IShares Equity Correlations

LRGF Etf

USD 70.04 0.51 0.73%

The current 90-days correlation between iShares Equity Factor and iShares Edge MSCI is 0.79 (i.e., Poor diversification). The correlation of IShares Equity 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.

IShares Equity Correlation With Market

Very poor diversification

The correlation between iShares Equity Factor and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Equity Factor and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in iShares Equity Factor. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with IShares Etf

0.94	VTI	Vanguard Total Stock	Pair Corr
0.93	SPY	SPDR SP 500	Pair Corr
0.93	IVV	iShares Core SP	Pair Corr
0.74	VIG	Vanguard Dividend	Pair Corr
0.94	VV	Vanguard Large Cap	Pair Corr
0.74	RSP	Invesco SP 500	Pair Corr
0.94	IWB	iShares Russell 1000	Pair Corr
0.94	ESGU	iShares ESG Aware	Pair Corr
0.85	DFAC	Dimensional Core Equity	Pair Corr
0.67	USD	ProShares Ultra Semi	Pair Corr
0.74	TECL	Direxion Daily Technology	Pair Corr
0.79	ROM	ProShares Ultra Tech	Pair Corr
0.9	QLD	ProShares Ultra QQQ Potential Growth	Pair Corr
0.85	SMH	VanEck Semiconductor ETF	Pair Corr
0.98	SPXL	Direxion Daily SP500	Pair Corr
0.98	UPRO	ProShares UltraPro SP500	Pair Corr
0.84	SOXX	iShares Semiconductor ETF	Pair Corr
0.8	PSI	Invesco Dynamic Semi	Pair Corr

Related Correlations Analysis

	INTF	IYH	EWU	IFRA	IWX	XME	IMCG	USRT	ITB	NLR
INTF		0.7	0.96	0.55	0.94	0.56	-0.01	-0.12	-0.16	-0.41	INTF
IYH	0.7		0.64	0.07	0.76	0.06	-0.55	-0.14	-0.35	-0.82	IYH
EWU	0.96	0.64		0.52	0.87	0.54	0.03	-0.11	-0.23	-0.36	EWU
IFRA	0.55	0.07	0.52		0.43	0.75	0.69	0.39	0.5	0.3	IFRA
IWX	0.94	0.76	0.87	0.43		0.42	-0.16	-0.21	-0.22	-0.51	IWX
XME	0.56	0.06	0.54	0.75	0.42		0.43	-0.05	0.18	0.3	XME
IMCG	-0.01	-0.55	0.03	0.69	-0.16	0.43		0.46	0.68	0.72	IMCG
USRT	-0.12	-0.14	-0.11	0.39	-0.21	-0.05	0.46		0.6	0.16	USRT
ITB	-0.16	-0.35	-0.23	0.5	-0.22	0.18	0.68	0.6		0.4	ITB
NLR	-0.41	-0.82	-0.36	0.3	-0.51	0.3	0.72	0.16	0.4		NLR
	INTF	IYH	EWU	IFRA	IWX	XME	IMCG	USRT	ITB	NLR

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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

EWU	+ 0.96	INTF
IWX	+ 0.94	INTF
IWX	+ 0.87	EWU
IWX	+ 0.76	IYH
XME	+ 0.75	IFRA
NLR	+ 0.72	IMCG

High negative correlations

NLR	- 0.82	IYH
IMCG	- 0.55	IYH
NLR	- 0.51	IWX
NLR	- 0.41	INTF
NLR	- 0.36	EWU
ITB	- 0.35	IYH

IShares Equity Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Equity 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 Equity'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
INTF	0.56	0.05	0.04	0.14	0.66	(0.58)	1.15	(1.31)	2.64
IYH	0.57	0.07	0.06	0.17	0.50	(0.63)	1.41	(1.24)	3.60
EWU	0.58	0.05	0.05	0.16	0.49	(0.68)	1.33	(0.93)	2.57
IFRA	0.68	(0.03)	(0.05)	0.04	0.72	(0.74)	1.31	(1.27)	3.17
IWX	0.51	0.07	0.01	0.52	0.51	(0.53)	0.98	(0.89)	2.30
XME	1.81	0.11	0.07	0.13	2.31	(1.78)	3.78	(4.11)	13.65
IMCG	0.72	(0.09)	0.00	(0.01)	0.00	0.00	1.19	(1.78)	3.48
USRT	0.58	(0.07)	0.00	(0.08)	0.00	0.00	0.97	(1.05)	3.71
ITB	1.04	(0.24)	0.00	(0.11)	0.00	0.00	3.15	(2.61)	7.12
NLR	2.23	(0.06)	0.00	0.04	2.87	(2.26)	4.49	(4.94)	11.98

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