IShares Core Correlations

SXR8 Etf

EUR 602.56 8.34 1.40%

The current 90-days correlation between iShares Core SP and iShares Govt Bond is -0.03 (i.e., Good 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.

IShares Core Correlation With Market

Poor diversification

The correlation between iShares Core SP and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares Core could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares Core when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares Core - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares Core SP to buy it.

Moving together with IShares Etf

0.82	GQ9	SPDR Gold Shares	Pair Corr
0.95	VUSA	Vanguard Funds Public	Pair Corr
0.66	IS3N	iShares Core MSCI	Pair Corr
0.65	IBC3	iShares Core MSCI	Pair Corr
0.61	DBPE	Xtrackers LevDAX	Pair Corr

Moving against IShares Etf

0.75	XJSE	Xtrackers II	Pair Corr
0.61	DBPD	Xtrackers ShortDAX	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.28	0.57	-0.02	0.62	0.02	0.71	0.3	-0.57	0.73	META
MSFT	0.28		0.24	0.13	0.18	-0.02	0.02	-0.17	0.11	-0.19	MSFT
UBER	0.57	0.24		-0.01	0.05	0.25	0.08	-0.07	0.02	0.38	UBER
F	-0.02	0.13	-0.01		-0.04	-0.36	0.32	0.6	-0.22	0.26	F
T	0.62	0.18	0.05	-0.04		-0.46	0.71	0.45	-0.75	0.39	T
A	0.02	-0.02	0.25	-0.36	-0.46		-0.47	-0.65	0.63	0.0	A
CRM	0.71	0.02	0.08	0.32	0.71	-0.47		0.81	-0.92	0.68	CRM
JPM	0.3	-0.17	-0.07	0.6	0.45	-0.65	0.81		-0.82	0.49	JPM
MRK	-0.57	0.11	0.02	-0.22	-0.75	0.63	-0.92	-0.82		-0.56	MRK
XOM	0.73	-0.19	0.38	0.26	0.39	0.0	0.68	0.49	-0.56		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

JPM	+ 0.81	CRM
XOM	+ 0.73	META
CRM	+ 0.71	META
CRM	+ 0.71	T
XOM	+ 0.68	CRM
MRK	+ 0.63	A

High negative correlations

MRK	- 0.92	CRM
MRK	- 0.82	JPM
MRK	- 0.75	T
JPM	- 0.65	A
MRK	- 0.57	META
XOM	- 0.56	MRK

IShares Core Competition 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
META	1.05	0.01	(0.01)	0.12	1.40	(1.14)	2.62	(3.15)	8.02
MSFT	0.90	(0.11)	0.00	(0.05)	0.00	0.00	2.09	(2.02)	8.19
UBER	1.56	(0.16)	0.00	(0.06)	0.00	0.00	2.53	(2.44)	20.10
F	1.39	(0.12)	(0.03)	0.02	2.20	(1.34)	2.53	(2.90)	11.72
T	0.92	0.26	0.15	57.17	0.86	(1.04)	2.56	(1.72)	6.47
A	1.12	(0.13)	0.00	(0.16)	0.00	0.00	2.29	(2.42)	9.02
CRM	1.28	0.27	0.23	0.33	0.92	(1.51)	3.18	(1.91)	9.09
JPM	1.11	0.03	0.07	0.12	1.44	(1.15)	2.05	(2.00)	15.87
MRK	0.85	(0.24)	0.00	(1.03)	0.00	0.00	1.73	(2.13)	4.89
XOM	1.04	0.06	0.01	0.20	1.20	(1.10)	2.14	(2.09)	5.78

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares Core without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

Did you try this?

Run Performance Analysis Now

Performance Analysis

Check effects of mean-variance optimization against your current asset allocation

All Next

Launch Module

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC