Alpha Architect Correlations

GDMA Etf

USD 41.88 0.18 0.43%

The current 90-days correlation between Alpha Architect Gdsdn and Invesco Actively Managed is 0.55 (i.e., Very weak 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.

Alpha Architect Correlation With Market

Very poor diversification

The correlation between Alpha Architect Gdsdn and DJI is 0.85 (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 Gdsdn and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Alpha Etf

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Alpha Architect Gdsdn. 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 Alpha Etf

0.93	AOM	iShares Core Moderate	Pair Corr
0.91	INKM	SPDR SSgA Income	Pair Corr
0.94	FCEF	First Trust Income	Pair Corr
0.91	EAOM	iShares ESG Aware	Pair Corr
0.97	MUU	Direxion Daily MU	Pair Corr
0.97	MULL	GraniteShares 2x Long	Pair Corr
0.95	KORU	Direxion Daily South	Pair Corr
0.88	GDXU	MicroSectors Gold Miners Upward Rally	Pair Corr
0.91	JNUG	Direxion Daily Junior	Pair Corr
0.76	FNGD	MicroSectors FANG Index	Pair Corr
0.93	NUGT	Direxion Daily Gold	Pair Corr
0.73	AGQ	ProShares Ultra Silver	Pair Corr
0.82	BWET	ETF Managers Group	Pair Corr
0.9	SHNY	Microsectors Gold	Pair Corr
0.85	IWC	iShares Micro Cap	Pair Corr
0.95	EFA	iShares MSCI EAFE Aggressive Push	Pair Corr
0.87	TPHD	Timothy Plan High	Pair Corr
0.95	WSML	iShares MSCI World	Pair Corr
0.9	SLV	iShares Silver Trust	Pair Corr
0.96	COM	Direxion Auspice Broad	Pair Corr
0.77	XHB	SPDR SP Homebuilders	Pair Corr
0.94	CEFA	Global X SP	Pair Corr
0.94	FEMB	First Trust Emerging	Pair Corr
0.71	IVV	iShares Core SP	Pair Corr
0.9	QBSF	AIM ETF Products	Pair Corr
0.94	XLI	Industrial Select Sector	Pair Corr
0.94	EEMS	iShares MSCI Emerging	Pair Corr
0.71	SPY	SPDR SP 500	Pair Corr
0.88	QCAP	FT Vest NASDAQ	Pair Corr
0.94	FUSI	American Century ETF	Pair Corr
0.95	SMH	VanEck Semiconductor ETF	Pair Corr
0.95	ITA	iShares Aerospace Defense	Pair Corr
0.84	VBK	Vanguard Small Cap	Pair Corr
0.9	FXA	Invesco CurrencyShares	Pair Corr
0.89	LDUR	PIMCO Enhanced Low	Pair Corr
0.84	XLP	Consumer Staples Select Aggressive Push	Pair Corr
0.97	GMOM	Cambria Global Momentum	Pair Corr
0.82	VMBS	Vanguard Mortgage	Pair Corr

Related Correlations Analysis

	RSPM	ETHO	AESR	TPIF	IBUY	TMFM	ESN	LOWV	CPAI	IQSZ
RSPM		0.89	0.53	0.98	-0.37	-0.45	0.98	0.05	0.85	0.92	RSPM
ETHO	0.89		0.7	0.9	0.0	-0.11	0.93	0.3	0.9	0.96	ETHO
AESR	0.53	0.7		0.55	0.18	0.12	0.58	0.34	0.65	0.66	AESR
TPIF	0.98	0.9	0.55		-0.35	-0.44	0.97	0.11	0.84	0.95	TPIF
IBUY	-0.37	0.0	0.18	-0.35		0.93	-0.26	0.65	0.09	-0.06	IBUY
TMFM	-0.45	-0.11	0.12	-0.44	0.93		-0.36	0.58	-0.02	-0.19	TMFM
ESN	0.98	0.93	0.58	0.97	-0.26	-0.36		0.17	0.9	0.94	ESN
LOWV	0.05	0.3	0.34	0.11	0.65	0.58	0.17		0.38	0.34	LOWV
CPAI	0.85	0.9	0.65	0.84	0.09	-0.02	0.9	0.38		0.89	CPAI
IQSZ	0.92	0.96	0.66	0.95	-0.06	-0.19	0.94	0.34	0.89		IQSZ
	RSPM	ETHO	AESR	TPIF	IBUY	TMFM	ESN	LOWV	CPAI	IQSZ

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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

TPIF	+ 0.98	RSPM
ESN	+ 0.98	RSPM
ESN	+ 0.97	TPIF
IQSZ	+ 0.96	ETHO
IQSZ	+ 0.95	TPIF
IQSZ	+ 0.94	ESN

High negative correlations

TMFM	- 0.45	RSPM
TMFM	- 0.44	TPIF
IBUY	- 0.37	RSPM
ESN	- 0.36	TMFM
IBUY	- 0.35	TPIF
ESN	- 0.26	IBUY

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
RSPM	0.95	0.31	0.29	0.36	0.63	(1.10)	2.51	(1.65)	5.78
ETHO	0.80	0.05	0.06	0.10	0.82	(0.87)	1.87	(1.67)	4.72
AESR	1.37	0.01	0.01	0.06	3.63	(1.32)	1.30	(2.03)	42.89
TPIF	0.56	0.13	0.14	0.25	0.51	(0.60)	1.38	(1.02)	3.13
IBUY	1.00	(0.29)	0.00	(0.18)	0.00	0.00	1.76	(2.87)	6.85
TMFM	0.89	(0.17)	0.00	(0.09)	0.00	0.00	2.22	(2.14)	5.54
ESN	0.51	0.07	0.08	0.16	0.45	(0.55)	1.07	(0.99)	2.60
LOWV	0.56	(0.08)	0.00	(0.07)	0.00	0.00	0.92	(1.27)	3.42
CPAI	0.97	0.05	0.04	0.11	1.32	(0.99)	2.20	(2.57)	6.57
IQSZ	0.62	0.03	0.02	0.10	0.78	(0.61)	1.17	(1.53)	3.91

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