily SP500	Pair Corr
0.79	PIE	Invesco DWA Emerging	Pair Corr
0.73	FLRG	Fidelity Covington Trust	Pair Corr
0.86	IBMQ	iShares Trust	Pair Corr
0.78	EWA	iShares MSCI Australia	Pair Corr
0.74	UPV	ProShares Ultra FTSE	Pair Corr
0.75	COIW	COIN WeeklyPay ETF Low Volatility	Pair Corr
0.7	ONLN	ProShares Online Retail	Pair Corr
0.66	IEDI	iShares Evolved Disc	Pair Corr
0.61	FTXR	First Trust Nasdaq	Pair Corr
0.69	SGDM	Sprott Gold Miners	Pair Corr
0.78	FTSL	First Trust Senior	Pair Corr
0.72	VIOO	Vanguard SP Small	Pair Corr
0.81	ITEQ	Amplify ETF Trust	Pair Corr
0.77	FJP	First Trust Japan	Pair Corr
0.72	DHSB	Strategy Shares	Pair Corr
0.79	CVY	Invesco Zacks Multi	Pair Corr
0.81	MINT	PIMCO Enhanced Short	Pair Corr
0.7	SRHR	Elevation Series Trust	Pair Corr
0.62	CAMX	Cambiar Aggressive Value	Pair Corr
0.85	MEAR	iShares Short Maturity	Pair Corr

Moving against Dimensional Etf

0.42

FNGU

MicroSectors FANG Index Symbol Change

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.98	0.84	0.82	0.55	0.93	0.29	0.94	0.23	0.57	META
MSFT	0.98		0.87	0.85	0.52	0.89	0.29	0.96	0.24	0.59	MSFT
UBER	0.84	0.87		0.9	0.42	0.81	0.54	0.88	0.21	0.54	UBER
F	0.82	0.85	0.9		0.4	0.84	0.28	0.91	0.43	0.73	F
T	0.55	0.52	0.42	0.4		0.57	0.17	0.5	0.27	0.16	T
A	0.93	0.89	0.81	0.84	0.57		0.24	0.89	0.37	0.63	A
CRM	0.29	0.29	0.54	0.28	0.17	0.24		0.23	-0.26	-0.08	CRM
JPM	0.94	0.96	0.88	0.91	0.5	0.89	0.23		0.32	0.68	JPM
MRK	0.23	0.24	0.21	0.43	0.27	0.37	-0.26	0.32		0.56	MRK
XOM	0.57	0.59	0.54	0.73	0.16	0.63	-0.08	0.68	0.56		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

MSFT	+ 0.98	META
JPM	+ 0.96	MSFT
JPM	+ 0.94	META
A	+ 0.93	META
JPM	+ 0.91	F
F	+ 0.9	UBER

High negative correlations

MRK	- 0.26	CRM
XOM	- 0.08	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	1.51	0.26	0.21	0.32	1.10	(1.82)	3.99	(2.35)	10.48
MSFT	0.90	0.30	0.27	0.47	0.54	(1.09)	2.33	(1.08)	8.85
UBER	1.64	0.20	0.13	0.33	1.40	(2.08)	4.19	(2.54)	10.87
F	1.32	0.14	0.06	0.32	1.47	(1.42)	2.69	(2.61)	7.46
T	1.02	(0.05)	(0.10)	0.00	1.35	(1.06)	2.35	(2.35)	5.71
A	1.46	(0.07)	0.00	0.09	1.81	(1.51)	2.54	(2.89)	14.01
CRM	1.33	(0.13)	(0.04)	0.04	1.74	(1.28)	2.95	(3.19)	9.31
JPM	0.90	0.22	0.18	0.38	0.67	(1.02)	2.25	(1.36)	6.03
MRK	1.39	(0.09)	(0.05)	0.04	1.96	(1.32)	2.88	(3.31)	10.58
XOM	1.08	0.14	0.00	(9.00)	1.19	(1.12)	2.40	(2.51)	5.84

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