Alpha Architect Correlations

QVAL Etf

USD 47.77 0.18 0.38%

The current 90-days correlation between Alpha Architect Quan and Vanguard Mid Cap Value is 0.82 (i.e., Very 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 Quantitative moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Alpha Architect Correlation With Market

Poor diversification

The correlation between Alpha Architect Quantitative and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Alpha Architect Quantitative and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Alpha Architect Quantitative. 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

0.88	VOE	Vanguard Mid Cap	Pair Corr
0.86	SDY	SPDR SP Dividend	Pair Corr
0.87	IWS	iShares Russell Mid	Pair Corr
0.82	SPYD	SPDR Portfolio SP	Pair Corr
0.91	COWZ	Pacer Cash Cows	Pair Corr
0.82	IJJ	iShares SP Mid	Pair Corr
0.84	DON	WisdomTree MidCap	Pair Corr
0.74	RPV	Invesco SP 500	Pair Corr
0.78	PEY	Invesco High Yield	Pair Corr
0.83	PKW	Invesco BuyBack Achievers	Pair Corr
0.73	XOP	SPDR SP Oil	Pair Corr
0.7	IYM	iShares Basic Materials	Pair Corr
0.76	IYC	iShares Consumer Dis	Pair Corr
0.84	VTI	Vanguard Total Stock	Pair Corr
0.81	VBK	Vanguard Small Cap	Pair Corr
0.71	HPQ	HP Inc	Pair Corr
0.88	HD	Home Depot	Pair Corr
0.67	IBM	International Business Sell-off Trend	Pair Corr
0.74	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.65	WMT	Walmart Aggressive Push	Pair Corr
0.89	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.77	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.72	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.71	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr

Moving against Alpha Etf

0.57	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.4	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr

Related Correlations Analysis

	VOE	SDY	SCRYY	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	ID	VIASP
VOE		0.8	0.71	-0.65	0.0	-0.2	0.71	0.13	0.85	0.6	VOE
SDY	0.8		0.5	-0.42	0.0	-0.37	0.81	0.42	0.57	0.19	SDY
SCRYY	0.71	0.5		-0.59	0.0	-0.09	0.35	0.27	0.74	0.7	SCRYY
444859BR2	-0.65	-0.42	-0.59		0.0	0.3	-0.5	-0.06	-0.55	-0.45	444859BR2
AQUI	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.2	-0.37	-0.09	0.3	0.0		-0.44	-0.34	-0.06	0.12	BRRAY
MSTSX	0.71	0.81	0.35	-0.5	0.0	-0.44		0.27	0.42	-0.02	MSTSX
ABHYX	0.13	0.42	0.27	-0.06	0.0	-0.34	0.27		0.11	-0.08	ABHYX
ID	0.85	0.57	0.74	-0.55	0.0	-0.06	0.42	0.11		0.74	ID
VIASP	0.6	0.19	0.7	-0.45	0.0	0.12	-0.02	-0.08	0.74		VIASP
	VOE	SDY	SCRYY	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	ID	VIASP

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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

ID	+ 0.85	VOE
MSTSX	+ 0.81	SDY
SDY	+ 0.8	VOE
ID	+ 0.74	SCRYY
VIASP	+ 0.74	ID
SCRYY	+ 0.71	VOE

High negative correlations

444859BR2	- 0.65	VOE
444859BR2	- 0.59	SCRYY
ID	- 0.55	444859BR2
MSTSX	- 0.5	444859BR2
VIASP	- 0.45	444859BR2
MSTSX	- 0.44	BRRAY

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
VOE	0.54	0.03	(0.01)	0.16	0.32	(0.60)	1.02	(0.85)	3.01
SDY	0.45	(0.01)	(0.14)	0.11	0.36	(0.52)	0.91	(0.76)	1.95
SCRYY	2.06	0.26	0.07	1.64	2.00	(2.90)	5.61	(4.09)	12.99
444859BR2	1.36	(0.01)	0.00	0.16	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.03)	(0.13)	0.07	0.50	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.23)	(0.15)	0.24	(0.24)	0.34	(0.33)	1.91
ID	3.84	0.90	0.16	1.45	3.99	(5.08)	7.89	(6.67)	20.54
VIASP	0.75	0.08	(0.04)	(1.44)	1.13	(0.82)	2.28	(1.20)	7.18

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