IShares Environmentally Correlations

ERET Etf

25.64 0.31 1.22%

The current 90-days correlation between iShares Environmentally and iShares Environmental Infrastructure is 0.75 (i.e., Poor diversification). The correlation of IShares Environmentally 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 Environmentally Correlation With Market

Average diversification

The correlation between iShares Environmentally Aware and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Environmentally Aware 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 Environmentally Aware. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with IShares Etf

1.0	REET	iShares Global REIT	Pair Corr
1.0	RWO	SPDR Dow Jones	Pair Corr
0.95	HAUZ	Xtrackers International	Pair Corr
0.92	RWX	SPDR Dow Jones	Pair Corr
0.99	GQRE	FlexShares Global Quality	Pair Corr
0.99	AVRE	Avantis Real Estate	Pair Corr
0.92	IFGL	iShares International	Pair Corr
0.98	WTRE	WisdomTree New Economy	Pair Corr
0.88	FDV	First Trust Capital	Pair Corr
0.63	QQEW	First Trust NASDAQ	Pair Corr
0.63	PG	Procter Gamble	Pair Corr
0.83	TRV	The Travelers Companies	Pair Corr
0.65	JNJ	Johnson Johnson	Pair Corr
0.78	INTC	Intel	Pair Corr
0.73	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.86	AA	Alcoa Corp	Pair Corr

Moving against IShares Etf

0.75	TRSY	Xtrackers 0 1	Pair Corr
0.73	BA	Boeing	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.62	-0.43	-0.5	0.58	0.48	0.34	0.62	-0.15	-0.63	META
MSFT	0.62		-0.46	-0.23	0.48	0.2	0.55	0.3	-0.01	-0.46	MSFT
UBER	-0.43	-0.46		0.65	-0.3	0.27	-0.11	-0.25	0.31	0.78	UBER
F	-0.5	-0.23	0.65		0.05	-0.2	0.01	-0.06	0.09	0.9	F
T	0.58	0.48	-0.3	0.05		0.11	0.51	0.59	-0.17	-0.17	T
A	0.48	0.2	0.27	-0.2	0.11		0.1	0.26	0.25	-0.17	A
CRM	0.34	0.55	-0.11	0.01	0.51	0.1		0.0	0.27	-0.16	CRM
JPM	0.62	0.3	-0.25	-0.06	0.59	0.26	0.0		-0.55	-0.24	JPM
MRK	-0.15	-0.01	0.31	0.09	-0.17	0.25	0.27	-0.55		0.16	MRK
XOM	-0.63	-0.46	0.78	0.9	-0.17	-0.17	-0.16	-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
F	+ 0.65	UBER
MSFT	+ 0.62	META
JPM	+ 0.62	META
JPM	+ 0.59	T

High negative correlations

XOM	- 0.63	META
MRK	- 0.55	JPM
F	- 0.5	META
XOM	- 0.46	MSFT
UBER	- 0.46	MSFT
UBER	- 0.43	META

IShares Environmentally Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Environmentally 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 Environmentally'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	1.15	0.13	0.04	1.36	1.14	(1.37)	2.81	(2.16)	5.70
CRM	1.55	0.28	0.13	0.81	1.42	(1.88)	3.96	(2.95)	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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