Alpha Architect Correlations

AAUS Etf

55.64 0.00 0.00%

The current 90-days correlation between Alpha Architect Equity and Vanguard Total World is 0.95 (i.e., Almost no diversification). The correlation of Alpha Architect 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.

Alpha Architect Correlation With Market

Very poor diversification

The correlation between Alpha Architect Equity and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Alpha Architect Equity and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Alpha Etf

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Alpha Architect Equity. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Alpha Etf

0.98	VTI	Vanguard Total Stock	Pair Corr
0.99	SPY	SPDR SP 500	Pair Corr
0.99	IVV	iShares Core SP	Pair Corr
0.84	VIG	Vanguard Dividend	Pair Corr
1.0	VV	Vanguard Large Cap	Pair Corr
0.79	RSP	Invesco SP 500	Pair Corr
0.98	IWB	iShares Russell 1000	Pair Corr
1.0	ESGU	iShares ESG Aware	Pair Corr
0.89	DFAC	Dimensional Core Equity	Pair Corr
0.62	USD	ProShares Ultra Semi	Pair Corr
0.65	DFEN	Direxion Daily Aerospace	Pair Corr
0.62	URNM	Sprott Uranium Miners	Pair Corr
0.7	BA	Boeing	Pair Corr
0.68	AA	Alcoa Corp	Pair Corr

Moving against Alpha Etf

0.57	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.43	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	DHSB	MBOX	DINT	MCHI	DIVS	DIVY	DIVZ	PY	VT
DHSB		0.89	0.89	0.13	0.85	0.92	0.83	0.89	0.94	DHSB
MBOX	0.89		0.85	0.26	0.92	0.97	0.92	0.76	0.94	MBOX
DINT	0.89	0.85		0.41	0.78	0.87	0.71	0.74	0.94	DINT
MCHI	0.13	0.26	0.41		0.25	0.13	-0.02	-0.02	0.38	MCHI
DIVS	0.85	0.92	0.78	0.25		0.92	0.9	0.79	0.91	DIVS
DIVY	0.92	0.97	0.87	0.13	0.92		0.94	0.83	0.93	DIVY
DIVZ	0.83	0.92	0.71	-0.02	0.9	0.94		0.76	0.82	DIVZ
PY	0.89	0.76	0.74	-0.02	0.79	0.83	0.76		0.81	PY
VT	0.94	0.94	0.94	0.38	0.91	0.93	0.82	0.81		VT
	DHSB	MBOX	DINT	MCHI	DIVS	DIVY	DIVZ	PY	VT

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

DIVY	+ 0.97	MBOX
VT	+ 0.94	DHSB
VT	+ 0.94	MBOX
VT	+ 0.94	DINT
DIVZ	+ 0.94	DIVY
VT	+ 0.93	DIVY

High negative correlations

PY	- 0.02	MCHI
DIVZ	- 0.02	MCHI

Alpha Architect Constituents Risk-Adjusted Indicators

There is a big difference between Alpha Etf performing well and Alpha Architect 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 Alpha Architect'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
DHSB	0.25	0.00	(0.06)	0.03	0.34	(0.24)	0.47	(0.59)	1.69
MBOX	0.56	0.03	0.04	0.07	0.54	(0.63)	1.12	(0.95)	2.58
DINT	0.76	0.04	0.04	0.08	0.93	(0.78)	1.46	(1.75)	4.26
MCHI	0.84	(0.08)	0.00	(0.10)	0.00	0.00	1.71	(1.67)	5.30
DIVS	0.47	0.01	(0.01)	0.05	0.52	(0.47)	1.01	(0.90)	2.48
DIVY	0.54	0.07	0.09	0.15	0.53	(0.60)	1.20	(1.12)	3.26
DIVZ	0.51	0.05	0.06	0.13	0.47	(0.59)	0.98	(0.98)	2.59
PY	0.48	(0.02)	(0.05)	0.00	0.60	(0.51)	1.10	(0.91)	3.31
VT	0.53	0.02	0.01	0.06	0.74	(0.51)	1.05	(1.25)	3.11

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