IShares Trust Correlations

ITDB Etf

29.92 0.12 0.40%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.3 (i.e., Weak 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

Very weak diversification

The correlation between iShares Trust and DJI is 0.42 (i.e., Very weak 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.

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

0.63	FDV	First Trust Capital	Pair Corr
0.86	VUSE	Vident Core Equity	Pair Corr
0.94	TRND	Pacer Trendpilot	Pair Corr
0.77	SMCO	Hilton Small MidCap	Pair Corr
0.65	ROBO	Robo Global Robotics	Pair Corr
0.93	GIAX	Nicholas Global Equity	Pair Corr
0.8	CSF	VictoryShares Discovery	Pair Corr
0.84	ABCS	Alpha Blue Capital	Pair Corr
0.92	QRFT	QRAFT AI Enhanced	Pair Corr
0.82	VTI	Vanguard Total Stock	Pair Corr
0.84	FNDA	Schwab Fundamental Small	Pair Corr
0.77	PCGG	Litman Gregory Funds	Pair Corr
0.85	BOTZ	Global X Robotics	Pair Corr
0.77	IXG	iShares Global Financials	Pair Corr
0.8	USCL	iShares Climate Conscious	Pair Corr
0.62	USCF	Themes Cash Flow	Pair Corr
0.69	SMCF	Themes Small Cap	Pair Corr
0.84	VFMO	Vanguard Momentum Factor	Pair Corr
0.67	HYFI	AB Active ETFs,	Pair Corr
0.79	PCEF	Invesco CEF Income	Pair Corr

Related Correlations Analysis

	MDIV	MFUL	DUKQ	DUKX	MPAY	MPRO	DWAT	MRSK	MSMR
MDIV		0.91	0.78	0.19	0.4	0.74	0.78	0.56	0.58	MDIV
MFUL	0.91		0.91	0.23	0.56	0.7	0.84	0.76	0.67	MFUL
DUKQ	0.78	0.91		-0.04	0.75	0.42	0.82	0.92	0.81	DUKQ
DUKX	0.19	0.23	-0.04		-0.29	0.64	0.18	-0.12	-0.32	DUKX
MPAY	0.4	0.56	0.75	-0.29		0.07	0.64	0.8	0.76	MPAY
MPRO	0.74	0.7	0.42	0.64	0.07		0.68	0.18	0.08	MPRO
DWAT	0.78	0.84	0.82	0.18	0.64	0.68		0.62	0.48	DWAT
MRSK	0.56	0.76	0.92	-0.12	0.8	0.18	0.62		0.87	MRSK
MSMR	0.58	0.67	0.81	-0.32	0.76	0.08	0.48	0.87		MSMR
	MDIV	MFUL	DUKQ	DUKX	MPAY	MPRO	DWAT	MRSK	MSMR

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

MRSK	+ 0.92	DUKQ
MFUL	+ 0.91	MDIV
DUKQ	+ 0.91	MFUL
MSMR	+ 0.87	MRSK
DWAT	+ 0.84	MFUL
DWAT	+ 0.82	DUKQ

High negative correlations

MSMR	- 0.32	DUKX
MPAY	- 0.29	DUKX
MRSK	- 0.12	DUKX
DUKX	- 0.04	DUKQ

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
MDIV	0.38	0.00	(0.16)	0.03	0.51	(0.39)	0.69	(0.68)	2.84
MFUL	0.17	0.00	(0.36)	0.06	0.16	(0.22)	0.32	(0.28)	1.34
DUKQ	0.63	0.03	(0.02)	0.17	0.84	(0.64)	1.36	(1.33)	6.18
DUKX	0.48	(0.12)	0.00	(0.40)	0.00	0.00	0.86	(1.57)	4.17
MPAY	0.63	0.02	(0.04)	0.16	0.87	(0.68)	1.14	(1.31)	4.64
MPRO	0.37	(0.05)	0.00	(0.11)	0.00	0.00	0.73	(0.68)	2.39
DWAT	0.65	0.00	(0.07)	0.08	0.85	(0.70)	1.22	(1.57)	6.38
MRSK	0.49	0.03	(0.06)	0.23	0.61	(0.48)	0.91	(1.03)	3.85
MSMR	0.50	0.05	(0.05)	(1.30)	0.69	(0.51)	1.08	(0.81)	5.59

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC