Alpha Architect Correlations

GDMA Etf

USD 32.22 0.15 0.46%

The current 90-days correlation between Alpha Architect Gdsdn and Janus Henderson Mortgage Backed is 0.08 (i.e., Significant 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

Significant diversification

The correlation between Alpha Architect Gdsdn and DJI is 0.01 (i.e., Significant 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.

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 population.

Moving together with Alpha Etf

0.89	AOR	iShares Core Growth	Pair Corr
0.76	RAAX	VanEck Inflation All	Pair Corr
0.66	OCIO	ClearShares OCIO ETF	Pair Corr
0.88	MFUL	Collaborative Investment	Pair Corr
0.77	MPRO	Northern Lights	Pair Corr
0.75	INKM	SPDR SSgA Income	Pair Corr
0.67	UPAR	Tidal ETF Trust	Pair Corr
0.81	EWC	iShares MSCI Canada	Pair Corr
0.64	GE	GE Aerospace	Pair Corr

Moving against Alpha Etf

0.6

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	JMBS	LSAF	OPER	HSRT	PHDG
JMBS		-0.51	0.9	0.76	-0.5	JMBS
LSAF	-0.51		-0.46	-0.21	0.88	LSAF
OPER	0.9	-0.46		0.85	-0.48	OPER
HSRT	0.76	-0.21	0.85		-0.18	HSRT
PHDG	-0.5	0.88	-0.48	-0.18		PHDG
	JMBS	LSAF	OPER	HSRT	PHDG

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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

OPER	+ 0.9	JMBS
PHDG	+ 0.88	LSAF
HSRT	+ 0.85	OPER
HSRT	+ 0.76	JMBS

High negative correlations

LSAF	- 0.51	JMBS
PHDG	- 0.5	JMBS
PHDG	- 0.48	OPER
OPER	- 0.46	LSAF
HSRT	- 0.21	LSAF
PHDG	- 0.18	HSRT

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
JMBS	0.26	0.04	0.22	0.44	0.22	(0.29)	0.54	(0.51)	1.58
LSAF	0.76	(0.04)	0.00	0.64	0.00	0.00	1.48	(1.84)	3.90
OPER	0.01	0.01	0.00	(2.67)	0.00	0.00	0.05	(0.01)	0.07
HSRT	0.10	0.01	0.20	(0.28)	0.13	(0.11)	0.18	(0.15)	1.29
PHDG	0.42	(0.06)	0.00	(0.57)	0.00	0.00	0.80	(0.78)	2.66

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