IShares Currency Correlations

HEFA Etf

USD 36.40 0.19 0.52%

The current 90-days correlation between iShares Currency Hedged and iShares Currency Hedged is 0.84 (i.e., Very poor diversification). The correlation of IShares Currency 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 Currency Correlation With Market

Modest diversification

The correlation between iShares Currency Hedged and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Currency Hedged and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares Currency Hedged. 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

0.66	CSCO	Cisco Systems	Pair Corr
0.65	GE	GE Aerospace	Pair Corr
0.75	JPM	JPMorgan Chase	Pair Corr
0.73	AXP	American Express	Pair Corr
0.87	MMM	3M Company	Pair Corr
0.65	IBM	International Business Tech Boost	Pair Corr

Moving against IShares Etf

0.49	AA	Alcoa Corp	Pair Corr
0.48	HPQ	HP Inc	Pair Corr
0.37	DD	Dupont De Nemours Earnings Call This Week	Pair Corr

Related Correlations Analysis

	HEZU	HEEM	HEWJ	DBEF	HEWG
HEZU		0.1	0.49	0.91	-0.75	HEZU
HEEM	0.1		-0.11	0.17	-0.05	HEEM
HEWJ	0.49	-0.11		0.64	-0.49	HEWJ
DBEF	0.91	0.17	0.64		-0.81	DBEF
HEWG	-0.75	-0.05	-0.49	-0.81		HEWG
	HEZU	HEEM	HEWJ	DBEF	HEWG

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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

DBEF	+ 0.91	HEZU
DBEF	+ 0.64	HEWJ
HEWJ	+ 0.49	HEZU
DBEF	+ 0.17	HEEM
HEEM	+ 0.1	HEZU

High negative correlations

HEWG	- 0.81	DBEF
HEWG	- 0.75	HEZU
HEWG	- 0.49	HEWJ
HEWJ	- 0.11	HEEM
HEWG	- 0.05	HEEM

IShares Currency Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Currency 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 Currency'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
HEZU	0.54	0.08	0.04	0.65	0.47	(0.61)	1.05	(1.05)	2.54
HEEM	0.61	(0.04)	0.00	(0.06)	0.00	0.00	1.75	(1.60)	4.14
HEWJ	0.79	0.11	0.03	(1.03)	0.95	(0.81)	1.67	(1.67)	5.48
DBEF	0.48	0.08	0.01	(2.39)	0.46	(0.51)	0.98	(0.87)	2.27
HEWG	0.63	(0.07)	0.00	0.91	0.00	0.00	1.16	(1.60)	3.94

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