IShares Trust Correlations

ITDD Etf

USD 30.87 0.21 0.68%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.68 (i.e., Poor 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

Weak diversification

The correlation between iShares Trust and DJI is 0.36 (i.e., 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

0.77	CA	Xtrackers California	Pair Corr
0.79	JAVA	JPMorgan Active Value	Pair Corr
0.75	KONG	Formidable Fortress ETF	Pair Corr
0.67	INFO	Harbor ETF Trust	Pair Corr
0.74	ILCB	iShares Morningstar	Pair Corr
0.78	JSML	Janus Henderson Small	Pair Corr
0.79	NANC	Unusual Whales Subversive	Pair Corr
0.73	NJNK	Columbia ETF Trust	Pair Corr
0.65	RPG	Invesco SP 500	Pair Corr
0.72	DYLG	Global X Funds	Pair Corr
0.7	SPYI	SHP ETF Trust	Pair Corr

Moving against IShares Etf

0.43	UNG	United States Natural	Pair Corr
0.34	MNA	IQ Merger Arbitrage	Pair Corr

Related Correlations Analysis

	MDIV	MFUL	MPAY	MPRO	DWAT	MRSK	MSMR	EAOA	EAOK
MDIV		0.88	0.34	0.66	0.82	0.42	0.52	0.73	0.75	MDIV
MFUL	0.88		0.59	0.53	0.85	0.73	0.73	0.91	0.84	MFUL
MPAY	0.34	0.59		0.01	0.51	0.81	0.84	0.78	0.54	MPAY
MPRO	0.66	0.53	0.01		0.62	-0.07	-0.07	0.51	0.78	MPRO
DWAT	0.82	0.85	0.51	0.62		0.54	0.56	0.85	0.78	DWAT
MRSK	0.42	0.73	0.81	-0.07	0.54		0.92	0.77	0.48	MRSK
MSMR	0.52	0.73	0.84	-0.07	0.56	0.92		0.73	0.44	MSMR
EAOA	0.73	0.91	0.78	0.51	0.85	0.77	0.73		0.9	EAOA
EAOK	0.75	0.84	0.54	0.78	0.78	0.48	0.44	0.9		EAOK
	MDIV	MFUL	MPAY	MPRO	DWAT	MRSK	MSMR	EAOA	EAOK

Click cells to compare fundamentals

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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

MSMR	+ 0.92	MRSK
EAOA	+ 0.91	MFUL
EAOK	+ 0.9	EAOA
MFUL	+ 0.88	MDIV
DWAT	+ 0.85	MFUL
EAOA	+ 0.85	DWAT

High negative correlations

MSMR	- 0.07	MPRO
MRSK	- 0.07	MPRO

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	(0.04)	0.00	0.51	(0.40)	0.74	(0.74)	2.83
MFUL	0.17	0.00	(0.09)	(0.03)	0.20	(0.22)	0.32	(0.33)	1.34
MPAY	0.57	0.02	0.01	0.08	0.74	(0.62)	1.12	(1.19)	3.85
MPRO	0.37	(0.07)	0.00	(0.26)	0.00	0.00	0.72	(0.85)	2.39
DWAT	0.63	0.00	(0.01)	0.03	0.84	(0.66)	1.22	(1.29)	6.38
MRSK	0.47	0.02	0.00	0.11	0.58	(0.48)	0.91	(1.01)	3.85
MSMR	0.50	0.04	0.03	0.17	0.66	(0.53)	1.04	(0.79)	5.59
EAOA	0.45	(0.02)	0.00	(0.05)	0.00	0.00	1.01	(0.80)	3.37
EAOK	0.27	(0.03)	0.00	(0.20)	0.00	0.00	0.54	(0.66)	2.09

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