IShares Trust Correlations

ITDB Etf

33.88 0.04 0.12%

The current 90-days correlation between iShares Trust and AIM ETF Products is -0.01 (i.e., Good diversification). The correlation of IShares Trust 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 Trust Correlation With Market

Almost no diversification

The correlation between iShares Trust and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Trust 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 Trust. 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.

For information on how to trade IShares Etf refer to our How to Trade IShares Etf guide.

Moving together with IShares Etf

0.89	GLDX	USCF Gold Strategy	Pair Corr
0.71	HBTA	Horizon Funds	Pair Corr
0.79	AAIAX	AMERICAN BEACON INTE	Pair Corr
0.85	FDV	First Trust Capital	Pair Corr
0.92	TRSY	Xtrackers 0 1	Pair Corr
0.94	AFOS	ARS Focused Opportunity	Pair Corr
0.87	SCHD	Schwab Dividend Equity	Pair Corr
0.81	VDC	Vanguard Consumer Staples	Pair Corr
0.77	TOLZ	ProShares DJ Brookfield	Pair Corr
0.88	SCHE	Schwab Emerging Markets	Pair Corr
0.86	GCC	WisdomTree Continuous	Pair Corr
0.68	XLRE	Real Estate	Pair Corr
0.94	AZTD	Aztlan Global Stock	Pair Corr
0.94	IQSZ	Invesco Actively Managed	Pair Corr
0.94	WSML	iShares MSCI World	Pair Corr
0.84	BNOV	Innovator SP 500	Pair Corr
0.96	HYDB	iShares Edge High	Pair Corr
0.83	URA	Global X Uranium	Pair Corr
0.8	JCPB	JPMorgan Core Plus	Pair Corr
0.93	CGGE	Capital Group Global	Pair Corr
0.85	GOLY	Strategy Shares Low Volatility	Pair Corr
0.92	GAPR	First Trust Exchange	Pair Corr
0.87	DXJS	WisdomTree Japan Hedged Symbol Change	Pair Corr
0.96	OEI	Listed Funds Trust	Pair Corr
0.93	EBUF	Innovator ETFs Trust	Pair Corr
0.92	EMCS	Xtrackers MSCI Emerging	Pair Corr
0.96	GAL	SPDR SSgA Global	Pair Corr
0.93	ASLV	Allspring Exchange	Pair Corr
0.86	XAR	SPDR SP Aerospace	Pair Corr
0.91	PSCI	Invesco SP SmallCap	Pair Corr
0.92	DUSB	Dimensional ETF Trust	Pair Corr
0.85	BKGI	BNY Mellon ETF Low Volatility	Pair Corr
0.68	SMTH	ALPS ETF Trust	Pair Corr
0.94	HERD	Pacer Cash Cows	Pair Corr

Moving against IShares Etf

0.71	GAICX	GATEWAY INTERNATIONAL	Pair Corr
0.48	XOVR	ERShares Private Public	Pair Corr

Related Correlations Analysis

	ITDE	ITDF	DVND	XRLV	CEFZ	HEJD	TMFX	NBJP	FDAT	AUGT
ITDE		1.0	0.93	0.7	0.93	0.23	0.72	0.91	0.93	0.88	ITDE
ITDF	1.0		0.92	0.68	0.92	0.22	0.73	0.9	0.93	0.88	ITDF
DVND	0.93	0.92		0.8	0.91	0.35	0.52	0.94	0.88	0.84	DVND
XRLV	0.7	0.68	0.8		0.64	0.51	0.11	0.81	0.59	0.47	XRLV
CEFZ	0.93	0.92	0.91	0.64		0.17	0.72	0.86	0.94	0.93	CEFZ
HEJD	0.23	0.22	0.35	0.51	0.17		-0.1	0.45	0.2	0.1	HEJD
TMFX	0.72	0.73	0.52	0.11	0.72	-0.1		0.49	0.76	0.8	TMFX
NBJP	0.91	0.9	0.94	0.81	0.86	0.45	0.49		0.87	0.77	NBJP
FDAT	0.93	0.93	0.88	0.59	0.94	0.2	0.76	0.87		0.93	FDAT
AUGT	0.88	0.88	0.84	0.47	0.93	0.1	0.8	0.77	0.93		AUGT
	ITDE	ITDF	DVND	XRLV	CEFZ	HEJD	TMFX	NBJP	FDAT	AUGT

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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

ITDF	+ 1.0	ITDE
NBJP	+ 0.94	DVND
FDAT	+ 0.94	CEFZ
DVND	+ 0.93	ITDE
CEFZ	+ 0.93	ITDE
FDAT	+ 0.93	ITDE

High negative correlations

TMFX

- 0.1

HEJD

IShares Trust Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Trust 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 Trust'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
ITDE	0.45	0.09	0.03	3.02	0.53	(0.47)	0.98	(0.93)	2.56
ITDF	0.51	0.10	0.05	4.14	0.55	(0.54)	1.02	(1.10)	2.81
DVND	0.50	0.10	0.09	0.28	0.45	(0.57)	1.12	(0.93)	3.30
XRLV	0.43	0.00	0.06	0.00	0.34	(0.48)	0.94	(0.81)	2.33
CEFZ	0.48	0.04	0.00	0.14	0.59	(0.55)	1.16	(1.25)	3.93
HEJD	0.40	0.02	(0.07)	0.15	0.45	(0.40)	0.88	(0.82)	2.18
TMFX	0.81	0.03	(0.04)	0.36	0.97	(0.87)	1.46	(1.56)	3.98
NBJP	0.80	0.22	0.21	0.38	0.61	(0.92)	1.87	(1.47)	5.04
FDAT	0.59	0.01	(0.02)	0.08	0.72	(0.63)	1.07	(1.19)	2.96
AUGT	0.32	(0.01)	(0.08)	0.05	0.45	(0.29)	0.70	(0.89)	2.26

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