IShares Russell Correlations

IWO Etf

USD 298.79 4.40 1.49%

The current 90-days correlation between iShares Russell 2000 and Dimensional ETF Trust is 0.48 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Russell Correlation With Market

Very poor diversification

The correlation between iShares Russell 2000 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 Russell 2000 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 Russell 2000. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in housing.

Moving together with IShares Etf

0.98	VBK	Vanguard Small Cap	Pair Corr
0.96	IJT	iShares SP Small	Pair Corr
0.96	SLYG	SPDR SP 600	Pair Corr
0.93	JKK	iShares Morningstar	Pair Corr
1.0	VTWG	Vanguard Russell 2000	Pair Corr
1.0	VRTGX	Vanguard Russell 2000	Pair Corr
0.96	VIOG	Vanguard SP Small	Pair Corr
0.99	DWAS	Invesco DWA SmallCap	Pair Corr
0.76	USD	ProShares Ultra Semi	Pair Corr
0.65	SGG	Barclays Capital	Pair Corr
0.72	DIG	ProShares Ultra Oil	Pair Corr
0.76	YCS	ProShares UltraShort Yen	Pair Corr
0.76	TBT	ProShares UltraShort	Pair Corr
0.76	TMV	Direxion Daily 20	Pair Corr
0.86	ATMP	Barclays ETN Select Low Volatility	Pair Corr
0.86	BAC	Bank of America Aggressive Push	Pair Corr
0.84	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.79	HPQ	HP Inc	Pair Corr
0.78	JPM	JPMorgan Chase Fiscal Year End 10th of January 2025	Pair Corr
0.75	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.68	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.91	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.64	HD	Home Depot	Pair Corr
0.83	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.75	DIS	Walt Disney Aggressive Push	Pair Corr
0.76	WMT	Walmart Aggressive Push	Pair Corr

Moving against IShares Etf

0.45	NRGU	Bank Of Montreal	Pair Corr
0.72	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.61	PFE	Pfizer Inc Fiscal Year End 4th of February 2025	Pair Corr

Related Correlations Analysis

	DISV	VB	MMSC	VIOG	VIOV	VIOO	DWAS	VTWG	VTWV
DISV		-0.35	-0.31	-0.18	-0.38	-0.3	-0.32	-0.35	-0.33	DISV
VB	-0.35		0.99	0.94	0.96	0.96	0.98	0.99	0.95	VB
MMSC	-0.31	0.99		0.94	0.93	0.95	0.98	0.99	0.93	MMSC
VIOG	-0.18	0.94	0.94		0.96	0.99	0.97	0.96	0.97	VIOG
VIOV	-0.38	0.96	0.93	0.96		0.99	0.97	0.97	0.99	VIOV
VIOO	-0.3	0.96	0.95	0.99	0.99		0.98	0.98	0.99	VIOO
DWAS	-0.32	0.98	0.98	0.97	0.97	0.98		0.99	0.97	DWAS
VTWG	-0.35	0.99	0.99	0.96	0.97	0.98	0.99		0.97	VTWG
VTWV	-0.33	0.95	0.93	0.97	0.99	0.99	0.97	0.97		VTWV
	DISV	VB	MMSC	VIOG	VIOV	VIOO	DWAS	VTWG	VTWV

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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

MMSC	+ 0.99	VB
VTWG	+ 0.99	VB
VTWG	+ 0.99	MMSC
VIOO	+ 0.99	VIOG
VIOO	+ 0.99	VIOV
VTWV	+ 0.99	VIOV

High negative correlations

VIOV	- 0.38	DISV
VTWG	- 0.35	DISV
VB	- 0.35	DISV
VTWV	- 0.33	DISV
DWAS	- 0.32	DISV
MMSC	- 0.31	DISV

IShares Russell Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Russell 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 Russell'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
DISV	0.75	(0.11)	0.00	(0.13)	0.00	0.00	1.60	(1.69)	4.67
VB	0.76	0.03	0.05	0.10	0.75	(0.80)	1.69	(1.21)	5.31
MMSC	0.92	0.02	0.05	0.09	1.05	(1.00)	2.09	(2.02)	6.85
VIOG	0.93	(0.03)	0.01	0.06	0.90	(1.08)	2.42	(1.41)	7.53
VIOV	0.92	(0.01)	0.02	0.07	0.90	(1.09)	1.97	(1.70)	7.84
VIOO	0.92	(0.02)	0.02	0.06	0.90	(1.05)	2.12	(1.56)	7.52
DWAS	1.20	0.00	0.04	0.08	1.32	(1.38)	2.95	(2.34)	8.26
VTWG	1.01	0.00	0.04	0.08	1.04	(1.10)	2.27	(1.70)	7.36
VTWV	0.93	(0.03)	0.01	0.06	0.90	(1.05)	2.02	(1.72)	8.11

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