IShares ESG Correlations

XJR Etf

USD 43.34 0.28 0.64%

The current 90-days correlation between iShares ESG Screened and 6 Meridian Small is 0.87 (i.e., Very poor diversification). The correlation of IShares ESG 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 ESG Correlation With Market

Very poor diversification

The correlation between iShares ESG Screened and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Screened and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in iShares ESG Screened. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with IShares Etf

0.97	VB	Vanguard Small Cap	Pair Corr
0.98	IJR	iShares Core SP	Pair Corr
0.93	IWM	iShares Russell 2000	Pair Corr
0.82	VRTIX	Vanguard Russell 2000	Pair Corr
0.93	VTWO	Vanguard Russell 2000	Pair Corr
0.98	FNDA	Schwab Fundamental Small	Pair Corr
0.98	SPSM	SPDR Portfolio SP	Pair Corr
0.97	DFAS	Dimensional Small Cap	Pair Corr
0.98	VIOO	Vanguard SP Small	Pair Corr
0.98	PRFZ	Invesco FTSE RAFI	Pair Corr
0.74	VTI	Vanguard Total Stock	Pair Corr
0.68	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.67	IVV	iShares Core SP	Pair Corr
0.74	TOT	Advisor Managed Port	Pair Corr
0.84	VTV	Vanguard Value Index Sell-off Trend	Pair Corr
0.87	VO	Vanguard Mid Cap	Pair Corr
0.77	ITDJ	iShares Trust	Pair Corr
0.93	SAWS	AAM Sawgrass Small	Pair Corr
0.65	CPER	United States Copper	Pair Corr
0.73	DFAX	Dimensional World	Pair Corr
0.62	GBUG	Sprott Active Gold	Pair Corr
0.75	EASG	Xtrackers MSCI EAFE	Pair Corr
0.67	QLC	FlexShares Quality Large	Pair Corr
0.86	SIXS	6 Meridian Small	Pair Corr
0.97	FSMD	Fidelity Small Mid	Pair Corr
0.69	SIL	Global X Silver Downward Rally	Pair Corr
0.67	VOO	Vanguard SP 500	Pair Corr

Related Correlations Analysis

	SIXS	JPXN	BMVP	RZG	FLJH	CNBS	RAFE	RVER	SMAY	RSBY
SIXS		0.62	0.87	0.78	0.42	0.23	0.83	-0.18	0.85	-0.79	SIXS
JPXN	0.62		0.6	0.61	0.78	0.03	0.84	-0.04	0.72	-0.61	JPXN
BMVP	0.87	0.6		0.69	0.4	0.06	0.81	-0.09	0.76	-0.73	BMVP
RZG	0.78	0.61	0.69		0.21	0.45	0.78	0.35	0.91	-0.58	RZG
FLJH	0.42	0.78	0.4	0.21		-0.34	0.67	-0.39	0.49	-0.47	FLJH
CNBS	0.23	0.03	0.06	0.45	-0.34		0.06	0.45	0.25	-0.23	CNBS
RAFE	0.83	0.84	0.81	0.78	0.67	0.06		-0.08	0.92	-0.76	RAFE
RVER	-0.18	-0.04	-0.09	0.35	-0.39	0.45	-0.08		0.07	0.28	RVER
SMAY	0.85	0.72	0.76	0.91	0.49	0.25	0.92	0.07		-0.75	SMAY
RSBY	-0.79	-0.61	-0.73	-0.58	-0.47	-0.23	-0.76	0.28	-0.75		RSBY
	SIXS	JPXN	BMVP	RZG	FLJH	CNBS	RAFE	RVER	SMAY	RSBY

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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

SMAY	+ 0.92	RAFE
SMAY	+ 0.91	RZG
BMVP	+ 0.87	SIXS
SMAY	+ 0.85	SIXS
RAFE	+ 0.84	JPXN
RAFE	+ 0.83	SIXS

High negative correlations

RSBY	- 0.79	SIXS
RSBY	- 0.76	RAFE
RSBY	- 0.75	SMAY
RSBY	- 0.73	BMVP
RSBY	- 0.61	JPXN
RSBY	- 0.58	RZG

IShares ESG Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares ESG 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 ESG'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
SIXS	0.61	(0.01)	(0.03)	0.07	0.71	(0.64)	1.32	(0.96)	3.68
JPXN	0.70	(0.02)	(0.02)	0.05	1.02	(0.66)	1.63	(1.53)	5.44
BMVP	0.47	(0.02)	(0.08)	0.04	0.53	(0.51)	1.02	(0.96)	2.47
RZG	0.85	(0.03)	(0.01)	0.05	1.03	(0.88)	1.68	(1.73)	4.59
FLJH	0.77	0.01	0.00	0.09	1.14	(0.81)	1.64	(1.63)	8.32
CNBS	5.64	0.37	0.05	0.57	6.66	(6.25)	10.58	(8.88)	80.06
RAFE	0.59	0.01	0.00	0.08	0.68	(0.62)	1.16	(1.06)	3.00
RVER	0.98	(0.15)	0.00	(0.04)	0.00	0.00	1.92	(2.08)	5.32
SMAY	0.34	0.00	(0.07)	0.07	0.39	(0.35)	0.83	(0.78)	2.21
RSBY	0.55	(0.07)	0.00	0.61	0.00	0.00	1.16	(1.14)	3.43

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