BrandywineGLOBAL Correlations

DVAL Etf

USD 14.68 0.06 0.41%

The current 90-days correlation between BrandywineGLOBAL D and Cambria Global Momentum is 0.46 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as BrandywineGLOBAL moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BrandywineGLOBAL Dynamic moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

BrandywineGLOBAL Correlation With Market

Very poor diversification

The correlation between BrandywineGLOBAL Dynamic and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding BrandywineGLOBAL Dynamic and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with BrandywineGLOBAL Etf

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

Moving together with BrandywineGLOBAL Etf

0.98	VTV	Vanguard Value Index	Pair Corr
0.93	VYM	Vanguard High Dividend	Pair Corr
0.96	IWD	iShares Russell 1000	Pair Corr
0.97	DGRO	iShares Core Dividend	Pair Corr
0.96	IVE	iShares SP 500	Pair Corr
0.95	SPYV	SPDR Portfolio SP	Pair Corr
0.96	IUSV	iShares Core SP	Pair Corr
0.94	NOBL	ProShares SP 500	Pair Corr
0.95	FNDX	Schwab Fundamental Large	Pair Corr
0.88	VLUE	iShares MSCI USA	Pair Corr
0.87	LENS	Sarmaya Thematic ETF	Pair Corr
0.86	ASA	ASA Gold	Pair Corr
0.91	MAPP	Harbor ETF Trust	Pair Corr
0.69	WNTR	YieldMax MSTR Short	Pair Corr
0.94	SNPD	DBX ETF Trust	Pair Corr
0.91	INOV	Innovator ETFs Trust	Pair Corr
0.95	JEPI	JPMorgan Equity Premium	Pair Corr
0.63	CAT	Caterpillar	Pair Corr
0.68	JNJ	Johnson Johnson	Pair Corr
0.78	MRK	Merck Company Aggressive Push	Pair Corr
0.86	BAC	Bank of America Earnings Call This Week	Pair Corr
0.89	AA	Alcoa Corp	Pair Corr
0.77	AXP	American Express	Pair Corr
0.68	DD	Dupont De Nemours	Pair Corr
0.81	WMT	Walmart Common Stock	Pair Corr

Moving against BrandywineGLOBAL Etf

0.7	SWIN	Alps Symbol Change	Pair Corr
0.4	PRME	Prime Medicine Common	Pair Corr
0.59	T	ATT Inc	Pair Corr
0.5	HPQ	HP Inc	Pair Corr
0.5	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	GMOM	LEGR	IMOM	ISRA	EWO	DEW	KLIP	DXIV	FTXN	GLIN
GMOM		0.92	0.88	0.89	0.89	0.88	0.07	0.95	0.43	0.15	GMOM
LEGR	0.92		0.83	0.86	0.81	0.81	0.27	0.9	0.37	0.29	LEGR
IMOM	0.88	0.83		0.96	0.93	0.89	0.03	0.94	0.6	0.17	IMOM
ISRA	0.89	0.86	0.96		0.95	0.89	-0.03	0.95	0.57	0.06	ISRA
EWO	0.89	0.81	0.93	0.95		0.94	-0.13	0.97	0.55	0.02	EWO
DEW	0.88	0.81	0.89	0.89	0.94		-0.05	0.96	0.58	0.11	DEW
KLIP	0.07	0.27	0.03	-0.03	-0.13	-0.05		-0.03	-0.01	0.24	KLIP
DXIV	0.95	0.9	0.94	0.95	0.97	0.96	-0.03		0.54	0.12	DXIV
FTXN	0.43	0.37	0.6	0.57	0.55	0.58	-0.01	0.54		-0.09	FTXN
GLIN	0.15	0.29	0.17	0.06	0.02	0.11	0.24	0.12	-0.09		GLIN
	GMOM	LEGR	IMOM	ISRA	EWO	DEW	KLIP	DXIV	FTXN	GLIN

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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

DXIV	+ 0.97	EWO
ISRA	+ 0.96	IMOM
DXIV	+ 0.96	DEW
DXIV	+ 0.95	GMOM
EWO	+ 0.95	ISRA
DXIV	+ 0.95	ISRA

High negative correlations

KLIP	- 0.13	EWO
GLIN	- 0.09	FTXN
KLIP	- 0.05	DEW
DXIV	- 0.03	KLIP
KLIP	- 0.03	ISRA
FTXN	- 0.01	KLIP

BrandywineGLOBAL Constituents Risk-Adjusted Indicators

There is a big difference between BrandywineGLOBAL Etf performing well and BrandywineGLOBAL 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 BrandywineGLOBAL'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
GMOM	0.67	0.03	0.01	0.12	0.74	(0.74)	1.36	(1.54)	3.52
LEGR	0.60	0.03	0.02	0.12	0.74	(0.62)	1.09	(1.41)	3.14
IMOM	0.65	0.15	0.14	0.29	0.61	(0.73)	1.81	(1.33)	3.87
ISRA	0.97	0.14	0.11	0.22	1.12	(1.01)	1.91	(1.91)	5.92
EWO	0.68	0.18	0.13	1.13	0.58	(0.76)	1.35	(1.26)	4.59
DEW	0.46	0.05	(0.04)	0.31	0.43	(0.50)	0.90	(0.79)	2.28
KLIP	0.85	(0.02)	(0.07)	(0.01)	1.15	(0.94)	1.71	(1.67)	5.68
DXIV	0.52	0.06	0.05	0.17	0.50	(0.58)	1.18	(1.03)	2.43
FTXN	1.09	(0.02)	(0.04)	0.05	1.43	(1.06)	2.12	(2.01)	5.39
GLIN	0.73	0.01	(0.07)	0.21	0.88	(0.74)	1.57	(1.34)	4.20

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