Alpha Architect Correlations

IMOM Etf

USD 35.61 0.52 1.44%

The current 90-days correlation between Alpha Architect Inte and iShares Genomics Immunology is 0.48 (i.e., Very weak 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.

Build AI portfolio with Alpha Etf

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 producer price index.

Moving together with Alpha Etf

0.94	VEA	Vanguard FTSE Developed Aggressive Push	Pair Corr
0.92	IEFA	iShares Core MSCI Aggressive Push	Pair Corr
0.94	VEU	Vanguard FTSE All	Pair Corr
0.92	EFA	iShares MSCI EAFE Aggressive Push	Pair Corr
0.94	IXUS	iShares Core MSCI	Pair Corr
0.94	SPDW	SPDR SP World	Pair Corr
0.94	IDEV	iShares Core MSCI	Pair Corr
0.93	ESGD	iShares ESG Aware	Pair Corr
0.91	JIRE	JP Morgan Exchange	Pair Corr
0.95	DFAX	Dimensional World	Pair Corr
0.92	UPRO	ProShares UltraPro SP500 Sell-off Trend	Pair Corr
0.94	QTJA	Innovator ETFs Trust	Pair Corr
0.9	QTOC	Innovator ETFs Trust Low Volatility	Pair Corr
0.9	XTOC	Innovator ETFs Trust	Pair Corr
0.94	QTAP	Innovator Growth 100	Pair Corr
0.93	XTJA	Innovator ETFs Trust	Pair Corr
0.93	XTAP	Innovator Equity Acc	Pair Corr
0.77	GLD	SPDR Gold Shares	Pair Corr
0.94	PJUN	Innovator SP 500	Pair Corr
0.82	INTC	Intel Aggressive Push	Pair Corr
0.7	AXP	American Express	Pair Corr
0.73	AA	Alcoa Corp Earnings Call Tomorrow	Pair Corr
0.67	CAT	Caterpillar	Pair Corr
0.7	JPM	JPMorgan Chase	Pair Corr
0.65	DD	Dupont De Nemours	Pair Corr
0.69	BAC	Bank of America Aggressive Push	Pair Corr
0.78	TRV	The Travelers Companies	Pair Corr
0.67	WMT	Walmart	Pair Corr

Moving against Alpha Etf

0.66	KO	Coca Cola Earnings Call Today	Pair Corr
0.61	BA	Boeing	Pair Corr
0.32	PG	Procter Gamble Earnings Call This Week	Pair Corr

Related Correlations Analysis

	IDNA	TRTY	EDGI	GLIN	KLIP	DXIV	SOVF	LEGR	ABEQ	FLEE
IDNA		0.87	0.88	0.18	0.74	0.81	0.06	0.91	0.69	0.9	IDNA
TRTY	0.87		0.98	0.18	0.93	0.94	0.19	0.94	0.88	0.88	TRTY
EDGI	0.88	0.98		0.22	0.93	0.98	0.25	0.95	0.86	0.93	EDGI
GLIN	0.18	0.18	0.22		0.08	0.15	0.05	0.31	0.05	0.31	GLIN
KLIP	0.74	0.93	0.93	0.08		0.94	0.37	0.84	0.94	0.8	KLIP
DXIV	0.81	0.94	0.98	0.15	0.94		0.4	0.88	0.91	0.91	DXIV
SOVF	0.06	0.19	0.25	0.05	0.37	0.4		0.08	0.52	0.32	SOVF
LEGR	0.91	0.94	0.95	0.31	0.84	0.88	0.08		0.74	0.92	LEGR
ABEQ	0.69	0.88	0.86	0.05	0.94	0.91	0.52	0.74		0.77	ABEQ
FLEE	0.9	0.88	0.93	0.31	0.8	0.91	0.32	0.92	0.77		FLEE
	IDNA	TRTY	EDGI	GLIN	KLIP	DXIV	SOVF	LEGR	ABEQ	FLEE

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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
IDNA	1.25	0.16	0.16	0.18	0.98	(1.63)	3.02	(2.20)	7.44
TRTY	0.36	0.06	0.06	0.20	0.23	(0.40)	0.90	(0.68)	2.49
EDGI	0.56	0.07	0.08	0.16	0.57	(0.64)	1.41	(0.88)	4.39
GLIN	0.56	(0.02)	0.00	(0.22)	0.00	0.00	0.96	(1.13)	3.00
KLIP	0.43	0.04	0.02	0.13	0.81	(0.47)	0.94	(0.73)	5.72
DXIV	0.52	0.05	0.05	0.13	0.53	(0.56)	1.19	(0.96)	3.99
SOVF	0.74	(0.09)	(0.08)	0.00	0.86	(0.85)	1.80	(1.16)	4.72
LEGR	0.49	0.04	0.04	0.12	0.52	(0.55)	1.14	(0.75)	3.67
ABEQ	0.39	0.00	(0.06)	0.08	0.39	(0.47)	0.98	(0.75)	2.75
FLEE	0.58	0.02	0.01	0.10	0.73	(0.61)	1.29	(1.43)	3.75

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