IShares Utilities Correlations

IDU Etf

USD 99.46 0.69 0.69%

The current 90-days correlation between iShares Utilities ETF and iShares Industrials ETF is 0.47 (i.e., Very weak diversification). The correlation of IShares Utilities 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 Utilities Correlation With Market

Weak diversification

The correlation between iShares Utilities ETF and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Utilities ETF 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 Utilities ETF. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with IShares Etf

0.99	XLU	Utilities Select Sector Potential Growth	Pair Corr
1.0	VPU	Vanguard Utilities Index	Pair Corr
1.0	FUTY	Fidelity MSCI Utilities	Pair Corr
0.86	FXU	First Trust Utilities	Pair Corr
0.94	JXI	iShares Global Utilities	Pair Corr
0.75	EWC	iShares MSCI Canada	Pair Corr
0.73	IRET	iREIT MarketVector	Pair Corr
0.65	IEO	iShares Oil Gas	Pair Corr

Moving against IShares Etf

0.65	GGLL	Direxion Daily GOOGL	Pair Corr
0.47	IAUF	IShares	Pair Corr
0.34	EOS	Eaton Vance Enhanced	Pair Corr
0.33	FTSL	First Trust Senior	Pair Corr

Related Correlations Analysis

	IYJ	IYC	IYK	IYZ	IYM
IYJ		0.44	0.55	0.72	0.5	IYJ
IYC	0.44		-0.19	0.87	-0.47	IYC
IYK	0.55	-0.19		0.05	0.83	IYK
IYZ	0.72	0.87	0.05		-0.16	IYZ
IYM	0.5	-0.47	0.83	-0.16		IYM
	IYJ	IYC	IYK	IYZ	IYM

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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

IYZ	+ 0.87	IYC
IYM	+ 0.83	IYK
IYZ	+ 0.72	IYJ
IYK	+ 0.55	IYJ
IYM	+ 0.5	IYJ
IYC	+ 0.44	IYJ

High negative correlations

IYM	- 0.47	IYC
IYK	- 0.19	IYC
IYM	- 0.16	IYZ

IShares Utilities Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Utilities 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 Utilities' 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
IYJ	0.71	0.03	(0.02)	0.16	0.76	(0.79)	1.38	(1.10)	7.37
IYC	0.72	0.18	0.12	0.65	0.71	(0.81)	1.50	(1.27)	6.03
IYK	0.59	(0.08)	0.00	(0.16)	0.00	0.00	0.89	(1.21)	4.40
IYZ	0.71	0.05	0.00	0.23	1.12	(0.70)	1.39	(1.45)	5.92
IYM	0.71	(0.14)	0.00	(0.40)	0.00	0.00	1.11	(1.52)	5.07

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