IShares Core Correlations

XEF Etf

CAD 47.44 0.65 1.39%

The current 90-days correlation between iShares Core MSCI and Vanguard Total Market is 0.78 (i.e., Poor 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

Very weak diversification

The correlation between iShares Core MSCI and DJI is 0.44 (i.e., Very weak 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

1.0	ZEA	BMO MSCI EAFE	Pair Corr
0.97	VIU	Vanguard FTSE Developed	Pair Corr
0.87	XIN	iShares MSCI EAFE	Pair Corr
0.86	XFH	iShares Core MSCI	Pair Corr
0.87	ZDM	BMO MSCI EAFE	Pair Corr
0.83	WSRD	Wealthsimple Developed	Pair Corr
0.96	VDU	Vanguard FTSE Developed	Pair Corr
0.81	VEF	Vanguard FTSE Developed	Pair Corr
0.63	XIU	iShares SPTSX 60	Pair Corr
0.8	XSP	iShares Core SP	Pair Corr
0.62	XIC	iShares Core SPTSX	Pair Corr
0.62	ZCN	BMO SPTSX Capped	Pair Corr
0.62	ZSP	BMO SP 500	Pair Corr
0.62	VFV	Vanguard SP 500	Pair Corr

Related Correlations Analysis

	VUN	XIU	XSP	XFH	VCN	XEQT	XIC	XUS	VIU	ZCN
VUN		0.25	0.8	0.49	0.24	0.76	0.23	0.98	0.62	0.23	VUN
XIU	0.25		0.66	0.84	1.0	0.79	1.0	0.25	0.67	1.0	XIU
XSP	0.8	0.66		0.82	0.65	0.92	0.65	0.8	0.83	0.65	XSP
XFH	0.49	0.84	0.82		0.83	0.89	0.83	0.53	0.92	0.83	XFH
VCN	0.24	1.0	0.65	0.83		0.78	1.0	0.23	0.67	1.0	VCN
XEQT	0.76	0.79	0.92	0.89	0.78		0.78	0.76	0.9	0.78	XEQT
XIC	0.23	1.0	0.65	0.83	1.0	0.78		0.23	0.66	1.0	XIC
XUS	0.98	0.25	0.8	0.53	0.23	0.76	0.23		0.65	0.23	XUS
VIU	0.62	0.67	0.83	0.92	0.67	0.9	0.66	0.65		0.66	VIU
ZCN	0.23	1.0	0.65	0.83	1.0	0.78	1.0	0.23	0.66		ZCN
	VUN	XIU	XSP	XFH	VCN	XEQT	XIC	XUS	VIU	ZCN

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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
VUN	0.61	(0.03)	(0.07)	0.00	0.83	(0.63)	1.28	(1.18)	3.51
XIU	0.57	0.06	0.04	0.18	0.69	(0.57)	1.20	(1.38)	3.29
XSP	0.57	0.01	(0.02)	0.07	0.88	(0.51)	1.20	(1.20)	3.22
XFH	0.47	0.07	0.05	0.24	0.61	(0.50)	0.93	(1.00)	3.05
VCN	0.62	0.06	0.04	0.18	0.76	(0.62)	1.28	(1.32)	3.49
XEQT	0.56	0.03	(0.01)	0.11	0.67	(0.57)	1.13	(1.08)	3.10
XIC	0.63	0.07	0.05	0.19	0.77	(0.65)	1.35	(1.37)	3.57
XUS	0.56	(0.01)	(0.04)	0.04	0.83	(0.55)	1.23	(1.25)	3.43
VIU	0.53	0.06	0.03	0.19	0.66	(0.52)	1.08	(1.11)	3.40
ZCN	0.63	0.07	0.05	0.19	0.73	(0.63)	1.36	(1.32)	3.56

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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