IShares Fallen Correlations

FALN Etf

USD 27.51 0.06 0.22%

The current 90-days correlation between iShares Fallen Angels and iShares Consumer Discretionary is 0.66 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Fallen moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Fallen Angels moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Fallen Correlation With Market

Almost no diversification

The correlation between iShares Fallen Angels and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Fallen Angels 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 Fallen Angels. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with IShares Etf

0.98	HYG	iShares iBoxx High	Pair Corr
0.98	USHY	iShares Broad USD	Pair Corr
0.98	JNK	SPDR Bloomberg High	Pair Corr
0.94	SHYG	iShares 0 5	Pair Corr
0.97	HYLB	Xtrackers USD High	Pair Corr
0.95	SJNK	SPDR Bloomberg Short	Pair Corr
0.99	ANGL	VanEck Fallen Angel	Pair Corr
0.89	HYLS	First Trust Tactical	Pair Corr
0.95	HYDW	Xtrackers Low Beta	Pair Corr
0.71	AGQ	ProShares Ultra Silver Upward Rally	Pair Corr
0.85	JNUG	Direxion Daily Junior	Pair Corr
0.85	NUGT	Direxion Daily Gold	Pair Corr
0.9	GGLL	Direxion Daily GOOGL	Pair Corr
0.96	AHYB	American Century ETF	Pair Corr
0.76	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.87	CAT	Caterpillar	Pair Corr
0.86	BA	Boeing	Pair Corr
0.81	JNJ	Johnson Johnson	Pair Corr
0.88	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.68	PFE	Pfizer Inc	Pair Corr
0.88	DD	Dupont De Nemours	Pair Corr

Moving against IShares Etf

0.71	FNGO	MicroSectors FANG Index	Pair Corr
0.48	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.72	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.47	-0.53	0.48	0.17	-0.58	-0.07	0.21	0.51	0.49	META
MSFT	-0.47		0.74	-0.51	-0.47	0.62	0.73	0.06	-0.81	-0.88	MSFT
UBER	-0.53	0.74		-0.46	-0.21	0.71	0.35	-0.11	-0.79	-0.66	UBER
F	0.48	-0.51	-0.46		-0.15	-0.35	-0.13	0.34	0.68	0.6	F
T	0.17	-0.47	-0.21	-0.15		-0.12	-0.64	-0.17	0.18	0.35	T
A	-0.58	0.62	0.71	-0.35	-0.12		0.31	-0.09	-0.53	-0.71	A
CRM	-0.07	0.73	0.35	-0.13	-0.64	0.31		0.49	-0.4	-0.73	CRM
JPM	0.21	0.06	-0.11	0.34	-0.17	-0.09	0.49		0.23	-0.07	JPM
MRK	0.51	-0.81	-0.79	0.68	0.18	-0.53	-0.4	0.23		0.77	MRK
XOM	0.49	-0.88	-0.66	0.6	0.35	-0.71	-0.73	-0.07	0.77		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	+ 0.77	MRK
UBER	+ 0.74	MSFT
CRM	+ 0.73	MSFT
A	+ 0.71	UBER
MRK	+ 0.68	F
A	+ 0.62	MSFT

High negative correlations

XOM	- 0.88	MSFT
MRK	- 0.81	MSFT
MRK	- 0.79	UBER
XOM	- 0.73	CRM
XOM	- 0.71	A
XOM	- 0.66	UBER

IShares Fallen Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Fallen 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 Fallen'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	1.52	0.08	0.03	0.22	1.50	(1.76)	3.43	(2.67)	13.69
MSFT	1.36	(0.35)	0.00	(0.76)	0.00	0.00	1.90	(2.74)	13.28
UBER	1.48	(0.41)	0.00	(0.68)	0.00	0.00	2.41	(3.82)	11.09
F	1.21	0.03	0.02	0.12	1.19	(1.45)	3.38	(2.35)	7.16
T	0.94	0.16	0.08	1.67	0.82	(1.06)	2.02	(1.54)	5.31
A	1.21	(0.31)	0.00	(0.16)	0.00	0.00	2.90	(2.58)	7.85
CRM	1.68	(0.49)	0.00	(0.35)	0.00	0.00	2.94	(5.31)	12.37
JPM	1.20	0.10	(0.01)	(0.27)	1.67	(1.24)	2.34	(3.11)	7.38
MRK	1.31	0.47	0.32	0.81	0.99	(1.62)	3.59	(1.98)	8.09
XOM	1.18	0.43	0.27	3.64	0.93	(1.41)	2.69	(2.11)	5.85

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