Correlation Between Dfa Sustainability and Dfa Global

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

By analyzing existing cross correlation between Dfa Sustainability Core and Dfa Global Real, you can compare the effects of market volatilities on Dfa Sustainability and Dfa Global 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 Dfa Sustainability with a short position of Dfa Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dfa Sustainability and Dfa Global.

Diversification Opportunities for Dfa Sustainability and Dfa Global

-0.58

Correlation Coefficient

Dfa Sustainability  Dfa Global

Excellent diversification

The 3 months correlation between Dfa and Dfa is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Sustainability Core and Dfa Global Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa Global Real and Dfa Sustainability 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 Dfa Sustainability Core are associated (or correlated) with Dfa Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa Global Real has no effect on the direction of Dfa Sustainability i.e., Dfa Sustainability and Dfa Global go up and down completely randomly.

Pair Corralation between Dfa Sustainability and Dfa Global

Assuming the 90 days horizon Dfa Sustainability Core is expected to generate 1.04 times more return on investment than Dfa Global. However, Dfa Sustainability is 1.04 times more volatile than Dfa Global Real. It trades about 0.2 of its potential returns per unit of risk. Dfa Global Real is currently generating about -0.08 per unit of risk. If you would invest  4,316  in Dfa Sustainability Core on September 12, 2024 and sell it today you would earn a total of  415.00  from holding Dfa Sustainability Core or generate 9.62% return on investment over 90 days.

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

Dfa Sustainability Core  vs.  Dfa Global Real

Dfa Sustainability Core

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa Sustainability Core are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Dfa Sustainability may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Dfa Global Real

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dfa Global Real has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Dfa Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Dfa Sustainability and Dfa Global

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

The idea behind Dfa Sustainability Core and Dfa Global Real 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.