IShares Edge Correlations

IVLU Etf

USD 41.89 0.92 2.25%

The current 90-days correlation between iShares Edge MSCI and Invesco China Technology is 0.44 (i.e., Very weak 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

Almost no diversification

The correlation between iShares Edge MSCI and DJI is 0.91 (i.e., Almost no 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 metropolitan statistical area.

Moving together with IShares Etf

1.0	EFV	iShares MSCI EAFE Low Volatility	Pair Corr
0.99	FNDF	Schwab Fundamental	Pair Corr
1.0	VYMI	Vanguard International	Pair Corr
0.99	IDV	iShares International Low Volatility	Pair Corr
1.0	DFIV	Dimensional International	Pair Corr
1.0	RODM	Hartford Multifactor	Pair Corr
0.99	PXF	Invesco FTSE RAFI	Pair Corr
0.96	HDEF	Xtrackers MSCI EAFE	Pair Corr
0.97	PID	Invesco International	Pair Corr
0.89	SIXD	AIM ETF Products	Pair Corr
0.94	SPMD	SPDR Russell Small	Pair Corr
0.94	GSIG	Goldman Sachs Access	Pair Corr
0.94	GAPR	First Trust Exchange	Pair Corr
0.98	BBEU	JPMorgan BetaBuilders	Pair Corr
0.97	BINC	BlackRock ETF Trust	Pair Corr
0.81	VBK	Vanguard Small Cap	Pair Corr
0.93	MART	Allianzim Large Cap	Pair Corr
0.68	BND	Vanguard Total Bond	Pair Corr
0.94	AHYB	American Century ETF	Pair Corr
0.78	SEIX	Virtus ETF Trust	Pair Corr
0.9	RDIV	Invesco SP Ultra	Pair Corr
0.96	IBMR	iShares Trust	Pair Corr
0.9	OASC	OneAscent Small Cap	Pair Corr
0.92	IAUM	iShares Gold Trust	Pair Corr

Moving against IShares Etf

0.84	VXX	iPath Series B Downward Rally	Pair Corr
0.84	VIXY	ProShares VIX Short Downward Rally	Pair Corr
0.82	VIXM	ProShares VIX Mid	Pair Corr
0.43	YCL	ProShares Ultra Yen	Pair Corr
0.36	PLTI	REX ETF Trust	Pair Corr
0.82	VXZ	iPath Series B	Pair Corr

Related Correlations Analysis

	IWX	INTF	IFRA	SMLF	IYY	EWU	EPI	ITB	SPGP	CQQQ
IWX		0.99	0.95	0.94	0.81	0.97	-0.44	0.72	0.87	0.62	IWX
INTF	0.99		0.94	0.92	0.81	0.99	-0.44	0.65	0.86	0.65	INTF
IFRA	0.95	0.94		0.9	0.72	0.93	-0.49	0.8	0.75	0.66	IFRA
SMLF	0.94	0.92	0.9		0.9	0.89	-0.53	0.76	0.93	0.7	SMLF
IYY	0.81	0.81	0.72	0.9		0.79	-0.35	0.58	0.93	0.67	IYY
EWU	0.97	0.99	0.93	0.89	0.79		-0.38	0.61	0.84	0.67	EWU
EPI	-0.44	-0.44	-0.49	-0.53	-0.35	-0.38		-0.5	-0.39	-0.36	EPI
ITB	0.72	0.65	0.8	0.76	0.58	0.61	-0.5		0.59	0.49	ITB
SPGP	0.87	0.86	0.75	0.93	0.93	0.84	-0.39	0.59		0.57	SPGP
CQQQ	0.62	0.65	0.66	0.7	0.67	0.67	-0.36	0.49	0.57		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

INTF	+ 0.99	IWX
EWU	+ 0.99	INTF
EWU	+ 0.97	IWX
IFRA	+ 0.95	IWX
SMLF	+ 0.94	IWX
IFRA	+ 0.94	INTF

High negative correlations

EPI	- 0.53	SMLF
ITB	- 0.5	EPI
EPI	- 0.49	IFRA
EPI	- 0.44	INTF
EPI	- 0.44	IWX
SPGP	- 0.39	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	0.52	0.09	0.11	0.20	0.37	(0.60)	1.26	(0.96)	2.70
INTF	0.64	0.12	0.11	0.23	0.66	(0.68)	1.27	(1.33)	3.48
IFRA	0.72	0.10	0.11	0.21	0.61	(0.77)	1.52	(1.27)	3.02
SMLF	0.86	0.01	0.02	0.09	0.93	(0.94)	2.00	(1.86)	4.06
IYY	0.59	(0.05)	(0.08)	0.02	0.80	(0.60)	1.13	(1.26)	3.52
EWU	0.69	0.11	0.11	0.23	0.64	(0.78)	1.41	(1.09)	4.09
EPI	0.68	(0.05)	0.00	(0.05)	0.00	0.00	1.14	(1.16)	3.99
ITB	1.28	0.06	0.07	0.13	1.06	(1.67)	4.22	(2.13)	8.51
SPGP	0.79	(0.02)	(0.02)	0.06	0.84	(0.89)	1.73	(1.52)	3.97
CQQQ	1.28	(0.09)	0.00	(0.02)	0.00	0.00	3.16	(2.60)	7.84

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