IShares Core Correlations

IDEV Etf

USD 90.07 0.67 0.75%

The current 90-days correlation between iShares Core MSCI and SPDR SP MIDCAP is 0.74 (i.e., Poor diversification). The correlation of IShares Core 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 Core Correlation With Market

Almost no diversification

The correlation between iShares Core MSCI 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 Core MSCI and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares Core MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in housing.

Moving together with IShares Etf

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

Related Correlations Analysis

	ACWI	EEM	USMV	IYW	EWJ	IUSV	DVY	EFV	IWP	MDY
ACWI		0.92	0.85	0.1	0.86	0.96	0.87	0.92	0.24	0.95	ACWI
EEM	0.92		0.79	-0.2	0.93	0.9	0.94	0.95	-0.07	0.91	EEM
USMV	0.85	0.79		-0.12	0.83	0.88	0.86	0.87	0.02	0.85	USMV
IYW	0.1	-0.2	-0.12		-0.34	-0.1	-0.38	-0.27	0.84	-0.09	IYW
EWJ	0.86	0.93	0.83	-0.34		0.91	0.97	0.96	-0.17	0.91	EWJ
IUSV	0.96	0.9	0.88	-0.1	0.91		0.93	0.95	0.1	0.98	IUSV
DVY	0.87	0.94	0.86	-0.38	0.97	0.93		0.98	-0.21	0.92	DVY
EFV	0.92	0.95	0.87	-0.27	0.96	0.95	0.98		-0.13	0.94	EFV
IWP	0.24	-0.07	0.02	0.84	-0.17	0.1	-0.21	-0.13		0.16	IWP
MDY	0.95	0.91	0.85	-0.09	0.91	0.98	0.92	0.94	0.16		MDY
	ACWI	EEM	USMV	IYW	EWJ	IUSV	DVY	EFV	IWP	MDY

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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

MDY	+ 0.98	IUSV
EFV	+ 0.98	DVY
DVY	+ 0.97	EWJ
IUSV	+ 0.96	ACWI
EFV	+ 0.96	EWJ
MDY	+ 0.95	ACWI

High negative correlations

DVY	- 0.38	IYW
EWJ	- 0.34	IYW
EFV	- 0.27	IYW
IWP	- 0.21	DVY
IYW	- 0.2	EEM
IWP	- 0.17	EWJ

IShares Core Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Core 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 Core'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
ACWI	0.54	0.03	0.02	0.11	0.64	(0.56)	0.99	(1.23)	3.54
EEM	0.72	0.16	0.17	0.31	0.54	(0.82)	1.98	(1.18)	5.01
USMV	0.38	(0.01)	(0.09)	0.06	0.41	(0.39)	1.05	(0.81)	2.03
IYW	0.95	(0.12)	0.00	(0.05)	0.00	0.00	1.56	(2.41)	6.02
EWJ	0.81	0.12	0.11	0.20	0.76	(0.92)	2.11	(1.79)	5.94
IUSV	0.50	0.03	0.02	0.11	0.48	(0.56)	1.08	(1.11)	3.07
DVY	0.59	0.13	0.16	0.26	0.40	(0.68)	1.43	(0.87)	3.53
EFV	0.60	0.16	0.19	0.30	0.40	(0.68)	1.36	(1.23)	3.42
IWP	0.80	(0.09)	0.00	(0.01)	0.00	0.00	1.41	(1.87)	5.81
MDY	0.70	0.10	0.13	0.17	0.53	(0.79)	1.88	(1.36)	4.62

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