Alpha Architect Correlations

VMOT Etf

USD 26.25 0.18 0.69%

The current 90-days correlation between Alpha Architect Value and Alpha Architect Quantitative is 0.89 (i.e., Very poor 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 weak diversification

The correlation between Alpha Architect Value and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Alpha Architect Value 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 Alpha Architect Value. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Alpha Etf

0.71	ACIO	Aptus Collared Income	Pair Corr
0.65	CCOR	Core Alternative ETF	Pair Corr
0.64	ADME	Aptus Drawdown Managed	Pair Corr
0.81	SWAN	Amplify BlackSwan Growth	Pair Corr
0.65	PHDG	Invesco SP 500	Pair Corr
0.61	MSTB	ETF Series Solutions	Pair Corr
0.93	VAMO	Cambria Value	Pair Corr
0.86	GTR	WisdomTree Target Range	Pair Corr
0.73	UPRO	ProShares UltraPro SP500	Pair Corr
0.7	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.75	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.69	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.71	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.81	TRV	The Travelers Companies	Pair Corr
0.71	VZ	Verizon Communications	Pair Corr
0.63	HPQ	HP Inc	Pair Corr
0.61	INTC	Intel	Pair Corr

Moving against Alpha Etf

0.43

XDJA

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Pair Corr

Related Correlations Analysis

	QMOM	IMOM	IVAL	QVAL	GMOM
QMOM		0.5	0.46	0.9	0.77	QMOM
IMOM	0.5		0.75	0.55	0.51	IMOM
IVAL	0.46	0.75		0.54	0.56	IVAL
QVAL	0.9	0.55	0.54		0.77	QVAL
GMOM	0.77	0.51	0.56	0.77		GMOM
	QMOM	IMOM	IVAL	QVAL	GMOM

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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
QMOM	1.08	0.06	0.04	0.14	1.44	(1.14)	1.93	(1.63)	7.54
IMOM	0.65	0.06	(0.01)	0.32	0.74	(0.70)	1.37	(1.26)	4.15
IVAL	0.66	0.00	(0.08)	0.14	0.87	(0.68)	1.40	(1.55)	4.13
QVAL	0.63	0.01	(0.04)	0.11	0.72	(0.66)	1.36	(1.06)	4.47
GMOM	0.66	0.01	(0.06)	0.13	0.76	(0.72)	1.29	(0.97)	5.61

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