IShares Russell Correlations

IWM Etf

USD 238.77 4.33 1.85%

The current 90-days correlation between iShares Russell 2000 and SPDR Dow Jones is 0.88 (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

Very poor diversification

The correlation between iShares Russell 2000 and DJI is 0.88 (i.e., Very poor 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.

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 housing.

Moving together with IShares Etf

0.98	VB	Vanguard Small Cap	Pair Corr
0.99	IJR	iShares Core SP	Pair Corr
1.0	VRTIX	Vanguard Russell 2000	Pair Corr
1.0	VTWO	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.99	SPSM	SPDR Portfolio SP	Pair Corr
1.0	DFAS	Dimensional Small Cap	Pair Corr
0.99	VIOO	Vanguard SP Small	Pair Corr
1.0	PRFZ	Invesco FTSE RAFI	Pair Corr
0.93	VTI	Vanguard Total Stock	Pair Corr
0.91	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.91	IVV	iShares Core SP	Pair Corr
0.87	VTV	Vanguard Value Index	Pair Corr
0.91	VUG	Vanguard Growth Index	Pair Corr
0.92	VO	Vanguard Mid Cap	Pair Corr
0.87	DIVB	iShares Dividend	Pair Corr
0.85	BTC	Grayscale Bitcoin Mini	Pair Corr
0.78	DISO	Tidal Trust II	Pair Corr
0.81	MSTY	YieldMax MSTR Option	Pair Corr
0.89	DIVG	Invesco Exchange Traded	Pair Corr
0.83	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.77	DIS	Walt Disney	Pair Corr
0.86	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.81	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.77	WMT	Walmart Aggressive Push	Pair Corr
0.84	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr

Moving against IShares Etf

0.67	BND	Vanguard Total Bond	Pair Corr
0.48	VEA	Vanguard FTSE Developed	Pair Corr
0.76	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.73	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.68	PFE	Pfizer Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	DIA	EEM	XLF	SPY	TLT
DIA		0.33	0.91	0.97	-0.79	DIA
EEM	0.33		0.02	0.39	-0.24	EEM
XLF	0.91	0.02		0.89	-0.87	XLF
SPY	0.97	0.39	0.89		-0.84	SPY
TLT	-0.79	-0.24	-0.87	-0.84		TLT
	DIA	EEM	XLF	SPY	TLT

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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

SPY	+ 0.97	DIA
XLF	+ 0.91	DIA
SPY	+ 0.89	XLF
SPY	+ 0.39	EEM
EEM	+ 0.33	DIA
XLF	+ 0.02	EEM

High negative correlations

TLT	- 0.87	XLF
TLT	- 0.84	SPY
TLT	- 0.79	DIA
TLT	- 0.24	EEM

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
DIA	0.56	0.01	0.01	0.13	0.40	(0.61)	1.08	(0.97)	4.35
EEM	0.85	(0.05)	(0.11)	0.01	1.06	(0.95)	2.12	(1.98)	6.13
XLF	0.73	0.07	0.12	0.18	0.54	(0.83)	1.50	(1.23)	7.69
SPY	0.55	0.00	(0.02)	0.12	0.65	(0.55)	1.12	(1.28)	3.77
TLT	0.62	(0.08)	0.00	0.38	0.00	0.00	1.27	(1.50)	4.37

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