IShares Core Correlations

IJR Etf

USD 128.04 2.54 1.95%

The current 90-days correlation between iShares Core SP and iShares Core SP is -0.12 (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. 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 SP and DJI is 0.9 (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 SP 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 SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis.

Moving together with IShares Etf

0.98	VB	Vanguard Small Cap	Pair Corr
0.95	IWM	iShares Russell 2000	Pair Corr
0.95	VRTIX	Vanguard Russell 2000	Pair Corr
0.95	VTWO	Vanguard Russell 2000	Pair Corr
1.0	FNDA	Schwab Fundamental Small	Pair Corr
1.0	SPSM	SPDR Portfolio SP	Pair Corr
1.0	DFAS	Dimensional Small Cap	Pair Corr
1.0	VIOO	Vanguard SP Small	Pair Corr
0.94	PRFZ	Invesco FTSE RAFI	Pair Corr
0.9	OIH	VanEck Oil Services	Pair Corr
0.75	WTMF	WisdomTree Managed	Pair Corr
0.87	EWC	iShares MSCI Canada	Pair Corr
0.64	TOT	Advisor Managed Port	Pair Corr
0.65	LQIG	SPDR MarketAxess Inv	Pair Corr
0.83	ISTB	iShares Core 1	Pair Corr
0.88	HCMAX	THE HILLMAN FUND	Pair Corr
0.85	URA	Global X Uranium	Pair Corr
0.71	LGCF	Themes Cash Flow	Pair Corr
0.79	IYR	iShares Real Estate	Pair Corr
0.9	TAXT	Northern Trust Tax	Pair Corr
0.75	UAUG	Innovator Equity Ultra	Pair Corr
0.98	AVMC	American Century ETF	Pair Corr
0.99	FNK	First Trust Mid	Pair Corr
0.93	DFIV	Dimensional International	Pair Corr
0.71	IGEB	iShares Edge Investment	Pair Corr
0.97	CFA	VictoryShares 500	Pair Corr
0.94	CCNR	CoreCommodity Natural	Pair Corr
0.89	PID	Invesco International	Pair Corr
0.91	DIA	SPDR Dow Jones Sell-off Trend	Pair Corr
0.72	GOCT	FT Cboe Vest	Pair Corr
0.77	PAUG	Innovator Equity Power	Pair Corr
0.98	AVUV	Avantis Small Cap	Pair Corr
0.92	AHYB	American Century ETF	Pair Corr
0.69	SLV	iShares Silver Trust	Pair Corr
0.97	DES	WisdomTree SmallCap	Pair Corr
0.92	FEM	First Trust Emerging	Pair Corr

Moving against IShares Etf

0.75	ARKW	ARK Next Generation Low Volatility	Pair Corr
0.6	HUM	Humana Inc	Pair Corr
0.68	ENTR	EntrepreneurShares	Pair Corr

Related Correlations Analysis

	IJH	IWM	IVW	VXF	IWD	VHYAX	ITOT	VYM	SPLG	EFA
IJH		0.9	-0.42	0.76	0.96	0.95	0.61	0.92	0.89	0.96	IJH
IWM	0.9		-0.17	0.93	0.9	0.78	0.77	0.81	0.84	0.85	IWM
IVW	-0.42	-0.17		0.1	-0.41	-0.57	0.41	-0.54	-0.39	-0.43	IVW
VXF	0.76	0.93	0.1		0.75	0.58	0.87	0.61	0.68	0.69	VXF
IWD	0.96	0.9	-0.41	0.75		0.94	0.66	0.96	0.92	0.98	IWD
VHYAX	0.95	0.78	-0.57	0.58	0.94		0.46	0.98	0.84	0.95	VHYAX
ITOT	0.61	0.77	0.41	0.87	0.66	0.46		0.51	0.58	0.61	ITOT
VYM	0.92	0.81	-0.54	0.61	0.96	0.98	0.51		0.85	0.96	VYM
SPLG	0.89	0.84	-0.39	0.68	0.92	0.84	0.58	0.85		0.91	SPLG
EFA	0.96	0.85	-0.43	0.69	0.98	0.95	0.61	0.96	0.91		EFA
	IJH	IWM	IVW	VXF	IWD	VHYAX	ITOT	VYM	SPLG	EFA

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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

EFA	+ 0.98	IWD
VYM	+ 0.98	VHYAX
IWD	+ 0.96	IJH
EFA	+ 0.96	IJH
VYM	+ 0.96	IWD
EFA	+ 0.96	VYM

High negative correlations

VHYAX	- 0.57	IVW
VYM	- 0.54	IVW
EFA	- 0.43	IVW
IVW	- 0.42	IJH
IWD	- 0.41	IVW
SPLG	- 0.39	IVW

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
IJH	0.67	0.18	0.14	(9.87)	0.49	(0.76)	1.81	(1.30)	4.88
IWM	0.85	0.06	0.07	0.13	0.89	(0.86)	1.82	(1.72)	5.63
IVW	0.70	(0.08)	0.00	(0.03)	0.00	0.00	1.20	(1.76)	4.25
VXF	0.77	0.02	0.03	0.09	0.83	(0.88)	1.48	(1.64)	5.46
IWD	0.49	0.09	0.12	0.19	0.32	(0.54)	1.36	(0.98)	2.86
VHYAX	0.50	0.16	0.12	(2.62)	0.41	(0.54)	1.18	(1.17)	3.50
ITOT	0.52	(0.01)	(0.04)	0.06	0.65	(0.56)	0.90	(1.13)	3.72
VYM	0.49	0.09	0.10	0.19	0.41	(0.52)	1.17	(1.13)	3.51
SPLG	0.52	0.11	0.04	(1.28)	0.60	(0.57)	1.18	(0.74)	4.21
EFA	0.56	0.14	0.14	0.28	0.47	(0.62)	1.20	(1.06)	3.04

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