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.

Build AI portfolio with Vanguard Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Multifactor. 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

0.98	VOE	Vanguard Mid Cap	Pair Corr
0.84	SDY	SPDR SP Dividend	Pair Corr
0.85	IWS	iShares Russell Mid	Pair Corr
0.78	SPYD	SPDR Portfolio SP	Pair Corr
0.84	COWZ	Pacer Cash Cows Low Volatility	Pair Corr
0.98	DON	WisdomTree MidCap	Pair Corr
0.96	RPV	Invesco SP 500	Pair Corr
0.81	PEY	Invesco High Yield	Pair Corr
0.85	PKW	Invesco BuyBack Achievers	Pair Corr
0.96	ONEY	SPDR Russell 1000	Pair Corr
0.82	DFEN	Direxion Daily Aerospace	Pair Corr
0.81	TARK	AXS 2X Innovation	Pair Corr
0.72	BITU	ProShares Trust	Pair Corr
0.72	BTCL	T Rex 2X	Pair Corr
0.8	BTFX	Valkyrie Bitcoin Futures	Pair Corr
0.92	KEMQ	KraneShares Emerging	Pair Corr
0.66	DFCF	Dimensional ETF Trust	Pair Corr
0.97	JHDV	John Hancock Exchange	Pair Corr
0.8	HDV	iShares Core High	Pair Corr

Moving against Vanguard Etf

0.72	WTID	UBS ETRACS	Pair Corr
0.64	ARKC	ARK 21Shares Active Low Volatility	Pair Corr
0.45	MCD	McDonalds	Pair Corr

Related Correlations Analysis

	VFQY	VFMO	VFVA	VFMV	VIOV
VFQY		0.83	0.85	0.77	0.84	VFQY
VFMO	0.83		0.95	0.94	0.94	VFMO
VFVA	0.85	0.95		0.91	0.99	VFVA
VFMV	0.77	0.94	0.91		0.88	VFMV
VIOV	0.84	0.94	0.99	0.88		VIOV
	VFQY	VFMO	VFVA	VFMV	VIOV

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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	(0.79)	1.33	(1.16)	5.88
VFMO	0.74	0.29	0.00	(1.06)	0.46	(0.98)	1.58	(1.10)	4.49
VFVA	0.91	0.28	(0.02)	(0.66)	0.81	(1.03)	2.36	(1.44)	7.19
VFMV	0.45	0.11	(0.30)	(0.55)	0.37	(0.55)	0.97	(0.88)	2.73
VIOV	1.01	0.30	(0.03)	(0.47)	0.97	(1.14)	2.58	(1.89)	7.33

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