Vanguard Multifactor Correlations
VFMF Etf | USD 137.21 1.56 1.15% |
The current 90-days correlation between Vanguard Multifactor and Vanguard Quality Factor is 0.96 (i.e., Almost no diversification). The correlation of Vanguard Multifactor 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.
Vanguard Multifactor Correlation With Market
Very poor diversification
The correlation between Vanguard Multifactor and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Multifactor and DJI in the same portfolio, assuming nothing else is changed.
Vanguard | Build AI portfolio with Vanguard Etf |
Moving together with Vanguard Etf
0.98 | VOE | Vanguard Mid Cap | PairCorr |
0.84 | SDY | SPDR SP Dividend | PairCorr |
0.85 | IWS | iShares Russell Mid | PairCorr |
0.78 | SPYD | SPDR Portfolio SP | PairCorr |
0.84 | COWZ | Pacer Cash Cows Low Volatility | PairCorr |
0.98 | DON | WisdomTree MidCap | PairCorr |
0.96 | RPV | Invesco SP 500 | PairCorr |
0.81 | PEY | Invesco High Yield | PairCorr |
0.85 | PKW | Invesco BuyBack Achievers | PairCorr |
0.96 | ONEY | SPDR Russell 1000 | PairCorr |
0.82 | DFEN | Direxion Daily Aerospace | PairCorr |
0.81 | TARK | AXS 2X Innovation | PairCorr |
0.72 | BITU | ProShares Trust | PairCorr |
0.72 | BTCL | T Rex 2X | PairCorr |
0.8 | BTFX | Valkyrie Bitcoin Futures | PairCorr |
0.92 | KEMQ | KraneShares Emerging | PairCorr |
0.66 | DFCF | Dimensional ETF Trust | PairCorr |
0.97 | JHDV | John Hancock Exchange | PairCorr |
0.8 | HDV | iShares Core High | PairCorr |
Moving against Vanguard Etf
0.72 | WTID | UBS ETRACS | PairCorr |
0.64 | ARKC | ARK 21Shares Active Low Volatility | PairCorr |
0.45 | MCD | McDonalds | PairCorr |
Related Correlations Analysis
0.83 | 0.85 | 0.77 | 0.84 | VFQY | ||
0.83 | 0.95 | 0.94 | 0.94 | VFMO | ||
0.85 | 0.95 | 0.91 | 0.99 | VFVA | ||
0.77 | 0.94 | 0.91 | 0.88 | VFMV | ||
0.84 | 0.94 | 0.99 | 0.88 | VIOV | ||
Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Vanguard Multifactor Constituents Risk-Adjusted Indicators
There is a big difference between Vanguard Etf performing well and Vanguard Multifactor 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 Multifactor'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 | 0.69 | (0.03) | (0.04) | 0.20 | 0.55 | 1.33 | 5.88 | |||
VFMO | 0.74 | 0.29 | 0.00 | (1.06) | 0.46 | 1.58 | 4.49 | |||
VFVA | 0.91 | 0.28 | (0.02) | (0.66) | 0.81 | 2.36 | 7.19 | |||
VFMV | 0.45 | 0.11 | (0.30) | (0.55) | 0.37 | 0.97 | 2.73 | |||
VIOV | 1.01 | 0.30 | (0.03) | (0.47) | 0.97 | 2.58 | 7.33 |