IShares Core Correlations

XEF Etf

CAD 37.45 0.04 0.11%

The current 90-days correlation between iShares Core MSCI and BMO MSCI EAFE is 0.98 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Core moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Core MSCI moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Core Correlation With Market

Significant diversification

The correlation between iShares Core MSCI and DJI is 0.05 (i.e., Significant 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

0.99	ZEA	BMO MSCI EAFE	Pair Corr
0.99	VIU	Vanguard FTSE Developed	Pair Corr
0.79	XIN	iShares MSCI EAFE	Pair Corr
0.75	XFH	iShares Core MSCI	Pair Corr
0.78	ZDM	BMO MSCI EAFE	Pair Corr
0.93	WSRD	Wealthsimple Developed	Pair Corr
0.64	ZLI	BMO Low Volatility	Pair Corr
0.98	VDU	Vanguard FTSE Developed	Pair Corr
0.66	VEF	Vanguard FTSE Developed	Pair Corr

Related Correlations Analysis

	XEF	ZEA	VIU	XIN	XFH	ZDM	WSRD	ZLI	VDU	VEF
XEF		0.99	0.99	0.79	0.75	0.78	0.93	0.64	0.98	0.66	XEF
ZEA	0.99		0.99	0.79	0.74	0.78	0.92	0.64	0.97	0.65	ZEA
VIU	0.99	0.99		0.76	0.71	0.74	0.92	0.64	0.96	0.61	VIU
XIN	0.79	0.79	0.76		0.99	1.0	0.64	0.16	0.85	0.97	XIN
XFH	0.75	0.74	0.71	0.99		0.99	0.62	0.12	0.83	0.98	XFH
ZDM	0.78	0.78	0.74	1.0	0.99		0.64	0.15	0.85	0.96	ZDM
WSRD	0.93	0.92	0.92	0.64	0.62	0.64		0.76	0.89	0.52	WSRD
ZLI	0.64	0.64	0.64	0.16	0.12	0.15	0.76		0.53	-0.01	ZLI
VDU	0.98	0.97	0.96	0.85	0.83	0.85	0.89	0.53		0.77	VDU
VEF	0.66	0.65	0.61	0.97	0.98	0.96	0.52	-0.01	0.77		VEF
	XEF	ZEA	VIU	XIN	XFH	ZDM	WSRD	ZLI	VDU	VEF

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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

ZDM	+ 1.0	XIN
ZEA	+ 0.99	XEF
VIU	+ 0.99	XEF
VIU	+ 0.99	ZEA
XFH	+ 0.99	XIN
ZDM	+ 0.99	XFH

High negative correlations

VEF

- 0.01

ZLI

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
XEF	0.53	(0.04)	0.00	(0.93)	0.00	0.00	0.99	(1.03)	3.85
ZEA	0.53	(0.04)	0.00	(2.81)	0.00	0.00	1.01	(1.01)	3.43
VIU	0.54	(0.05)	0.00	(2.33)	0.00	0.00	1.06	(1.15)	4.15
XIN	0.54	(0.01)	(0.13)	0.00	0.73	(0.52)	1.23	(1.05)	3.16
XFH	0.52	0.00	(0.12)	0.16	0.71	(0.53)	1.05	(1.19)	3.10
ZDM	0.53	(0.01)	(0.14)	(0.02)	0.70	(0.52)	1.17	(1.16)	3.02
WSRD	0.54	(0.04)	0.00	6.51	0.00	0.00	0.98	(1.23)	3.85
ZLI	0.41	(0.02)	0.00	0.26	0.00	0.00	0.73	(0.92)	2.89
VDU	0.52	(0.03)	0.00	(0.83)	0.00	0.00	1.03	(0.96)	3.70
VEF	0.52	0.01	(0.12)	0.21	0.65	(0.56)	1.29	(0.92)	3.09

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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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