WisdomTree Multifactor Correlations

USMF Etf

USD 52.07 0.16 0.31%

The current 90-days correlation between WisdomTree Multifactor and iShares MSCI Emerging is 0.43 (i.e., Very weak diversification). The correlation of WisdomTree 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.

WisdomTree Multifactor Correlation With Market

Poor diversification

The correlation between WisdomTree Multifactor and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding WisdomTree Multifactor and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with WisdomTree Etf

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

Moving together with WisdomTree Etf

0.82	VO	Vanguard Mid Cap	Pair Corr
0.69	VXF	Vanguard Extended Market	Pair Corr
0.68	IJH	iShares Core SP	Pair Corr
0.81	IWR	iShares Russell Mid	Pair Corr
0.68	MDY	SPDR SP MIDCAP	Pair Corr
0.72	FV	First Trust Dorsey	Pair Corr
0.68	IVOO	Vanguard SP Mid	Pair Corr
0.64	JHMM	John Hancock Multifactor	Pair Corr
0.88	DVXB	WEBs Defined Volatility	Pair Corr
0.7	SCZ	iShares MSCI EAFE	Pair Corr

Moving against WisdomTree Etf

0.56	VXX	iPath Series B Sell-off Trend	Pair Corr
0.45	GGOV	BlackRock ETF Trust	Pair Corr
0.31	PHT	PHT	Pair Corr

Related Correlations Analysis

	EEMS	EWQ	HEWJ	NUMV	JPUS	EWD	GQRE	AIVL	VIDI	EWJV
EEMS		0.39	0.13	0.09	0.02	0.43	0.26	0.11	0.22	0.1	EEMS
EWQ	0.39		0.42	0.67	0.61	0.83	0.45	0.7	0.54	0.56	EWQ
HEWJ	0.13	0.42		0.58	0.37	0.43	-0.23	0.19	0.86	0.74	HEWJ
NUMV	0.09	0.67	0.58		0.91	0.78	0.29	0.83	0.76	0.87	NUMV
JPUS	0.02	0.61	0.37	0.91		0.67	0.49	0.88	0.58	0.76	JPUS
EWD	0.43	0.83	0.43	0.78	0.67		0.28	0.78	0.62	0.67	EWD
GQRE	0.26	0.45	-0.23	0.29	0.49	0.28		0.55	-0.09	0.09	GQRE
AIVL	0.11	0.7	0.19	0.83	0.88	0.78	0.55		0.37	0.59	AIVL
VIDI	0.22	0.54	0.86	0.76	0.58	0.62	-0.09	0.37		0.87	VIDI
EWJV	0.1	0.56	0.74	0.87	0.76	0.67	0.09	0.59	0.87		EWJV
	EEMS	EWQ	HEWJ	NUMV	JPUS	EWD	GQRE	AIVL	VIDI	EWJV

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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

JPUS	+ 0.91	NUMV
AIVL	+ 0.88	JPUS
EWJV	+ 0.87	NUMV
EWJV	+ 0.87	VIDI
VIDI	+ 0.86	HEWJ
EWD	+ 0.83	EWQ

High negative correlations

GQRE	- 0.23	HEWJ
VIDI	- 0.09	GQRE

WisdomTree Multifactor Constituents Risk-Adjusted Indicators

There is a big difference between WisdomTree Etf performing well and WisdomTree 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 WisdomTree 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
EEMS	0.62	(0.06)	0.00	(0.03)	0.00	0.00	0.97	(1.07)	3.73
EWQ	0.69	0.00	(0.02)	0.05	0.76	(0.74)	1.63	(1.30)	3.22
HEWJ	0.86	0.04	0.02	0.10	1.21	(0.89)	1.96	(1.72)	8.32
NUMV	0.57	0.01	(0.01)	0.07	0.68	(0.56)	1.07	(1.12)	2.92
JPUS	0.54	(0.01)	(0.04)	0.04	0.61	(0.58)	1.01	(0.97)	2.65
EWD	0.74	0.01	0.00	0.06	0.90	(0.70)	1.52	(1.54)	3.28
GQRE	0.47	(0.05)	0.00	(0.03)	0.00	0.00	0.96	(1.15)	3.07
AIVL	0.51	(0.01)	(0.04)	0.04	0.66	(0.49)	1.06	(1.16)	2.96
VIDI	0.59	0.05	0.04	0.11	0.73	(0.63)	0.94	(1.45)	3.18
EWJV	0.76	0.02	0.01	0.08	0.98	(0.80)	1.71	(1.58)	5.74

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