IShares ESG Correlations

XCSR Etf

CAD 103.69 0.70 0.67%

The current 90-days correlation between iShares ESG Advanced and iShares ESG Advanced is 0.73 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares ESG moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares ESG Advanced moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares ESG Correlation With Market

Very weak diversification

The correlation between iShares ESG Advanced and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Advanced and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares ESG 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 ESG 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 ESG - 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 ESG Advanced to buy it.

Moving together with IShares Etf

0.95	XIU	iShares SPTSX 60	Pair Corr
0.95	XIC	iShares Core SPTSX	Pair Corr
0.95	ZCN	BMO SPTSX Capped	Pair Corr
0.95	VCN	Vanguard FTSE Canada	Pair Corr
0.95	HXT	Global X SPTSX	Pair Corr
0.95	HXCN	Global X SPTSX	Pair Corr
0.95	QCN	Mackenzie Canadian Equity	Pair Corr
0.92	WXM	First Asset Morningstar	Pair Corr
0.95	TTP	TD Canadian Equity	Pair Corr

Moving against IShares Etf

0.9	HXD	BetaPro SPTSX 60	Pair Corr
0.71	HUC	Global X Crude	Pair Corr
0.56	HOU	BetaPro Crude Oil	Pair Corr
0.56	HIU	BetaPro SP 500	Pair Corr
0.56	HBLK	Blockchain Technologies	Pair Corr
0.39	HED	BetaPro SPTSX Capped	Pair Corr
0.37	HQD	BetaPro NASDAQ 100	Pair Corr

Related Correlations Analysis

	XUSR	FXM	XMU	XMD	HUTL	XMH	TPRF	EGIF	VE	XMV
XUSR		-0.53	0.2	-0.31	0.25	0.05	-0.23	-0.07	-0.1	-0.52	XUSR
FXM	-0.53		-0.35	0.88	-0.17	0.6	0.82	0.45	0.67	0.96	FXM
XMU	0.2	-0.35		-0.41	0.4	-0.25	-0.64	-0.49	-0.26	-0.28	XMU
XMD	-0.31	0.88	-0.41		-0.26	0.83	0.81	0.39	0.79	0.92	XMD
HUTL	0.25	-0.17	0.4	-0.26		-0.21	-0.14	0.2	0.06	-0.24	HUTL
XMH	0.05	0.6	-0.25	0.83	-0.21		0.67	0.27	0.82	0.7	XMH
TPRF	-0.23	0.82	-0.64	0.81	-0.14	0.67		0.62	0.73	0.77	TPRF
EGIF	-0.07	0.45	-0.49	0.39	0.2	0.27	0.62		0.32	0.37	EGIF
VE	-0.1	0.67	-0.26	0.79	0.06	0.82	0.73	0.32		0.7	VE
XMV	-0.52	0.96	-0.28	0.92	-0.24	0.7	0.77	0.37	0.7		XMV
	XUSR	FXM	XMU	XMD	HUTL	XMH	TPRF	EGIF	VE	XMV

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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

XMV	+ 0.96	FXM
XMV	+ 0.92	XMD
XMD	+ 0.88	FXM
XMH	+ 0.83	XMD
TPRF	+ 0.82	FXM
VE	+ 0.82	XMH

High negative correlations

TPRF	- 0.64	XMU
FXM	- 0.53	XUSR
XMV	- 0.52	XUSR
EGIF	- 0.49	XMU
XMD	- 0.41	XMU
XMU	- 0.35	FXM

IShares ESG Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares ESG 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 ESG'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
XUSR	0.84	(0.05)	(0.05)	(0.01)	1.32	(0.73)	1.71	(2.13)	4.85
FXM	0.57	0.12	0.10	0.47	0.51	(0.65)	1.39	(1.04)	3.26
XMU	0.41	(0.04)	0.00	(0.10)	0.00	0.00	0.93	(0.85)	2.35
XMD	0.93	0.10	0.06	0.24	1.16	(0.98)	1.88	(2.40)	5.26
HUTL	0.40	0.00	(0.10)	0.08	0.54	(0.38)	0.67	(0.91)	2.41
XMH	0.81	0.01	(0.01)	0.07	0.98	(0.85)	1.66	(1.51)	4.58
TPRF	0.22	0.05	0.00	0.40	0.20	(0.26)	0.50	(0.41)	1.55
EGIF	0.29	0.12	0.00	(6.60)	0.00	0.00	0.28	0.00	9.19
VE	0.54	0.04	0.01	0.15	0.52	(0.60)	1.21	(1.00)	2.55
XMV	0.42	0.04	0.00	0.21	0.41	(0.49)	1.06	(0.74)	3.15

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares ESG 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.

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