IShares Edge Correlations

IVLU Etf

USD 38.81 0.30 0.78%

The current 90-days correlation between iShares Edge MSCI and iShares Russell Top is 0.8 (i.e., Very poor diversification). The correlation of IShares Edge 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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares Edge Correlation With Market

Poor diversification

The correlation between iShares Edge MSCI and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Edge MSCI 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 Edge MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with IShares Etf

0.9	EFV	iShares MSCI EAFE	Pair Corr
0.89	FNDF	Schwab Fundamental	Pair Corr
0.9	VYMI	Vanguard International	Pair Corr
0.88	IDV	iShares International	Pair Corr
0.91	DFIV	Dimensional International	Pair Corr
0.99	RODM	Hartford Multifactor	Pair Corr
0.9	PXF	Invesco FTSE RAFI	Pair Corr
0.88	HDEF	Xtrackers MSCI EAFE	Pair Corr
0.88	PID	Invesco International	Pair Corr
0.65	ITDD	iShares Trust	Pair Corr
0.7	CPST	Calamos ETF Trust	Pair Corr
0.83	CALI	iShares Short Term	Pair Corr
0.81	PJFM	PGIM ETF Trust	Pair Corr
0.79	DDFO	Innovator Equity Dual Sell-off Trend	Pair Corr
0.85	CPSL	Calamos Laddered	Pair Corr
0.72	JPM	JPMorgan Chase Earnings Call Next Week	Pair Corr
0.62	TRV	The Travelers Companies	Pair Corr
0.68	MRK	Merck Company	Pair Corr

Moving against IShares Etf

0.45

MSFT

Microsoft Sell-off Trend

Pair Corr

Related Correlations Analysis

	IWX	INTF	IFRA	SMLF	IYY	EWU	EPI	ITB	SPGP	CQQQ
IWX		0.9	0.45	0.76	0.71	0.78	-0.09	-0.07	0.65	-0.23	IWX
INTF	0.9		0.57	0.69	0.79	0.78	0.05	-0.12	0.74	-0.21	INTF
IFRA	0.45	0.57		0.7	0.66	0.4	-0.04	0.59	0.91	0.32	IFRA
SMLF	0.76	0.69	0.7		0.76	0.73	-0.16	0.25	0.79	0.11	SMLF
IYY	0.71	0.79	0.66	0.76		0.67	0.13	0.15	0.75	0.1	IYY
EWU	0.78	0.78	0.4	0.73	0.67		0.07	-0.26	0.56	-0.11	EWU
EPI	-0.09	0.05	-0.04	-0.16	0.13	0.07		-0.24	-0.14	0.06	EPI
ITB	-0.07	-0.12	0.59	0.25	0.15	-0.26	-0.24		0.4	0.26	ITB
SPGP	0.65	0.74	0.91	0.79	0.75	0.56	-0.14	0.4		0.27	SPGP
CQQQ	-0.23	-0.21	0.32	0.11	0.1	-0.11	0.06	0.26	0.27		CQQQ
	IWX	INTF	IFRA	SMLF	IYY	EWU	EPI	ITB	SPGP	CQQQ

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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

SPGP	+ 0.91	IFRA
INTF	+ 0.9	IWX
IYY	+ 0.79	INTF
SPGP	+ 0.79	SMLF
EWU	+ 0.78	IWX
EWU	+ 0.78	INTF

High negative correlations

ITB	- 0.26	EWU
ITB	- 0.24	EPI
CQQQ	- 0.23	IWX
CQQQ	- 0.21	INTF
EPI	- 0.16	SMLF
SPGP	- 0.14	EPI

IShares Edge Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Edge 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 Edge'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
IWX	0.53	0.02	0.00	0.09	0.53	(0.57)	0.98	(0.89)	2.21
INTF	0.56	0.10	0.05	0.96	0.62	(0.59)	1.15	(1.31)	2.42
IFRA	0.69	0.02	(0.06)	0.38	0.74	(0.79)	1.31	(1.27)	3.17
SMLF	0.90	(0.05)	(0.02)	0.04	1.20	(0.86)	1.53	(1.93)	4.68
IYY	0.61	0.03	(0.04)	0.67	0.88	(0.60)	1.21	(1.25)	3.25
EWU	0.58	0.05	0.05	0.16	0.49	(0.68)	1.33	(0.93)	2.57
EPI	0.60	0.06	(0.03)	(0.57)	0.69	(0.62)	1.24	(0.95)	3.62
ITB	1.00	(0.09)	0.00	(0.74)	0.00	0.00	3.15	(2.12)	7.12
SPGP	0.74	0.02	(0.04)	0.23	0.95	(0.77)	1.40	(1.52)	3.36
CQQQ	1.30	(0.09)	0.00	(0.26)	0.00	0.00	2.47	(2.19)	7.83

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