IShares MSCI Correlations

IESE Etf

EUR 71.98 0.38 0.53%

The current 90-days correlation between iShares MSCI Europe and SPDR MSCI Europe is 0.76 (i.e., Poor diversification). The correlation of IShares MSCI 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 MSCI Correlation With Market

Poor diversification

The correlation between iShares MSCI Europe and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Europe and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares MSCI could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares MSCI when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares MSCI - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares MSCI Europe to buy it.

Moving together with IShares Etf

0.83	IMEU	iShares Core MSCI	Pair Corr
0.83	IMEA	iShares Core MSCI	Pair Corr
0.84	VEUR	Vanguard FTSE Developed	Pair Corr
0.87	LYMEU	Lyxor MSCI Europe	Pair Corr
0.8	MVEU	iShares Edge MSCI	Pair Corr
0.79	EUN	iShares STOXX Europe	Pair Corr
0.9	ETZ	BNP Paribas Easy	Pair Corr
0.88	EROX	SPDR MSCI Europe	Pair Corr
0.83	IJPE	iShares MSCI Japan	Pair Corr
0.89	CSNKY	iShares VII PLC	Pair Corr
0.76	XMEX	Xtrackers MSCI Mexico	Pair Corr
0.86	XEOU	Xtrackers MSCI Europe	Pair Corr

Related Correlations Analysis

	IMEU	IMEA	VEUR	LYMEU	MVEU	IEMO	IESE	EUN	ETZ	EROX
IMEU		1.0	0.99	0.95	0.9	0.0	0.83	0.92	0.95	0.96	IMEU
IMEA	1.0		0.99	0.96	0.9	0.0	0.83	0.92	0.95	0.97	IMEA
VEUR	0.99	0.99		0.96	0.9	0.0	0.84	0.92	0.95	0.97	VEUR
LYMEU	0.95	0.96	0.96		0.85	0.0	0.87	0.91	0.99	0.99	LYMEU
MVEU	0.9	0.9	0.9	0.85		0.0	0.8	0.82	0.85	0.86	MVEU
IEMO	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	IEMO
IESE	0.83	0.83	0.84	0.87	0.8	0.0		0.79	0.9	0.88	IESE
EUN	0.92	0.92	0.92	0.91	0.82	0.0	0.79		0.92	0.92	EUN
ETZ	0.95	0.95	0.95	0.99	0.85	0.0	0.9	0.92		0.98	ETZ
EROX	0.96	0.97	0.97	0.99	0.86	0.0	0.88	0.92	0.98		EROX
	IMEU	IMEA	VEUR	LYMEU	MVEU	IEMO	IESE	EUN	ETZ	EROX

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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

IMEA	+ 1.0	IMEU
VEUR	+ 0.99	IMEU
VEUR	+ 0.99	IMEA
ETZ	+ 0.99	LYMEU
EROX	+ 0.99	LYMEU
EROX	+ 0.98	ETZ

High negative correlations

EROX	- 0.0	IEMO
ETZ	- 0.0	IEMO
EUN	- 0.0	IEMO
IESE	- 0.0	IEMO
IEMO	- 0.0	MVEU
IEMO	- 0.0	LYMEU

IShares MSCI Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares MSCI 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 MSCI'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
IMEU	0.54	0.06	0.03	0.26	0.82	(0.53)	1.34	(1.29)	4.59
IMEA	0.47	0.07	0.05	0.34	0.45	(0.51)	1.31	(0.87)	2.96
VEUR	0.53	0.09	0.06	0.45	0.65	(0.54)	0.95	(1.27)	3.47
LYMEU	0.44	0.10	0.05	(1.08)	0.39	(0.60)	1.31	(0.80)	3.48
MVEU	0.35	0.02	(0.02)	0.14	0.38	(0.39)	0.96	(0.96)	2.16
IEMO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IESE	0.55	0.01	(0.06)	(3.14)	0.79	(0.50)	1.18	(1.42)	3.15
EUN	0.50	0.07	0.03	0.37	0.54	(0.62)	1.35	(1.30)	4.02
ETZ	0.47	0.10	0.08	(3.00)	0.33	(0.67)	1.25	(0.76)	3.11
EROX	0.45	0.09	0.04	(1.26)	0.44	(0.51)	1.32	(0.97)	2.91

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares MSCI without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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