IShares Core Correlations

IXUS Etf

USD 77.40 0.19 0.24%

The current 90-days correlation between iShares Core MSCI and iShares Core SP is 0.7 (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

Good diversification

The correlation between iShares Core MSCI and DJI is -0.13 (i.e., Good 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.

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 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

0.63	VEA	Vanguard FTSE Developed	Pair Corr
0.99	IEFA	iShares Core MSCI	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.98	EFA	iShares MSCI EAFE	Pair Corr
0.86	SPDW	SPDR SP World	Pair Corr
0.99	IDEV	iShares Core MSCI	Pair Corr
0.98	ESGD	iShares ESG Aware	Pair Corr
0.98	JIRE	JP Morgan Exchange	Pair Corr
1.0	DFAX	Dimensional World	Pair Corr
0.65	PMBS	PIMCO Mortgage Backed	Pair Corr
0.85	ITDD	iShares Trust	Pair Corr
0.71	CAT	Caterpillar	Pair Corr
0.64	CVX	Chevron Corp	Pair Corr
0.66	DIS	Walt Disney	Pair Corr
0.69	MSFT	Microsoft	Pair Corr
0.73	IBM	International Business Earnings Call This Week	Pair Corr
0.63	PFE	Pfizer Inc	Pair Corr

Moving against IShares Etf

0.62

MCD

McDonalds

Pair Corr

Related Correlations Analysis

	ITOT	ISTB	IEFA	IEMG	IJH
ITOT		0.81	0.83	0.82	0.83	ITOT
ISTB	0.81		0.71	0.75	0.64	ISTB
IEFA	0.83	0.71		0.95	0.92	IEFA
IEMG	0.82	0.75	0.95		0.95	IEMG
IJH	0.83	0.64	0.92	0.95		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	0.62	0.33	0.29	(4.55)	0.00	(0.77)	2.09	(0.85)	5.18
ISTB	0.10	0.02	(0.83)	(1.55)	0.00	(0.11)	0.21	(0.19)	0.61
IEFA	0.54	0.19	0.06	(1.27)	0.40	(0.63)	1.27	(1.11)	3.36
IEMG	0.57	0.27	0.18	(26.92)	0.25	(0.67)	1.50	(1.28)	4.51
IJH	0.74	0.29	0.15	(1.77)	0.57	(0.94)	2.22	(1.28)	6.29

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