IShares Edge Correlations

SPME Etf

EUR 10.37 14.73 58.69%

The current 90-days correlation between iShares Edge SP and iShares MSCI EMU is 0.05 (i.e., Significant diversification). The correlation of IShares Edge 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 Edge Correlation With Market

Very good diversification

The correlation between iShares Edge SP and DJI is -0.27 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Edge SP and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares Edge 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 Edge 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 Edge - 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 Edge SP to buy it.

Moving against IShares Etf

0.52	IUSP	iShares Property Yield	Pair Corr
0.49	IJPE	iShares MSCI Japan	Pair Corr
0.47	IJPC	iShares MSCI Japan	Pair Corr
0.44	XSGI	Xtrackers SP Global	Pair Corr
0.4	IAEX	iShares AEX UCITS	Pair Corr
0.4	FLXK	Franklin FTSE Korea	Pair Corr
0.39	SMMCHA	UBS ETF SMIM	Pair Corr
0.39	GLUG	LG Clean Water	Pair Corr
0.39	IKOR	iShares MSCI Korea	Pair Corr
0.38	EUFM	UBSFund Solutions MSCI	Pair Corr
0.37	SWUSAH	UBS ETF MSCI	Pair Corr
0.37	SPICHA	UBS ETF SPI	Pair Corr
0.37	UT1US	UBSFund Solutions	Pair Corr
0.36	XEOU	Xtrackers MSCI Europe	Pair Corr
0.36	AUHEUA	UBS ETF plc	Pair Corr
0.36	STSX	SPDR MSCI Europe	Pair Corr
0.35	FACH	Invesco High Yield	Pair Corr
0.49	JPHG	Amundi Index Solutions	Pair Corr
0.48	JPNY	Amundi Index Solutions	Pair Corr
0.46	IWDP	iShares Developed Markets	Pair Corr
0.4	SHEME	UBSFund Solutions	Pair Corr
0.39	CSBGU0	iShares VII PLC	Pair Corr
0.37	WCOS	SPDR MSCI World	Pair Corr
0.37	IUES	iShares SP 500	Pair Corr
0.34	CBMDAX	Amundi Index Solutions	Pair Corr
0.34	CHCORP	iShares Core CHF	Pair Corr
0.33	EMHD	Invesco FTSE Emerging	Pair Corr

Related Correlations Analysis

	CRPH	X1GD	IJPE	E20Y	JREE	CSBGE3	EMUM
CRPH		0.26	0.76	-0.54	0.71	0.79	0.73	CRPH
X1GD	0.26		-0.12	-0.29	-0.19	0.05	-0.19	X1GD
IJPE	0.76	-0.12		-0.53	0.96	0.94	0.96	IJPE
E20Y	-0.54	-0.29	-0.53		-0.56	-0.69	-0.54	E20Y
JREE	0.71	-0.19	0.96	-0.56		0.94	0.98	JREE
CSBGE3	0.79	0.05	0.94	-0.69	0.94		0.93	CSBGE3
EMUM	0.73	-0.19	0.96	-0.54	0.98	0.93		EMUM
	CRPH	X1GD	IJPE	E20Y	JREE	CSBGE3	EMUM

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

EMUM	+ 0.98	JREE
JREE	+ 0.96	IJPE
EMUM	+ 0.96	IJPE
CSBGE3	+ 0.94	IJPE
CSBGE3	+ 0.94	JREE
EMUM	+ 0.93	CSBGE3

High negative correlations

CSBGE3	- 0.69	E20Y
JREE	- 0.56	E20Y
EMUM	- 0.54	E20Y
E20Y	- 0.54	CRPH
E20Y	- 0.53	IJPE
E20Y	- 0.29	X1GD

IShares Edge Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Edge 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 Edge'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
CRPH	0.28	0.01	(0.19)	(0.10)	0.31	(0.33)	0.74	(0.54)	1.92
X1GD	0.13	(0.01)	0.00	0.20	0.00	0.00	0.26	(0.22)	2.69
IJPE	0.59	0.25	0.23	1.25	0.00	(0.90)	1.91	(1.03)	4.36
E20Y	0.58	0.00	(0.08)	0.25	0.68	(0.82)	1.50	(1.20)	4.61
JREE	0.50	0.17	0.16	1.05	0.40	(0.60)	1.14	(0.93)	3.71
CSBGE3	0.03	0.00	(1.70)	(0.05)	0.00	(0.04)	0.06	(0.05)	0.26
EMUM	0.46	0.16	0.15	1.69	0.25	(0.52)	1.14	(0.90)	2.89

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares Edge 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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