IShares Currency Correlations

HEFA Etf

USD 35.15 0.28 0.80%

The current 90-days correlation between iShares Currency Hedged and Dimensional Core Equity is 0.68 (i.e., 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

Poor diversification

The correlation between iShares Currency Hedged and DJI is 0.61 (i.e., Poor 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

0.71	VEU	Vanguard FTSE All	Pair Corr
0.71	IXUS	iShares Core MSCI	Pair Corr
0.71	DFAX	Dimensional World	Pair Corr
0.72	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.69	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.61	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.8	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.64	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr

Moving against IShares Etf

0.52	NRGU	Bank Of Montreal	Pair Corr
0.36	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	DFAU	DFAE	DFAT	DFAS	DFAC
DFAU		0.33	0.91	0.95	1.0	DFAU
DFAE	0.33		0.1	0.17	0.32	DFAE
DFAT	0.91	0.1		0.99	0.93	DFAT
DFAS	0.95	0.17	0.99		0.96	DFAS
DFAC	1.0	0.32	0.93	0.96		DFAC
	DFAU	DFAE	DFAT	DFAS	DFAC

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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
DFAU	0.58	0.00	0.00	0.10	0.67	(0.64)	1.25	(1.31)	4.26
DFAE	0.86	(0.07)	0.00	(0.05)	0.00	0.00	2.02	(1.91)	5.87
DFAT	0.91	(0.01)	0.04	0.09	0.81	(1.12)	2.01	(1.67)	7.97
DFAS	0.86	(0.01)	0.04	0.09	0.82	(1.03)	2.13	(1.39)	7.02
DFAC	0.60	0.00	0.00	0.10	0.66	(0.66)	1.29	(1.23)	4.65

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