Vanguard Value Correlations

VFVA Etf

USD 122.57 1.64 1.32%

The current 90-days correlation between Vanguard Value Factor and Vanguard Quality Factor is 0.88 (i.e., Very poor diversification). The correlation of Vanguard Value 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.

Vanguard Value Correlation With Market

Weak diversification

The correlation between Vanguard Value Factor and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Factor and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Value Factor. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in real.

Moving together with Vanguard Etf

0.89	VOE	Vanguard Mid Cap	Pair Corr
0.79	SDY	SPDR SP Dividend	Pair Corr
0.91	IWS	iShares Russell Mid	Pair Corr
0.81	SPYD	SPDR Portfolio SP	Pair Corr
0.93	COWZ	Pacer Cash Cows	Pair Corr
0.87	IJJ	iShares SP Mid	Pair Corr
0.9	DON	WisdomTree MidCap	Pair Corr
0.87	RPV	Invesco SP 500	Pair Corr
0.87	PEY	Invesco High Yield	Pair Corr
0.89	PKW	Invesco BuyBack Achievers	Pair Corr
0.63	PMBS	PIMCO Mortgage Backed Sell-off Trend	Pair Corr
0.69	CEFD	ETRACS Monthly Pay	Pair Corr
0.69	VZ	Verizon Communications	Pair Corr
0.85	CAT	Caterpillar Earnings Call Tomorrow	Pair Corr
0.83	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.61	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.82	HD	Home Depot	Pair Corr
0.7	BAC	Bank of America	Pair Corr

Moving against Vanguard Etf

0.31	TSJA	TSJA	Pair Corr
0.31	DSJA	DSJA	Pair Corr
0.5	BA	Boeing	Pair Corr
0.47	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	VFQY	VFMO	VFMF	VFMV	IVOV
VFQY		0.94	0.95	0.94	0.92	VFQY
VFMO	0.94		0.97	0.95	0.9	VFMO
VFMF	0.95	0.97		0.97	0.92	VFMF
VFMV	0.94	0.95	0.97		0.91	VFMV
IVOV	0.92	0.9	0.92	0.91		IVOV
	VFQY	VFMO	VFMF	VFMV	IVOV

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Vanguard Value Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Value 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 Vanguard Value'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
VFQY	0.63	0.03	(0.01)	0.15	0.79	(0.68)	1.39	(1.30)	6.63
VFMO	0.94	0.05	0.02	0.15	1.28	(0.90)	1.99	(2.27)	7.81
VFMF	0.68	0.05	0.01	0.16	0.79	(0.75)	1.43	(1.11)	8.18
VFMV	0.51	0.02	(0.04)	0.11	0.55	(0.57)	0.94	(0.99)	4.32
IVOV	0.71	0.07	0.01	0.74	0.84	(0.77)	1.47	(1.13)	8.47

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