IShares Core Correlations

IXUS Etf

USD 89.41 1.48 1.63%

The current 90-days correlation between iShares Core MSCI and iShares 20 Year is 0.24 (i.e., Modest 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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares Core Correlation With Market

Very poor diversification

The correlation between iShares Core MSCI and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core 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 Core 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 persons.

Moving together with IShares Etf

0.99	VEA	Vanguard FTSE Developed	Pair Corr
0.99	IEFA	iShares Core MSCI	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.99	EFA	iShares MSCI EAFE	Pair Corr
0.99	SPDW	SPDR SP World	Pair Corr
0.99	IDEV	iShares Core MSCI	Pair Corr
0.99	ESGD	iShares ESG Aware	Pair Corr
0.99	JIRE	JP Morgan Exchange	Pair Corr
1.0	DFAX	Dimensional World	Pair Corr
0.87	SIXD	AIM ETF Products	Pair Corr
0.91	FMF	First Trust Managed	Pair Corr
0.89	FLXR	TCW ETF Trust	Pair Corr
0.71	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.92	BA	Boeing Sell-off Trend	Pair Corr
0.76	INTC	Intel Aggressive Push	Pair Corr
0.81	CAT	Caterpillar	Pair Corr
0.91	AA	Alcoa Corp	Pair Corr
0.74	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.9	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr

Moving against IShares Etf

0.83	VXX	iPath Series B Low Volatility	Pair Corr
0.83	VIXY	ProShares VIX Short Low Volatility	Pair Corr
0.82	VIXM	ProShares VIX Mid Low Volatility	Pair Corr
0.82	VXZ	iPath Series B Low Volatility	Pair Corr
0.35	YCL	ProShares Ultra Yen	Pair Corr
0.75	T	ATT Inc Earnings Call This Week	Pair Corr
0.55	MSFT	Microsoft	Pair Corr
0.43	MMM	3M Company	Pair Corr

Related Correlations Analysis

	SCHF	IWB	IWR	EFA	QUAL	IVE	XLF	ACWI	VWUAX	TLT
SCHF		0.83	0.94	1.0	0.92	0.93	0.59	0.92	0.79	-0.53	SCHF
IWB	0.83		0.9	0.84	0.95	0.84	0.69	0.86	0.77	-0.3	IWB
IWR	0.94	0.9		0.94	0.96	0.91	0.66	0.88	0.76	-0.44	IWR
EFA	1.0	0.84	0.94		0.93	0.93	0.62	0.93	0.8	-0.52	EFA
QUAL	0.92	0.95	0.96	0.93		0.92	0.72	0.9	0.8	-0.45	QUAL
IVE	0.93	0.84	0.91	0.93	0.92		0.68	0.94	0.77	-0.58	IVE
XLF	0.59	0.69	0.66	0.62	0.72	0.68		0.57	0.75	-0.57	XLF
ACWI	0.92	0.86	0.88	0.93	0.9	0.94	0.57		0.76	-0.45	ACWI
VWUAX	0.79	0.77	0.76	0.8	0.8	0.77	0.75	0.76		-0.43	VWUAX
TLT	-0.53	-0.3	-0.44	-0.52	-0.45	-0.58	-0.57	-0.45	-0.43		TLT
	SCHF	IWB	IWR	EFA	QUAL	IVE	XLF	ACWI	VWUAX	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

EFA	+ 1.0	SCHF
QUAL	+ 0.96	IWR
QUAL	+ 0.95	IWB
IWR	+ 0.94	SCHF
EFA	+ 0.94	IWR
ACWI	+ 0.94	IVE

High negative correlations

TLT	- 0.58	IVE
TLT	- 0.57	XLF
TLT	- 0.53	SCHF
TLT	- 0.52	EFA
TLT	- 0.45	ACWI
TLT	- 0.45	QUAL

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
SCHF	0.58	0.12	0.13	0.20	0.58	(0.63)	1.18	(1.25)	2.84
IWB	0.54	(0.01)	(0.02)	0.04	0.78	(0.52)	1.16	(1.27)	3.52
IWR	0.65	(0.01)	(0.01)	0.05	0.79	(0.65)	1.43	(1.52)	3.48
EFA	0.58	0.08	0.09	0.17	0.57	(0.61)	1.14	(1.29)	3.06
QUAL	0.52	0.02	0.01	0.07	0.62	(0.51)	1.19	(1.06)	3.26
IVE	0.50	0.05	0.00	0.40	0.50	(0.56)	0.99	(0.98)	3.06
XLF	0.67	(0.04)	(0.04)	0.01	0.95	(0.64)	1.26	(1.70)	4.46
ACWI	0.53	0.07	0.03	0.62	0.74	(0.51)	1.05	(1.28)	3.29
VWUAX	0.82	0.06	0.04	0.14	1.04	(0.83)	1.72	(1.98)	11.04
TLT	0.42	(0.07)	0.00	(0.23)	0.00	0.00	0.61	(1.01)	2.20

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