IShares Core Correlations

CHSPI Etf

CHF 162.94 0.02 0.01%

The current 90-days correlation between iShares Core SPI and Xtrackers Switzerland UCITS is 0.96 (i.e., Almost no diversification). The correlation of IShares Core 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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares Core Correlation With Market

Very poor diversification

The correlation between iShares Core SPI and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SPI and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares Core could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares Core when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares Core - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares Core SPI to buy it.

Moving together with IShares Etf

1.0	CSSMI	iShares SMI ETF	Pair Corr
0.99	SMICHA	UBS ETF SMI	Pair Corr
0.97	XSMI	Xtrackers Switzerland	Pair Corr
0.99	XSMC	Xtrackers Switzerland	Pair Corr
0.96	CHDVD	iShares Swiss Dividend	Pair Corr
1.0	SPICHA	UBS ETF SPI	Pair Corr
0.95	SLICHA	UBS ETF SLI	Pair Corr
1.0	SW2CHB	UBSFund Solutions MSCI	Pair Corr
0.97	CHSRIA	UBS ETF MSCI	Pair Corr
0.79	JPNJPA	UBSFund Solutions MSCI	Pair Corr
0.82	JPNUKD	UBSFund Solutions MSCI	Pair Corr
0.7	HKDU	UBSFund Solutions MSCI	Pair Corr
0.94	XEOU	Xtrackers MSCI Europe	Pair Corr
0.86	XMEX	Xtrackers MSCI Mexico	Pair Corr
0.77	CSNKY	iShares VII PLC	Pair Corr

Moving against IShares Etf

0.71

LYYIEL

Amundi EUR High

Pair Corr

Related Correlations Analysis

	CHDVD	WRDUSW	XMCJ	CORC	VECP	SHIR	SMICHA	CSSMI	XSMC
CHDVD		0.47	0.87	0.12	-0.32	-0.52	0.97	0.97	0.96	CHDVD
WRDUSW	0.47		0.43	0.13	0.48	-0.38	0.58	0.58	0.6	WRDUSW
XMCJ	0.87	0.43		0.08	-0.4	-0.48	0.85	0.85	0.84	XMCJ
CORC	0.12	0.13	0.08		0.15	0.6	0.05	0.05	0.04	CORC
VECP	-0.32	0.48	-0.4	0.15		0.1	-0.2	-0.2	-0.19	VECP
SHIR	-0.52	-0.38	-0.48	0.6	0.1		-0.63	-0.63	-0.64	SHIR
SMICHA	0.97	0.58	0.85	0.05	-0.2	-0.63		1.0	1.0	SMICHA
CSSMI	0.97	0.58	0.85	0.05	-0.2	-0.63	1.0		1.0	CSSMI
XSMC	0.96	0.6	0.84	0.04	-0.19	-0.64	1.0	1.0		XSMC
	CHDVD	WRDUSW	XMCJ	CORC	VECP	SHIR	SMICHA	CSSMI	XSMC

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

CSSMI	+ 1.0	SMICHA
XSMC	+ 1.0	SMICHA
XSMC	+ 1.0	CSSMI
SMICHA	+ 0.97	CHDVD
CSSMI	+ 0.97	CHDVD
XSMC	+ 0.96	CHDVD

High negative correlations

XSMC	- 0.64	SHIR
CSSMI	- 0.63	SHIR
SMICHA	- 0.63	SHIR
SHIR	- 0.52	CHDVD
SHIR	- 0.48	XMCJ
VECP	- 0.4	XMCJ

IShares Core Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Core 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 IShares Core'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
CHDVD	0.49	0.09	0.06	0.96	0.33	(0.59)	1.26	(0.74)	3.40
WRDUSW	0.75	(0.05)	0.00	(0.04)	0.00	0.00	1.65	(1.59)	4.56
XMCJ	0.92	0.21	0.16	0.83	0.74	(1.14)	2.45	(1.50)	4.44
CORC	0.18	0.00	(0.22)	(0.27)	0.19	(0.28)	0.42	(0.42)	0.85
VECP	0.19	(0.04)	0.00	(0.27)	0.00	0.00	0.38	(0.42)	0.93
SHIR	0.13	(0.01)	(0.31)	1.97	0.15	(0.26)	0.23	(0.23)	0.70
SMICHA	0.46	0.12	0.11	0.94	0.28	(0.56)	1.11	(0.87)	3.47
CSSMI	0.45	0.12	0.11	0.98	0.28	(0.57)	1.05	(0.80)	3.52
XSMC	0.46	0.12	0.10	1.04	0.32	(0.53)	0.97	(0.78)	3.52

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares Core without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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