IShares Core Correlations

IUSG Etf

USD 165.94 4.06 2.51%

The current 90-days correlation between iShares Core SP and iShares Core SP is 0.56 (i.e., Very weak diversification). The correlation of IShares Core 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 Core Correlation With Market

Poor diversification

The correlation between iShares Core SP and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP 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 Core SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with IShares Etf

0.8	VUG	Vanguard Growth Index	Pair Corr
0.74	IWF	iShares Russell 1000	Pair Corr
0.99	IVW	iShares SP 500	Pair Corr
0.99	SPYG	SPDR Portfolio SP	Pair Corr
0.75	VONG	Vanguard Russell 1000	Pair Corr
0.76	MGK	Vanguard Mega Cap	Pair Corr
0.75	VRGWX	Vanguard Russell 1000	Pair Corr
0.97	QQQM	Invesco NASDAQ 100	Pair Corr
0.7	IWY	iShares Russell Top Potential Growth	Pair Corr

Moving against IShares Etf

0.45	T	ATT Inc Aggressive Push	Pair Corr
0.36	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	IUSV	OEF	IWP	SOXX	IWY	IWV	VFTAX	VTCIX	VFTNX	DVY
IUSV		0.54	0.25	0.87	-0.22	0.88	0.6	0.87	0.6	0.94	IUSV
OEF	0.54		0.73	0.5	0.68	0.85	0.98	0.86	0.98	0.29	OEF
IWP	0.25	0.73		0.32	0.72	0.62	0.8	0.61	0.79	-0.01	IWP
SOXX	0.87	0.5	0.32		-0.14	0.85	0.59	0.83	0.59	0.86	SOXX
IWY	-0.22	0.68	0.72	-0.14		0.24	0.63	0.26	0.64	-0.47	IWY
IWV	0.88	0.85	0.62	0.85	0.24		0.9	1.0	0.9	0.71	IWV
VFTAX	0.6	0.98	0.8	0.59	0.63	0.9		0.91	1.0	0.35	VFTAX
VTCIX	0.87	0.86	0.61	0.83	0.26	1.0	0.91		0.91	0.7	VTCIX
VFTNX	0.6	0.98	0.79	0.59	0.64	0.9	1.0	0.91		0.35	VFTNX
DVY	0.94	0.29	-0.01	0.86	-0.47	0.71	0.35	0.7	0.35		DVY
	IUSV	OEF	IWP	SOXX	IWY	IWV	VFTAX	VTCIX	VFTNX	DVY

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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

VTCIX	+ 1.0	IWV
VFTNX	+ 1.0	VFTAX
VFTAX	+ 0.98	OEF
VFTNX	+ 0.98	OEF
DVY	+ 0.94	IUSV
VTCIX	+ 0.91	VFTAX

High negative correlations

DVY	- 0.47	IWY
IWY	- 0.22	IUSV
IWY	- 0.14	SOXX
DVY	- 0.01	IWP

IShares Core Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Core 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 Core'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
IUSV	0.52	0.04	0.03	0.13	0.47	(0.58)	1.08	(0.99)	3.07
OEF	0.58	(0.08)	0.00	(0.03)	0.00	0.00	1.03	(1.42)	4.23
IWP	0.83	(0.16)	0.00	(0.06)	0.00	0.00	1.41	(2.01)	4.02
SOXX	1.78	0.08	0.05	0.13	2.15	(1.84)	3.24	(4.11)	9.17
IWY	0.76	(0.17)	0.00	(0.14)	0.00	0.00	1.44	(1.89)	4.74
IWV	0.59	(0.05)	(0.07)	0.02	0.79	(0.59)	1.22	(1.27)	3.43
VFTAX	0.63	(0.09)	0.00	(0.03)	0.00	0.00	1.13	(1.39)	3.94
VTCIX	0.59	(0.04)	(0.07)	0.02	0.77	(0.62)	1.19	(1.22)	3.57
VFTNX	0.62	(0.09)	0.00	(0.03)	0.00	0.00	1.14	(1.41)	3.94
DVY	0.59	0.13	0.16	0.28	0.40	(0.68)	1.43	(0.87)	3.53

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