IShares ESG Correlations

ESGD Etf

USD 102.98 0.11 0.11%

The current 90-days correlation between iShares ESG Aware and Dimensional International Core is 0.97 (i.e., Almost no diversification). The correlation of IShares ESG 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 ESG Correlation With Market

Almost no diversification

The correlation between iShares ESG Aware and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aware and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

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

Moving together with IShares Etf

1.0	VEA	Vanguard FTSE Developed Aggressive Push	Pair Corr
1.0	IEFA	iShares Core MSCI Aggressive Push	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
1.0	EFA	iShares MSCI EAFE Aggressive Push	Pair Corr
1.0	IXUS	iShares Core MSCI	Pair Corr
1.0	SPDW	SPDR SP World	Pair Corr
1.0	IDEV	iShares Core MSCI	Pair Corr
1.0	JIRE	JP Morgan Exchange	Pair Corr
0.99	DFAX	Dimensional World	Pair Corr
0.92	MUU	Direxion Daily MU	Pair Corr
0.92	MULL	GraniteShares 2x Long	Pair Corr
0.95	KORU	Direxion Daily South	Pair Corr
0.79	GDXU	MicroSectors Gold Miners Upward Rally	Pair Corr
0.85	JNUG	Direxion Daily Junior	Pair Corr
0.78	FNGD	MicroSectors FANG Index	Pair Corr
0.87	NUGT	Direxion Daily Gold	Pair Corr
0.82	BWET	ETF Managers Group	Pair Corr
0.85	SHNY	Microsectors Gold	Pair Corr
0.76	DBA	Invesco DB Agriculture	Pair Corr
0.8	FXC	Invesco CurrencyShares	Pair Corr
0.85	WDNA	WisdomTree BioRevolution	Pair Corr
0.9	TLCI	Touchstone ETF Trust	Pair Corr
0.92	DFSD	Dimensional ETF Trust	Pair Corr
0.88	GDXY	YieldMax Gold Miners	Pair Corr
0.91	PFFA	Virtus InfraCap Preferred	Pair Corr
0.88	XYLD	Global X SP	Pair Corr
0.97	IQSZ	Invesco Actively Managed	Pair Corr
0.91	XFIX	Fm Investments Symbol Change	Pair Corr
0.96	CHPS	Xtrackers Semiconductor	Pair Corr
0.98	FIDU	Fidelity MSCI Industrials	Pair Corr
0.86	PSFD	Pacer Swan SOS	Pair Corr
0.89	SIXJ	AIM ETF Products	Pair Corr
0.98	IRTR	iShares Trust	Pair Corr
0.88	XAUG	FT Cboe Vest	Pair Corr

Related Correlations Analysis

	SCZ	MGV	EZU	AMLP	EFG	INDA	HDV	IGV	AVUS	DFIC
SCZ		0.98	0.98	0.89	0.96	-0.63	0.89	-0.78	0.95	1.0	SCZ
MGV	0.98		0.95	0.91	0.92	-0.57	0.93	-0.83	0.94	0.98	MGV
EZU	0.98	0.95		0.81	0.97	-0.62	0.81	-0.67	0.97	0.98	EZU
AMLP	0.89	0.91	0.81		0.81	-0.59	0.97	-0.91	0.8	0.9	AMLP
EFG	0.96	0.92	0.97	0.81		-0.61	0.79	-0.64	0.94	0.95	EFG
INDA	-0.63	-0.57	-0.62	-0.59	-0.61		-0.5	0.41	-0.61	-0.62	INDA
HDV	0.89	0.93	0.81	0.97	0.79	-0.5		-0.95	0.78	0.9	HDV
IGV	-0.78	-0.83	-0.67	-0.91	-0.64	0.41	-0.95		-0.62	-0.78	IGV
AVUS	0.95	0.94	0.97	0.8	0.94	-0.61	0.78	-0.62		0.95	AVUS
DFIC	1.0	0.98	0.98	0.9	0.95	-0.62	0.9	-0.78	0.95		DFIC
	SCZ	MGV	EZU	AMLP	EFG	INDA	HDV	IGV	AVUS	DFIC

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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

DFIC	+ 1.0	SCZ
MGV	+ 0.98	SCZ
EZU	+ 0.98	SCZ
DFIC	+ 0.98	MGV
DFIC	+ 0.98	EZU
EFG	+ 0.97	EZU

High negative correlations

IGV	- 0.95	HDV
IGV	- 0.91	AMLP
IGV	- 0.83	MGV
DFIC	- 0.78	IGV
IGV	- 0.78	SCZ
IGV	- 0.67	EZU

IShares ESG Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares ESG 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 ESG'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
SCZ	0.59	0.14	0.15	0.27	0.54	(0.63)	1.39	(1.23)	3.40
MGV	0.55	0.11	0.16	0.21	0.34	(0.65)	1.24	(0.97)	2.89
EZU	0.65	0.08	0.08	0.16	0.61	(0.71)	1.54	(1.24)	3.46
AMLP	0.51	0.18	0.17	11.54	0.36	(0.59)	1.26	(0.88)	3.07
EFG	0.72	0.05	0.04	0.12	0.86	(0.70)	1.37	(1.45)	3.83
INDA	0.58	(0.06)	0.00	(0.13)	0.00	0.00	0.94	(1.01)	3.89
HDV	0.52	0.21	0.30	0.76	0.00	(0.60)	1.41	(0.71)	2.75
IGV	1.40	(0.51)	0.00	(0.45)	0.00	0.00	1.61	(2.97)	6.59
AVUS	0.58	0.02	0.01	0.08	0.72	(0.58)	1.34	(1.53)	3.61
DFIC	0.61	0.16	0.17	0.28	0.52	(0.66)	1.47	(1.13)	3.11

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