IShares Trust Correlations

ITDI Etf

39.07 0.08 0.21%

The current 90-days correlation between iShares Trust and JPMorgan Fundamental Data is 0.96 (i.e., Almost no 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 0.96 (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 more detail on how to invest in IShares Etf please use our How to Invest in IShares Trust guide.

Moving together with IShares Etf

0.9	MUU	Direxion Daily MU	Pair Corr
0.9	MULL	GraniteShares 2x Long	Pair Corr
0.89	KORU	Direxion Daily South	Pair Corr
0.84	GDXU	MicroSectors Gold Miners Upward Rally	Pair Corr
0.88	JNUG	Direxion Daily Junior	Pair Corr
0.65	FNGD	MicroSectors FANG Index	Pair Corr
0.89	NUGT	Direxion Daily Gold	Pair Corr
0.67	AGQ	ProShares Ultra Silver	Pair Corr
0.74	BWET	ETF Managers Group	Pair Corr
0.85	SHNY	Microsectors Gold	Pair Corr
0.92	FDEM	Fidelity Emerging Markets Low Volatility	Pair Corr
0.79	XHB	SPDR SP Homebuilders	Pair Corr
0.91	GDXY	YieldMax Gold Miners	Pair Corr
0.85	SLV	iShares Silver Trust	Pair Corr
0.78	PBJ	Invesco Dynamic Food	Pair Corr
0.9	COM	Direxion Auspice Broad	Pair Corr
0.86	TPHD	Timothy Plan High	Pair Corr
0.85	VMBS	Vanguard Mortgage	Pair Corr
0.88	HLAL	Wahed FTSE USA	Pair Corr
0.92	SYLD	Cambria Shareholder Yield	Pair Corr
0.9	DFNM	Dimensional ETF Trust	Pair Corr
0.9	FEMB	First Trust Emerging	Pair Corr
0.88	VOO	Vanguard SP 500	Pair Corr
0.9	ITA	iShares Aerospace Defense	Pair Corr
0.88	FXA	Invesco CurrencyShares	Pair Corr
0.96	MIDU	Direxion Daily Mid	Pair Corr
0.9	VBK	Vanguard Small Cap	Pair Corr
0.89	XFIX	Fm Investments Symbol Change	Pair Corr
0.84	PFIG	Invesco Fundamental	Pair Corr
0.9	IWC	iShares Micro Cap	Pair Corr
0.66	FUSI	American Century ETF	Pair Corr
0.9	LDUR	PIMCO Enhanced Low	Pair Corr
0.93	XME	SPDR SP Metals	Pair Corr
0.91	OUSM	ALPS ETF Trust	Pair Corr
0.9	EEMS	iShares MSCI Emerging	Pair Corr
0.94	XLI	Industrial Select Sector	Pair Corr
0.95	QCAP	FT Vest NASDAQ	Pair Corr
0.94	WIP	SPDR FTSE International	Pair Corr

Related Correlations Analysis

	ITDH	DUKQ	RBLD	WEEL	DTRE	SDTY	PSFO	UPW	QLVE	LCDS
ITDH		0.94	0.87	0.9	0.84	0.89	0.93	-0.25	0.9	0.94	ITDH
DUKQ	0.94		0.7	0.95	0.71	0.96	0.98	-0.39	0.73	0.97	DUKQ
RBLD	0.87	0.7		0.67	0.94	0.59	0.66	0.18	0.93	0.69	RBLD
WEEL	0.9	0.95	0.67		0.66	0.91	0.93	-0.4	0.7	0.89	WEEL
DTRE	0.84	0.71	0.94	0.66		0.58	0.67	0.19	0.88	0.69	DTRE
SDTY	0.89	0.96	0.59	0.91	0.58		0.98	-0.48	0.65	0.98	SDTY
PSFO	0.93	0.98	0.66	0.93	0.67	0.98		-0.44	0.71	0.98	PSFO
UPW	-0.25	-0.39	0.18	-0.4	0.19	-0.48	-0.44		0.01	-0.36	UPW
QLVE	0.9	0.73	0.93	0.7	0.88	0.65	0.71	0.01		0.74	QLVE
LCDS	0.94	0.97	0.69	0.89	0.69	0.98	0.98	-0.36	0.74		LCDS
	ITDH	DUKQ	RBLD	WEEL	DTRE	SDTY	PSFO	UPW	QLVE	LCDS

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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

PSFO	+ 0.98	DUKQ
PSFO	+ 0.98	SDTY
LCDS	+ 0.98	SDTY
LCDS	+ 0.98	PSFO
LCDS	+ 0.97	DUKQ
SDTY	+ 0.96	DUKQ

High negative correlations

UPW	- 0.48	SDTY
UPW	- 0.44	PSFO
UPW	- 0.4	WEEL
UPW	- 0.39	DUKQ
LCDS	- 0.36	UPW
UPW	- 0.25	ITDH

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
ITDH	0.54	0.02	0.01	0.09	0.70	(0.51)	1.01	(1.31)	3.59
DUKQ	0.59	(0.03)	(0.04)	0.03	0.78	(0.61)	1.36	(1.64)	3.96
RBLD	0.68	0.10	0.09	0.19	0.74	(0.71)	1.34	(1.51)	3.22
WEEL	0.34	0.02	(0.05)	0.11	0.37	(0.40)	0.91	(0.74)	2.38
DTRE	0.56	0.05	0.02	0.17	0.66	(0.57)	1.17	(1.14)	3.27
SDTY	0.52	(0.04)	(0.07)	0.00	0.83	(0.47)	1.16	(1.48)	3.37
PSFO	0.32	(0.02)	(0.10)	0.02	0.46	(0.32)	0.71	(0.82)	2.17
UPW	1.46	0.09	0.03	0.27	1.86	(1.46)	2.81	(2.80)	7.51
QLVE	0.59	0.08	0.06	0.21	0.64	(0.68)	1.06	(0.98)	6.35
LCDS	0.56	(0.03)	(0.06)	0.01	0.79	(0.52)	0.94	(1.26)	3.64

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