IShares Core Correlations

XDG-U Etf

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The current 90-days correlation between iShares Core MSCI and iShares 1 10Yr Laddered is 0.18 (i.e., Average 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

Modest diversification

The correlation between iShares Core MSCI and DJI is 0.26 (i.e., Modest 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.

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 MSCI to buy it.

Moving together with IShares Etf

0.89	XIU	iShares SPTSX 60	Pair Corr
0.88	XIC	iShares Core SPTSX	Pair Corr
0.88	ZCN	BMO SPTSX Capped	Pair Corr
0.83	FTN	Financial 15 Split Split	Pair Corr
0.89	FCMI	Fidelity Canadian Monthly	Pair Corr
0.87	VVL	Vanguard Global Value	Pair Corr
0.86	XCV	iShares Canadian Value	Pair Corr
0.72	DOLY	Purpose Dollarama Yield	Pair Corr
0.89	FLCD	Franklin FTSE Canada	Pair Corr
0.69	VGRO	Vanguard Growth Portfolio	Pair Corr
0.75	USCC-U	Global X SP	Pair Corr
0.82	EBNK	Evolve European Banks	Pair Corr

Moving against IShares Etf

0.55	TCLB	TD Canadian Long	Pair Corr
0.41	ZAG	BMO Aggregate Bond	Pair Corr
0.38	XBB	iShares Canadian Universe	Pair Corr

Related Correlations Analysis

	CLG	CBO	ZMP	DXG	ZFM	RQP	IGB	XLB	XFR
CLG		0.8	0.98	0.19	0.97	0.06	0.03	0.93	-0.52	CLG
CBO	0.8		0.71	0.41	0.67	0.2	0.07	0.71	-0.07	CBO
ZMP	0.98	0.71		0.22	0.97	0.11	-0.02	0.95	-0.55	ZMP
DXG	0.19	0.41	0.22		0.14	0.37	0.03	0.34	0.19	DXG
ZFM	0.97	0.67	0.97	0.14		-0.1	0.07	0.93	-0.61	ZFM
RQP	0.06	0.2	0.11	0.37	-0.1		-0.54	0.11	0.29	RQP
IGB	0.03	0.07	-0.02	0.03	0.07	-0.54		-0.1	-0.12	IGB
XLB	0.93	0.71	0.95	0.34	0.93	0.11	-0.1		-0.49	XLB
XFR	-0.52	-0.07	-0.55	0.19	-0.61	0.29	-0.12	-0.49		XFR
	CLG	CBO	ZMP	DXG	ZFM	RQP	IGB	XLB	XFR

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

ZMP	+ 0.98	CLG
ZFM	+ 0.97	CLG
ZFM	+ 0.97	ZMP
XLB	+ 0.95	ZMP
XLB	+ 0.93	CLG
XLB	+ 0.93	ZFM

High negative correlations

XFR	- 0.61	ZFM
XFR	- 0.55	ZMP
IGB	- 0.54	RQP
XFR	- 0.52	CLG
XFR	- 0.49	XLB
XFR	- 0.12	IGB

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
CLG	0.12	(0.01)	(0.31)	(0.14)	0.20	(0.12)	0.17	(0.28)	0.91
CBO	0.10	0.00	(0.46)	(1.02)	0.11	(0.11)	0.22	(0.16)	0.70
ZMP	0.17	(0.01)	(0.24)	(0.17)	0.27	(0.18)	0.35	(0.35)	1.47
DXG	0.84	(0.04)	(0.06)	0.02	1.07	(0.84)	1.52	(1.68)	4.67
ZFM	0.18	(0.02)	0.00	(0.23)	0.00	0.00	0.33	(0.47)	1.41
RQP	0.05	0.00	(0.71)	(0.01)	0.00	(0.07)	0.11	(0.11)	0.33
IGB	0.10	(0.02)	0.00	(7.48)	0.00	0.00	0.22	(0.16)	0.49
XLB	0.32	(0.02)	0.00	(0.07)	0.00	0.00	0.59	(0.64)	2.23
XFR	0.04	0.00	(1.25)	0.00	0.00	(0.06)	0.10	(0.05)	0.20

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.

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