IShares Core Correlations

IXUS Etf

USD 68.33 0.82 1.21%

The current 90-days correlation between iShares Core MSCI and iShares Core SP is 0.76 (i.e., Poor 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

Poor diversification

The correlation between iShares Core MSCI and DJI is 0.61 (i.e., Poor 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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares Core MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with IShares Etf

0.97	VEA	Vanguard FTSE Developed	Pair Corr
0.96	IEFA	iShares Core MSCI	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.96	EFA	iShares MSCI EAFE	Pair Corr
0.98	SPDW	SPDR SP World	Pair Corr
0.87	IDEV	iShares Core MSCI	Pair Corr
0.97	ESGD	iShares ESG Aware	Pair Corr
0.99	DFAX	Dimensional World	Pair Corr
0.93	IQLT	iShares MSCI Intl	Pair Corr
0.87	GREI	Goldman Sachs Future	Pair Corr
0.7	SPAQ	Horizon Kinetics SPAC	Pair Corr
0.67	PULS	PGIM Ultra Short	Pair Corr
0.74	MPAY	Akros Monthly Payout	Pair Corr
0.68	CAPD	Barclays Capital	Pair Corr
0.74	BUFF	Innovator Laddered	Pair Corr
0.63	VZ	Verizon Communications Fiscal Year End 28th of January 2025	Pair Corr
0.69	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.64	HPQ	HP Inc Fiscal Year End 19th of November 2024	Pair Corr
0.73	JPM	JPMorgan Chase Fiscal Year End 10th of January 2025	Pair Corr
0.63	MSFT	Microsoft Earnings Call This Week	Pair Corr
0.66	BA	Boeing Earnings Call This Week	Pair Corr
0.73	BAC	Bank of America Sell-off Trend	Pair Corr

Moving against IShares Etf

0.68	DIS	Walt Disney Financial Report 14th of August 2024	Pair Corr
0.48	MCD	McDonalds Earnings Call This Week	Pair Corr

Related Correlations Analysis

	ITOT	ISTB	IEFA	IEMG	IJH
ITOT		0.94	0.69	0.84	0.44	ITOT
ISTB	0.94		0.63	0.72	0.51	ISTB
IEFA	0.69	0.63		0.75	0.65	IEFA
IEMG	0.84	0.72	0.75		0.44	IEMG
IJH	0.44	0.51	0.65	0.44		IJH
	ITOT	ISTB	IEFA	IEMG	IJH

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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
ITOT	0.50	0.06	0.05	0.16	0.54	(0.53)	1.18	(0.92)	3.59
ISTB	0.11	0.02	(0.34)	0.33	0.00	(0.14)	0.27	(0.17)	0.62
IEFA	0.62	0.00	(0.02)	0.08	0.72	(0.62)	1.27	(1.22)	3.10
IEMG	0.61	0.04	0.00	0.15	0.70	(0.61)	1.09	(1.29)	4.04
IJH	0.75	0.06	0.01	0.25	0.81	(0.76)	1.34	(1.34)	4.41

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