Alpha Architect Correlations

IVAL Etf

USD 26.00 0.05 0.19%

The current 90-days correlation between Alpha Architect Inte and Davis Select International is 0.69 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Alpha Architect moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alpha Architect International moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Alpha Architect Correlation With Market

Very weak diversification

The correlation between Alpha Architect International and DJI is 0.54 (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 International 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 International. 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 Alpha Etf

0.98	EFV	iShares MSCI EAFE	Pair Corr
0.98	FNDF	Schwab Fundamental	Pair Corr
0.98	VYMI	Vanguard International	Pair Corr
0.98	IDV	iShares International	Pair Corr
0.98	DFIV	Dimensional International	Pair Corr
0.98	IVLU	iShares Edge MSCI	Pair Corr
0.96	RODM	Hartford Multifactor	Pair Corr
0.98	PXF	Invesco FTSE RAFI	Pair Corr
0.97	HDEF	Xtrackers MSCI EAFE	Pair Corr
0.9	PID	Invesco International	Pair Corr
0.91	BABX	GraniteShares 175x Long	Pair Corr
0.92	GDXU	MicroSectors Gold Miners	Pair Corr
0.95	XPP	ProShares Ultra FTSE	Pair Corr
0.92	JNUG	Direxion Daily Junior	Pair Corr
0.83	TRV	The Travelers Companies	Pair Corr
0.72	MMM	3M Company	Pair Corr
0.72	IBM	International Business	Pair Corr
0.67	INTC	Intel	Pair Corr
0.7	CVX	Chevron Corp	Pair Corr
0.84	KO	Coca Cola Aggressive Push	Pair Corr
0.73	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr

Moving against Alpha Etf

0.52	BAC	Bank of America Aggressive Push	Pair Corr
0.43	WTID	UBS ETRACS	Pair Corr
0.67	DIS	Walt Disney	Pair Corr
0.66	AA	Alcoa Corp	Pair Corr
0.65	HPQ	HP Inc	Pair Corr
0.63	CAT	Caterpillar	Pair Corr
0.62	AXP	American Express	Pair Corr
0.56	MRK	Merck Company	Pair Corr

Related Correlations Analysis

	DINT	DIVY	PY	XC	MGMT	VFMV	VFVA	DSMC	DSTX
DINT		0.41	-0.18	-0.43	-0.65	0.74	-0.45	-0.78	0.93	DINT
DIVY	0.41		0.75	0.08	0.29	0.84	0.53	0.04	0.54	DIVY
PY	-0.18	0.75		0.55	0.82	0.36	0.91	0.63	-0.07	PY
XC	-0.43	0.08	0.55		0.77	-0.29	0.67	0.79	-0.46	XC
MGMT	-0.65	0.29	0.82	0.77		-0.2	0.92	0.94	-0.57	MGMT
VFMV	0.74	0.84	0.36	-0.29	-0.2		0.06	-0.46	0.84	VFMV
VFVA	-0.45	0.53	0.91	0.67	0.92	0.06		0.84	-0.3	VFVA
DSMC	-0.78	0.04	0.63	0.79	0.94	-0.46	0.84		-0.73	DSMC
DSTX	0.93	0.54	-0.07	-0.46	-0.57	0.84	-0.3	-0.73		DSTX
	DINT	DIVY	PY	XC	MGMT	VFMV	VFVA	DSMC	DSTX

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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

DSMC	+ 0.94	MGMT
DSTX	+ 0.93	DINT
VFVA	+ 0.92	MGMT
VFVA	+ 0.91	PY
VFMV	+ 0.84	DIVY
DSTX	+ 0.84	VFMV

High negative correlations

DSMC	- 0.78	DINT
DSTX	- 0.73	DSMC
MGMT	- 0.65	DINT
DSTX	- 0.57	MGMT
DSMC	- 0.46	VFMV
DSTX	- 0.46	XC

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
DINT	0.97	0.11	0.08	0.15	1.25	(1.07)	2.03	(2.08)	8.79
DIVY	0.62	0.03	0.04	0.04	0.69	(0.68)	1.50	(1.25)	3.13
PY	0.67	0.00	0.01	0.00	0.79	(0.72)	1.35	(1.51)	3.12
XC	0.73	(0.03)	0.00	(0.06)	0.00	0.00	1.31	(1.54)	4.61
MGMT	0.82	(0.08)	0.00	(0.08)	0.00	0.00	1.40	(2.01)	5.42
VFMV	0.53	0.06	0.10	0.11	0.54	(0.59)	1.12	(0.98)	3.15
VFVA	0.76	(0.01)	(0.01)	(0.01)	0.96	(0.76)	1.27	(1.83)	3.62
DSMC	0.81	(0.12)	0.00	(0.12)	0.00	0.00	1.65	(1.83)	4.65
DSTX	0.61	0.14	0.18	0.30	0.60	(0.68)	1.36	(1.16)	4.74

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