Vanguard Momentum Correlations

VFMO Etf

USD 165.31 2.99 1.84%

The current 90-days correlation between Vanguard Momentum Factor and Vanguard Quality Factor is 0.83 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Momentum moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Momentum Factor moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard Momentum Correlation With Market

Very weak diversification

The correlation between Vanguard Momentum Factor 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 Vanguard Momentum 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 Momentum 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 population.

Moving together with Vanguard Etf

0.94	VO	Vanguard Mid Cap	Pair Corr
0.95	VXF	Vanguard Extended Market	Pair Corr
0.87	IJH	iShares Core SP	Pair Corr
0.95	IWR	iShares Russell Mid	Pair Corr
0.87	MDY	SPDR SP MIDCAP	Pair Corr
0.9	FV	First Trust Dorsey	Pair Corr
0.88	IVOO	Vanguard SP Mid	Pair Corr
0.92	JHMM	John Hancock Multifactor	Pair Corr
0.94	BBMC	JPMorgan BetaBuilders Mid	Pair Corr
0.89	XMMO	Invesco SP MidCap	Pair Corr
0.86	UPRO	ProShares UltraPro SP500	Pair Corr
0.61	XTOC	Innovator ETFs Trust	Pair Corr
0.83	HD	Home Depot	Pair Corr
0.78	BAC	Bank of America Aggressive Push	Pair Corr

Moving against Vanguard Etf

0.5

PFE

Pfizer Inc

Pair Corr

Related Correlations Analysis

	VFQY	VFMF	VFVA	VFMV	VIOG
VFQY		0.96	0.91	0.63	0.87	VFQY
VFMF	0.96		0.95	0.71	0.86	VFMF
VFVA	0.91	0.95		0.56	0.92	VFVA
VFMV	0.63	0.71	0.56		0.35	VFMV
VIOG	0.87	0.86	0.92	0.35		VIOG
	VFQY	VFMF	VFVA	VFMV	VIOG

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Vanguard Momentum Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Momentum 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 Momentum'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	0.59	(0.01)	0.00	(0.04)	0.00	0.00	1.31	(1.09)	4.63
VFMF	0.61	(0.03)	0.00	(0.06)	0.00	0.00	1.24	(1.13)	4.62
VFVA	0.67	(0.07)	0.00	(0.12)	0.00	0.00	1.23	(1.32)	4.54
VFMV	0.47	0.04	0.08	0.06	0.55	(0.52)	0.87	(0.87)	2.75
VIOG	0.82	(0.13)	0.00	(0.17)	0.00	0.00	1.64	(1.69)	5.64

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