IShares Trust Correlations

ITDC Etf

30.67 0.15 0.49%

The current 90-days correlation between iShares Trust and PIMCO Mortgage Backed Securities is 0.54 (i.e., Very 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

0.62	FDV	First Trust Capital	Pair Corr
0.86	TRND	Pacer Trendpilot	Pair Corr
0.88	PSCD	Invesco SP SmallCap	Pair Corr
0.67	LTL	ProShares Ultra Tele	Pair Corr
0.62	XLC	Communication Services	Pair Corr
0.64	JULW	AIM ETF Products	Pair Corr
0.82	VOO	Vanguard SP 500	Pair Corr
0.68	DMAY	First Trust Exchange	Pair Corr
0.72	YALL	God Bless America	Pair Corr
0.81	SPYX	SPDR SP 500	Pair Corr
0.75	AHYB	American Century ETF	Pair Corr
0.75	ODDS	Pacer BlueStar Digital	Pair Corr

Related Correlations Analysis

	PMBS	WGMI	AMPD	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3
PMBS		0.56	-0.36	0.5	0.65	0.43	-0.3	0.86	-0.41	0.28	PMBS
WGMI	0.56		-0.16	0.44	0.5	0.35	-0.15	0.66	-0.32	0.36	WGMI
AMPD	-0.36	-0.16		-0.61	-0.62	0.06	0.61	-0.41	0.62	0.27	AMPD
AQUI	0.5	0.44	-0.61		0.95	-0.21	-0.86	0.66	-0.94	-0.28	AQUI
MSTSX	0.65	0.5	-0.62	0.95		-0.08	-0.84	0.79	-0.91	-0.21	MSTSX
LBHIX	0.43	0.35	0.06	-0.21	-0.08		0.46	0.39	0.32	0.57	LBHIX
VIASP	-0.3	-0.15	0.61	-0.86	-0.84	0.46		-0.48	0.95	0.63	VIASP
RRTLX	0.86	0.66	-0.41	0.66	0.79	0.39	-0.48		-0.6	0.08	RRTLX
OSHDF	-0.41	-0.32	0.62	-0.94	-0.91	0.32	0.95	-0.6		0.5	OSHDF
70082LAB3	0.28	0.36	0.27	-0.28	-0.21	0.57	0.63	0.08	0.5		70082LAB3
	PMBS	WGMI	AMPD	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3

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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

MSTSX	+ 0.95	AQUI
OSHDF	+ 0.95	VIASP
RRTLX	+ 0.86	PMBS
RRTLX	+ 0.79	MSTSX
RRTLX	+ 0.66	WGMI
RRTLX	+ 0.66	AQUI

High negative correlations

OSHDF	- 0.94	AQUI
OSHDF	- 0.91	MSTSX
VIASP	- 0.86	AQUI
VIASP	- 0.84	MSTSX
MSTSX	- 0.62	AMPD
AQUI	- 0.61	AMPD

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
PMBS	0.25	(0.02)	(0.29)	(0.05)	0.31	(0.28)	0.61	(0.58)	1.76
WGMI	4.70	0.16	0.02	0.45	5.69	(5.37)	10.91	(8.89)	38.52
AMPD	1.08	0.00	(0.04)	0.09	1.76	(1.04)	2.41	(2.67)	10.88
AQUI	2.79	(1.41)	0.00	12.41	0.00	0.00	0.00	0.00	93.33
MSTSX	0.56	(0.10)	0.00	3.70	0.00	0.00	0.97	(1.20)	7.06
LBHIX	0.14	0.02	(0.23)	1.41	0.00	(0.31)	0.48	(0.24)	1.19
VIASP	0.65	0.18	0.12	4.77	0.52	(0.74)	1.40	(1.18)	5.04
RRTLX	0.25	(0.02)	(0.21)	(0.01)	0.36	(0.28)	0.57	(0.57)	2.04
OSHDF	46.68	25.61	0.00	(1.40)	0.00	0.00	0.00	0.00	1,329
70082LAB3	0.66	0.10	0.01	0.94	0.81	(0.79)	1.78	(0.90)	6.86

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