Correlation Between Dimensional International and Vanguard Russell

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

Diversification Opportunities for Dimensional International and Vanguard Russell

-0.63

Correlation Coefficient

Dimensional International  Vanguard Russell

Excellent diversification

The 3 months correlation between Dimensional and Vanguard is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and Vanguard Russell 2000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard 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 Vanguard Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Russell 2000 has no effect on the direction of Dimensional International i.e., Dimensional International and Vanguard Russell go up and down completely randomly.

Pair Corralation between Dimensional International and Vanguard Russell

Given the investment horizon of 90 days Dimensional International High is expected to under-perform the Vanguard Russell. But the etf apears to be less risky and, when comparing its historical volatility, Dimensional International High is 1.65 times less risky than Vanguard Russell. The etf trades about -0.06 of its potential returns per unit of risk. The Vanguard Russell 2000 is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  14,464  in Vanguard Russell 2000 on September 13, 2024 and sell it today you would earn a total of  994.00  from holding Vanguard Russell 2000 or generate 6.87% return on investment over 90 days.

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

Dimensional International High  vs.  Vanguard Russell 2000

Dimensional International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dimensional International High has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable technical indicators, Dimensional International is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Vanguard Russell 2000

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Russell 2000 are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly fragile basic indicators, Vanguard Russell may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Dimensional International and Vanguard Russell

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

The idea behind Dimensional International High and Vanguard 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.