IShares Russell Correlations

IWM Etf

USD 263.04 0.08 0.03%

The current 90-days correlation between iShares Russell 2000 and iShares Russell 1000 is 0.87 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Russell Correlation With Market

Almost no diversification

The correlation between iShares Russell 2000 and DJI is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 2000 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 Russell 2000. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in private.

Moving together with IShares Etf

0.99	VB	Vanguard Small Cap	Pair Corr
0.97	IJR	iShares Core SP Sell-off Trend	Pair Corr
1.0	VRTIX	Vanguard Russell 2000	Pair Corr
1.0	VTWO	Vanguard Russell 2000	Pair Corr
0.97	FNDA	Schwab Fundamental Small	Pair Corr
0.97	SPSM	SPDR Portfolio SP Sell-off Trend	Pair Corr
0.98	DFAS	Dimensional Small Cap	Pair Corr
0.97	VIOO	Vanguard SP Small	Pair Corr
1.0	PRFZ	Invesco FTSE RAFI	Pair Corr
0.89	VTI	Vanguard Total Stock	Pair Corr
0.85	SPY	SPDR SP 500	Pair Corr
0.85	IVV	iShares Core SP	Pair Corr
0.89	VTV	Vanguard Value Index	Pair Corr
0.96	VO	Vanguard Mid Cap Sell-off Trend	Pair Corr
0.88	VEA	Vanguard FTSE Developed	Pair Corr
0.82	VWO	Vanguard FTSE Emerging	Pair Corr
0.9	UMAY	Innovator ETFs Trust	Pair Corr
0.92	JEPI	JPMorgan Equity Premium	Pair Corr
0.78	NCPB	Nuveen Core Plus	Pair Corr
0.88	CCNR	CoreCommodity Natural	Pair Corr
0.79	UDI	USCF ETF Trust	Pair Corr
0.79	QLV	FlexShares Quality Low	Pair Corr
0.9	FIDU	Fidelity MSCI Industrials	Pair Corr
0.8	SCDV	ETF Series Solutions	Pair Corr
0.92	XYLD	Global X SP	Pair Corr
0.92	PSFD	Pacer Swan SOS	Pair Corr
0.89	EURL	Direxion Daily FTSE	Pair Corr
0.84	IAUM	iShares Gold Trust	Pair Corr
0.9	CHPS	Xtrackers Semiconductor	Pair Corr
0.93	IQSZ	Invesco Actively Managed	Pair Corr
0.96	WDNA	WisdomTree BioRevolution	Pair Corr
0.85	XFIX	Fm Investments Symbol Change	Pair Corr
0.85	TAXT	Northern Trust Tax	Pair Corr

Related Correlations Analysis

	IWD	IVW	EFA	IWR	IJR	IWB	VV	SCHD	VLCAX	VTWAX
IWD		0.2	0.97	0.97	0.98	0.79	0.71	0.91	0.71	0.97	IWD
IVW	0.2		0.13	0.33	0.23	0.75	0.82	-0.14	0.82	0.38	IVW
EFA	0.97	0.13		0.94	0.93	0.73	0.65	0.94	0.65	0.96	EFA
IWR	0.97	0.33	0.94		0.98	0.86	0.79	0.84	0.79	0.97	IWR
IJR	0.98	0.23	0.93	0.98		0.8	0.72	0.88	0.72	0.94	IJR
IWB	0.79	0.75	0.73	0.86	0.8		0.99	0.52	0.99	0.87	IWB
VV	0.71	0.82	0.65	0.79	0.72	0.99		0.42	1.0	0.82	VV
SCHD	0.91	-0.14	0.94	0.84	0.88	0.52	0.42		0.43	0.84	SCHD
VLCAX	0.71	0.82	0.65	0.79	0.72	0.99	1.0	0.43		0.82	VLCAX
VTWAX	0.97	0.38	0.96	0.97	0.94	0.87	0.82	0.84	0.82		VTWAX
	IWD	IVW	EFA	IWR	IJR	IWB	VV	SCHD	VLCAX	VTWAX

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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

VLCAX	+ 1.0	VV
VV	+ 0.99	IWB
VLCAX	+ 0.99	IWB
IJR	+ 0.98	IWD
IJR	+ 0.98	IWR
EFA	+ 0.97	IWD

High negative correlations

SCHD

- 0.14

IVW

IShares Russell Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Russell 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 Russell'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
IWD	0.54	0.08	0.10	0.14	0.47	(0.60)	1.36	(1.08)	2.94
IVW	0.75	(0.09)	0.00	(0.07)	0.00	0.00	1.20	(1.79)	4.80
EFA	0.61	0.11	0.12	0.19	0.60	(0.63)	1.34	(1.30)	3.06
IWR	0.65	0.04	0.04	0.08	0.74	(0.69)	1.61	(1.54)	4.18
IJR	0.83	0.09	0.10	0.12	0.75	(0.99)	2.57	(1.79)	4.99
IWB	0.56	(0.04)	(0.05)	0.00	0.80	(0.55)	1.06	(1.57)	3.61
VV	0.55	(0.05)	0.00	(0.02)	0.00	0.00	0.94	(1.54)	3.67
SCHD	0.65	0.26	0.40	2.93	0.00	(0.83)	1.67	(0.86)	2.87
VLCAX	0.55	(0.05)	0.00	(0.02)	0.00	0.00	0.93	(1.56)	3.68
VTWAX	0.55	0.03	0.02	0.08	0.69	(0.56)	1.06	(1.37)	3.46

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