IShares Environmental Correlations

EFRA Etf

USD 31.12 0.16 0.52%

The current 90-days correlation between iShares Environmental and iShares Dividend and is 0.17 (i.e., Average diversification). The correlation of IShares Environmental 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.

IShares Environmental Correlation With Market

Very weak diversification

The correlation between iShares Environmental Infrastr and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Environmental Infrastr and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in iShares Environmental Infrastructure. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with IShares Etf

0.89	PAVE	Global X Infrastructure	Pair Corr
0.85	NFRA	FlexShares STOXX Global	Pair Corr
0.85	IFRA	iShares Infrastructure	Pair Corr
0.71	TOLZ	ProShares DJ Brookfield	Pair Corr
0.86	SIMS	SPDR SP Kensho	Pair Corr
0.7	INFR	ClearBridge Sustainable	Pair Corr
0.95	BLLD	JP Morgan Exchange	Pair Corr
0.69	XKII	SPDR Kensho Intelligent	Pair Corr
0.74	EWC	iShares MSCI Canada	Pair Corr
0.83	IRET	iREIT MarketVector	Pair Corr
0.76	TRV	The Travelers Companies	Pair Corr
0.84	AA	Alcoa Corp	Pair Corr
0.61	JNJ	Johnson Johnson	Pair Corr
0.73	HPQ	HP Inc	Pair Corr
0.74	VZ	Verizon Communications	Pair Corr
0.64	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.78	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.72	CAT	Caterpillar Earnings Call This Week	Pair Corr

Moving against IShares Etf

0.5	IAUF	IShares	Pair Corr
0.69	BA	Boeing	Pair Corr
0.35	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.62	-0.43	-0.5	0.58	0.77	0.5	0.62	-0.15	-0.63	META
MSFT	0.62		-0.46	-0.23	0.48	0.4	0.6	0.3	-0.01	-0.46	MSFT
UBER	-0.43	-0.46		0.65	-0.3	-0.2	-0.71	-0.25	0.31	0.78	UBER
F	-0.5	-0.23	0.65		0.05	-0.32	-0.17	-0.06	0.09	0.9	F
T	0.58	0.48	-0.3	0.05		0.41	0.67	0.59	-0.17	-0.17	T
A	0.77	0.4	-0.2	-0.32	0.41		0.25	0.72	-0.21	-0.39	A
CRM	0.5	0.6	-0.71	-0.17	0.67	0.25		0.5	-0.29	-0.41	CRM
JPM	0.62	0.3	-0.25	-0.06	0.59	0.72	0.5		-0.55	-0.24	JPM
MRK	-0.15	-0.01	0.31	0.09	-0.17	-0.21	-0.29	-0.55		0.16	MRK
XOM	-0.63	-0.46	0.78	0.9	-0.17	-0.39	-0.41	-0.24	0.16		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

XOM	+ 0.9	F
XOM	+ 0.78	UBER
A	+ 0.77	META
JPM	+ 0.72	A
CRM	+ 0.67	T
F	+ 0.65	UBER

High negative correlations

CRM	- 0.71	UBER
XOM	- 0.63	META
MRK	- 0.55	JPM
F	- 0.5	META
XOM	- 0.46	MSFT
UBER	- 0.46	MSFT

IShares Environmental Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Environmental 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 Environmental'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
META	1.41	0.26	0.13	0.73	1.40	(1.61)	3.43	(2.31)	7.43
MSFT	1.12	(0.03)	0.00	(0.42)	0.00	0.00	2.20	(2.79)	7.31
UBER	1.56	(0.23)	0.00	(3.08)	0.00	0.00	2.67	(5.35)	12.29
F	1.47	(0.18)	0.00	(0.20)	0.00	0.00	2.57	(2.90)	11.21
T	1.00	0.10	0.04	0.30	1.08	(1.12)	1.91	(1.84)	7.94
A	1.20	0.19	0.11	0.48	1.06	(1.46)	2.92	(2.16)	8.06
CRM	1.51	0.34	0.15	2.71	1.42	(1.76)	3.70	(2.88)	14.80
JPM	1.05	0.25	0.15	0.96	1.05	(1.23)	1.92	(1.42)	15.87
MRK	1.03	(0.11)	0.00	(0.43)	0.00	0.00	2.00	(2.13)	5.24
XOM	0.82	(0.16)	0.00	(0.28)	0.00	0.00	1.71	(1.74)	6.06

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