IShares Trust Correlations

ITDD Etf

USD 33.18 0.01 0.03%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.67 (i.e., Poor diversification). The correlation of IShares Trust 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.

IShares Trust Correlation With Market

Very poor diversification

The correlation between iShares Trust and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Trust and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

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

For information on how to trade IShares Etf refer to our How to Trade IShares Etf guide.

Moving together with IShares Etf

0.94	NFLX	Netflix Downward Rally	Pair Corr
0.97	JAVA	JPMorgan Active Value	Pair Corr
0.94	KONG	Formidable Fortress ETF	Pair Corr
0.91	LUX	Tema ETF Trust	Pair Corr
0.92	JOYY	JOYY Inc Symbol Change	Pair Corr
0.87	VBF	Invesco Van Kampen	Pair Corr
0.79	HIDE	Alpha Architect High	Pair Corr
0.73	EUSB	iShares Trust	Pair Corr
0.81	KGRN	KraneShares MSCI China	Pair Corr
0.93	VABS	Virtus Newfleet ABSMBS	Pair Corr
0.98	BUFD	FT Cboe Vest	Pair Corr
0.95	PFUT	Putnam Sustainable Future	Pair Corr
0.61	XOM	Exxon Mobil Corp	Pair Corr
0.75	INTC	Intel Earnings Call This Week	Pair Corr
0.98	BAC	Bank of America	Pair Corr
0.96	GE	GE Aerospace Earnings Call This Week	Pair Corr
0.97	JPM	JPMorgan Chase	Pair Corr
0.96	DIS	Walt Disney	Pair Corr
0.97	CAT	Caterpillar	Pair Corr
0.93	IBM	International Business Earnings Call This Week	Pair Corr
0.94	BA	Boeing	Pair Corr
0.96	CSCO	Cisco Systems	Pair Corr
0.91	MMM	3M Company	Pair Corr

Moving against IShares Etf

0.74	HUM	Humana Inc	Pair Corr
0.33	MKC	McCormick Company	Pair Corr
0.67	MCD	McDonalds	Pair Corr
0.55	KO	Coca Cola Earnings Call This Week	Pair Corr
0.5	PG	Procter Gamble	Pair Corr
0.37	VZ	Verizon Communications Earnings Call This Week	Pair Corr

Related Correlations Analysis

	MDIV	MFUL	DRAI	MPRO	MRSK	MSMR	EAOA	EAOK	EAOM
MDIV		0.91	0.89	0.92	0.92	0.89	0.92	0.89	0.92	MDIV
MFUL	0.91		0.98	0.96	0.96	0.96	0.98	0.98	0.97	MFUL
DRAI	0.89	0.98		0.93	0.95	0.98	0.96	0.96	0.96	DRAI
MPRO	0.92	0.96	0.93		0.96	0.91	0.98	0.97	0.99	MPRO
MRSK	0.92	0.96	0.95	0.96		0.95	0.96	0.95	0.97	MRSK
MSMR	0.89	0.96	0.98	0.91	0.95		0.94	0.93	0.94	MSMR
EAOA	0.92	0.98	0.96	0.98	0.96	0.94		0.97	0.99	EAOA
EAOK	0.89	0.98	0.96	0.97	0.95	0.93	0.97		0.98	EAOK
EAOM	0.92	0.97	0.96	0.99	0.97	0.94	0.99	0.98		EAOM
	MDIV	MFUL	DRAI	MPRO	MRSK	MSMR	EAOA	EAOK	EAOM

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IShares Trust Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Trust 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 Trust'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
MDIV	0.38	0.02	(0.13)	0.19	0.39	(0.44)	0.82	(0.97)	2.43
MFUL	0.17	0.06	(0.29)	(2.23)	0.00	(0.21)	0.42	(0.29)	1.32
DRAI	0.89	0.39	0.20	(2.43)	0.60	(1.08)	2.15	(1.30)	8.20
MPRO	0.37	0.01	(0.10)	0.16	0.35	(0.39)	0.94	(0.74)	2.63
MRSK	0.41	0.04	(0.06)	0.24	0.35	(0.45)	1.05	(0.76)	2.67
MSMR	0.34	0.13	0.05	0.79	0.00	(0.42)	0.94	(0.56)	2.32
EAOA	0.47	0.10	0.08	0.29	0.29	(0.53)	1.35	(1.15)	3.16
EAOK	0.26	0.09	(0.13)	(4.75)	0.00	(0.31)	0.73	(0.49)	1.69
EAOM	0.29	0.05	(0.07)	0.28	0.00	(0.31)	0.88	(0.59)	1.98

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