Vanguard Multifactor Correlations

VFMF ETF

USD 154.12 -1.70 -1.09%

Low or negative correlation with other holdings can meaningfully reduce portfolio drawdowns during market stress. The current 90-days correlation between Vanguard Multifactor and EMQQ The Emerging is -0.27 (i.e., Strong inverse diversification).

Vanguard Multifactor Correlation to Market

Weak diversification

Vanguard Multifactor currently posts a 0.48 correlation with Dow Jones, indicating a Weak diversification relationship for the active sample. This chart helps evaluate whether adding Dow Jones genuinely reduces risk relative to holding Vanguard Multifactor alone.

Build portfolio with Vanguard ETF

World Market Map frames the approach to diversified portfolio design. The information is presented without directional commentary. Adding Vanguard Multifactor to a portfolio enables side-by-side comparison with other holdings. Risk and return metrics update as positions are added or adjusted. Broader economic conditions can influence Vanguard Multifactor's ETF valuation — related indicators include signals in inflation.

Moving together with Vanguard ETF

0.93	VOE	Vanguard Mid Cap	Pair Corr
0.92	SDY	SPDR SAMPP Dividend	Pair Corr
0.9	DVY	iShares Select Dividend	Pair Corr
0.92	IWS	iShares Russell Mid	Pair Corr
0.92	FVD	First Trust Value	Pair Corr
0.9	SPYD	SPDR Portfolio SAMPP	Pair Corr
0.87	COWZ	Pacer Cash Cows	Pair Corr
0.8	IJJ	iShares SAMPP Mid	Pair Corr
0.92	DON	WisdomTree MidCap	Pair Corr
0.93	RPV	Invesco SAMPP 500	Pair Corr
0.62	OIH	VanEck Oil Services	Pair Corr
0.74	EWC	iShares MSCI Canada	Pair Corr
0.71	BME	BlackRock Health Sciences	Pair Corr
0.74	MCD	McDonalds	Pair Corr
0.9	DD	Dupont De Nemours	Pair Corr
0.71	JNJ	Johnson Johnson	Pair Corr
0.77	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.88	PG	Procter Gamble	Pair Corr
0.8	CAT	Caterpillar	Pair Corr
0.75	MRK	Merck Company Aggressive Push	Pair Corr

Moving Against Vanguard ETF

0.66	ARKW	ARK Next Generation	Pair Corr
0.51	HUM	Humana Inc	Pair Corr
0.39	IBM	International Business	Pair Corr

Related Correlations Analysis

	VFQY	QINT	KBWD	VIDI	EWJV	EELV	EPOL	WWJD	KBWP	EMQQ
VFQY		0.62	0.83	0.28	0.35	0.45	0.65	0.53	0.46	0.7	VFQY
QINT	0.62		0.34	0.91	0.9	0.96	0.91	0.99	0.03	0.05	QINT
KBWD	0.83	0.34		0.04	0.07	0.24	0.51	0.26	0.2	0.84	KBWD
VIDI	0.28	0.91	0.04		0.92	0.96	0.79	0.94	-0.25	-0.31	VIDI
EWJV	0.35	0.9	0.07	0.92		0.91	0.74	0.92	-0.14	-0.25	EWJV
EELV	0.45	0.96	0.24	0.96	0.91		0.9	0.97	-0.16	-0.08	EELV
EPOL	0.65	0.91	0.51	0.79	0.74	0.9		0.89	0.0	0.27	EPOL
WWJD	0.53	0.99	0.26	0.94	0.92	0.97	0.89		-0.03	-0.04	WWJD
KBWP	0.46	0.03	0.2	-0.25	-0.14	-0.16	0.0	-0.03		0.43	KBWP
EMQQ	0.7	0.05	0.84	-0.31	-0.25	-0.08	0.27	-0.04	0.43		EMQQ
	VFQY	QINT	KBWD	VIDI	EWJV	EELV	EPOL	WWJD	KBWP	EMQQ

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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

WWJD	+ 0.99	QINT
WWJD	+ 0.97	EELV
EELV	+ 0.96	QINT
EELV	+ 0.96	VIDI
WWJD	+ 0.94	VIDI
EWJV	+ 0.92	VIDI

High negative correlations

EMQQ	- 0.31	VIDI
EMQQ	- 0.25	EWJV
KBWP	- 0.25	VIDI
KBWP	- 0.16	EELV
KBWP	- 0.14	EWJV
EMQQ	- 0.08	EELV

Vanguard Multifactor Constituents Risk-Adjusted Indicators

Return momentum in Vanguard ETF is more useful when tested against peer-relative fundamentals and risk. Without risk-adjusted context, investors may overweight short-term returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VFQY	0.72	0.00	0.00	-0.08	0.00	0.00	1.30	-1.51	4.44
QINT	0.81	0.07	0.05	-0.01	1.29	-0.71	1.58	-1.74	5.33
KBWD	0.83	-0.06	0.00	-0.15	0.00	0.00	1.54	-2.05	4.82
VIDI	0.80	0.15	0.11	0.10	1.28	-0.74	1.78	-1.84	5.40
EWJV	1.01	0.15	0.10	0.07	1.34	-1.09	1.99	-2.48	7.43
EELV	0.65	0.08	0.11	0.05	0.92	-0.64	1.45	-1.72	3.73
EPOL	1.21	0.08	0.05	0.01	1.62	-1.19	2.54	-2.38	7.84
WWJD	0.77	0.07	0.06	0.01	1.29	-0.69	1.60	-1.86	5.42
KBWP	0.73	-0.08	0.00	-0.48	0.00	0.00	1.43	-1.69	6.39
EMQQ	1.16	-0.23	0.00	-0.27	0.00	0.00	2.25	-2.52	6.15

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