IShares Core Correlations

IEFA Etf

USD 93.49 2.93 3.04%

The current 90-days correlation between iShares Core MSCI and iShares Core SP is 0.68 (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.

IShares Core Correlation With Market

Very poor diversification

The correlation between iShares Core MSCI and DJI is 0.82 (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

0.99	VEA	Vanguard FTSE Developed	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.98	EFA	iShares MSCI EAFE	Pair Corr
1.0	IXUS	iShares Core MSCI	Pair Corr
0.99	SPDW	SPDR SP World	Pair Corr
0.99	IDEV	iShares Core MSCI	Pair Corr
0.98	ESGD	iShares ESG Aware	Pair Corr
1.0	JIRE	JP Morgan Exchange	Pair Corr
0.99	DFAX	Dimensional World	Pair Corr
0.95	PCLN	2023 ETF	Pair Corr
0.94	MDY	SPDR SP MIDCAP	Pair Corr
0.9	SLYG	SPDR SP 600	Pair Corr
0.92	SLYV	SPDR SP 600	Pair Corr
0.88	LALT	Invesco Multi Strategy	Pair Corr
0.96	MEXX	Direxion Daily MSCI Downward Rally	Pair Corr
0.67	DOO	BRP Inc Symbol Change	Pair Corr
0.77	GOCT	FT Cboe Vest	Pair Corr
0.98	PID	Invesco International	Pair Corr
0.93	EMIF	iShares Emerging Markets	Pair Corr
0.99	DFIC	Dimensional International	Pair Corr
0.95	CVMC	Morgan Stanley ETF	Pair Corr
0.96	CFA	VictoryShares 500	Pair Corr
0.85	GPGCX	Grandeur Peak Global	Pair Corr
0.93	QTAP	Innovator Growth 100	Pair Corr
0.78	DAUG	FT Cboe Vest	Pair Corr
0.84	IGEB	iShares Edge Investment	Pair Corr
0.99	DISV	Dimensional ETF Trust	Pair Corr
0.9	AUMI	Themes Gold Miners	Pair Corr
0.98	AVDS	Avantis International	Pair Corr
0.82	URA	Global X Uranium	Pair Corr
0.92	ERET	iShares Environmentally	Pair Corr
0.96	AVMC	American Century ETF	Pair Corr

Moving against IShares Etf

0.89	IGV	iShares Expanded Tech Low Volatility	Pair Corr
0.65	ENTR	EntrepreneurShares	Pair Corr

Related Correlations Analysis

	VSCIX	VB	IEMG	IWF	VWO	VEMAX	AGG	VGT	IDEV	IJH
VSCIX		0.96	0.91	-0.54	0.91	0.92	0.66	-0.31	0.93	0.98	VSCIX
VB	0.96		0.93	-0.6	0.94	0.94	0.68	-0.27	0.94	0.95	VB
IEMG	0.91	0.93		-0.71	0.99	0.99	0.8	-0.4	0.98	0.93	IEMG
IWF	-0.54	-0.6	-0.71		-0.66	-0.66	-0.73	0.77	-0.7	-0.64	IWF
VWO	0.91	0.94	0.99	-0.66		1.0	0.76	-0.34	0.97	0.93	VWO
VEMAX	0.92	0.94	0.99	-0.66	1.0		0.76	-0.35	0.97	0.93	VEMAX
AGG	0.66	0.68	0.8	-0.73	0.76	0.76		-0.49	0.79	0.75	AGG
VGT	-0.31	-0.27	-0.4	0.77	-0.34	-0.35	-0.49		-0.41	-0.4	VGT
IDEV	0.93	0.94	0.98	-0.7	0.97	0.97	0.79	-0.41		0.96	IDEV
IJH	0.98	0.95	0.93	-0.64	0.93	0.93	0.75	-0.4	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

VEMAX	+ 1.0	VWO
VWO	+ 0.99	IEMG
VEMAX	+ 0.99	IEMG
IJH	+ 0.98	VSCIX
IDEV	+ 0.98	IEMG
IDEV	+ 0.97	VWO

High negative correlations

AGG	- 0.73	IWF
IWF	- 0.71	IEMG
IDEV	- 0.7	IWF
VEMAX	- 0.66	IWF
VWO	- 0.66	IWF
IJH	- 0.64	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	0.73	0.18	0.12	(3.89)	0.61	(0.79)	1.65	(1.35)	4.91
VB	0.72	0.09	0.12	0.16	0.59	(0.82)	1.68	(1.35)	4.99
IEMG	0.70	0.17	0.18	0.34	0.56	(0.82)	1.86	(1.13)	4.71
IWF	0.71	(0.02)	0.00	0.31	0.00	0.00	1.29	(1.78)	4.75
VWO	0.62	0.08	0.07	0.20	0.61	(0.70)	1.55	(1.25)	4.21
VEMAX	0.59	0.09	0.08	0.24	0.55	(0.66)	1.28	(1.06)	3.87
AGG	0.14	0.02	(0.30)	0.33	0.00	(0.16)	0.32	(0.24)	0.69
VGT	0.96	(0.08)	(0.05)	(0.01)	1.54	(0.80)	1.61	(2.21)	6.93
IDEV	0.55	0.15	0.15	0.29	0.49	(0.61)	1.22	(1.33)	3.19
IJH	0.67	0.18	0.14	(9.87)	0.49	(0.76)	1.81	(1.30)	4.88

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