IShares Core Correlations

IEFA Etf

USD 95.66 2.08 2.22%

The current 90-days correlation between iShares Core MSCI and iShares Core SP is -0.19 (i.e., Good 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.

IShares Core Correlation With Market

Very poor diversification

The correlation between iShares Core MSCI and DJI is 0.89 (i.e., Very poor 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 price.

Moving together with IShares Etf

0.98	VEA	Vanguard FTSE Developed	Pair Corr
0.98	VEU	Vanguard FTSE All	Pair Corr
0.98	EFA	iShares MSCI EAFE	Pair Corr
0.97	IXUS	iShares Core MSCI	Pair Corr
0.98	SPDW	SPDR SP World	Pair Corr
0.97	IDEV	iShares Core MSCI	Pair Corr
0.97	ESGD	iShares ESG Aware	Pair Corr
0.97	JIRE	JP Morgan Exchange	Pair Corr
0.98	DFAX	Dimensional World	Pair Corr
0.93	MUU	Direxion Daily MU Downward Rally	Pair Corr
0.93	MULL	GraniteShares 2x Long Downward Rally	Pair Corr
0.75	AGQ	ProShares Ultra Silver Upward Rally	Pair Corr
0.87	JNUG	Direxion Daily Junior	Pair Corr
0.83	GDXU	MicroSectors Gold Miners Trending	Pair Corr
0.93	KORU	Direxion Daily South	Pair Corr
0.88	NUGT	Direxion Daily Gold	Pair Corr
0.86	SHNY	Microsectors Gold Trending	Pair Corr
0.91	SIL	Global X Silver	Pair Corr
0.88	SIVR	abrdn Physical Silver	Pair Corr
0.84	RDIV	Invesco SP Ultra	Pair Corr
0.82	VBK	Vanguard Small Cap	Pair Corr
0.96	BINC	BlackRock ETF Trust	Pair Corr
0.89	AHYB	American Century ETF	Pair Corr
0.88	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.82	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.8	INTC	Intel	Pair Corr
0.68	PFE	Pfizer Inc	Pair Corr
0.83	JNJ	Johnson Johnson	Pair Corr
0.93	BA	Boeing	Pair Corr

Moving against IShares Etf

0.72	MSFT	Microsoft	Pair Corr
0.43	MMM	3M Company	Pair Corr

Related Correlations Analysis

	VSCIX	VB	IEMG	IWF	VWO	VEMAX	AGG	VGT	IDEV	IJH
VSCIX		1.0	0.86	-0.09	0.85	0.85	0.73	0.15	0.95	0.99	VSCIX
VB	1.0		0.86	-0.09	0.85	0.85	0.72	0.15	0.95	0.99	VB
IEMG	0.86	0.86		-0.27	0.99	1.0	0.64	0.05	0.93	0.86	IEMG
IWF	-0.09	-0.09	-0.27		-0.21	-0.23	-0.13	0.9	-0.2	-0.15	IWF
VWO	0.85	0.85	0.99	-0.21		1.0	0.63	0.1	0.91	0.84	VWO
VEMAX	0.85	0.85	1.0	-0.23	1.0		0.62	0.09	0.92	0.85	VEMAX
AGG	0.73	0.72	0.64	-0.13	0.63	0.62		-0.09	0.73	0.75	AGG
VGT	0.15	0.15	0.05	0.9	0.1	0.09	-0.09		0.05	0.09	VGT
IDEV	0.95	0.95	0.93	-0.2	0.91	0.92	0.73	0.05		0.96	IDEV
IJH	0.99	0.99	0.86	-0.15	0.84	0.85	0.75	0.09	0.96		IJH
	VSCIX	VB	IEMG	IWF	VWO	VEMAX	AGG	VGT	IDEV	IJH

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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

VB	+ 1.0	VSCIX
VEMAX	+ 1.0	IEMG
VEMAX	+ 1.0	VWO
IJH	+ 0.99	VSCIX
IJH	+ 0.99	VB
VWO	+ 0.99	IEMG

High negative correlations

IWF	- 0.27	IEMG
VEMAX	- 0.23	IWF
VWO	- 0.21	IWF
IDEV	- 0.2	IWF
IJH	- 0.15	IWF
AGG	- 0.13	IWF

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
VSCIX	0.80	0.06	0.07	0.15	0.74	(0.84)	1.87	(1.41)	3.84
VB	0.78	0.06	0.07	0.14	0.73	(0.88)	1.86	(1.38)	3.82
IEMG	0.67	0.11	0.10	0.27	0.54	(0.76)	1.72	(1.17)	4.71
IWF	0.74	(0.13)	0.00	(0.08)	0.00	0.00	1.34	(1.79)	4.75
VWO	0.59	0.07	0.04	0.21	0.51	(0.70)	1.33	(0.92)	4.21
VEMAX	0.56	0.07	0.04	0.23	0.49	(0.65)	1.28	(0.91)	3.87
AGG	0.14	0.00	(0.47)	0.09	0.11	(0.16)	0.31	(0.30)	0.80
VGT	1.04	(0.14)	0.00	(0.04)	0.00	0.00	2.01	(2.67)	5.46
IDEV	0.61	0.12	0.12	0.25	0.58	(0.67)	1.50	(1.33)	3.05
IJH	0.73	0.08	0.09	0.17	0.61	(0.81)	1.87	(1.38)	3.81

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