IShares Convertible Correlations

CVD Etf

CAD 18.33 0.12 0.65%

The current 90-days correlation between iShares Convertible Bond and iShares SP Mid Cap is 0.2 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Convertible moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Convertible Bond moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Convertible Correlation With Market

Significant diversification

The correlation between iShares Convertible Bond and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Convertible Bond and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares Convertible 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 Convertible 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 Convertible - 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 Convertible Bond to buy it.

Moving together with IShares Etf

0.67	ZJK	BMO High Yield	Pair Corr
0.63	CXF	CI Canadian Convertible	Pair Corr
0.7	HFU	BetaPro SPTSX Capped	Pair Corr
0.71	HGU	BetaPro Canadian Gold	Pair Corr
0.74	ZGD	BMO Equal Weight	Pair Corr
0.75	HXU	BetaPro SP TSX	Pair Corr

Related Correlations Analysis

	CVD	XMH	XMS	XFLX	XFLB	XST	XSI	XGD	XEC
CVD		0.12	0.3	0.59	0.21	0.46	0.55	0.69	0.45	CVD
XMH	0.12		0.5	0.32	-0.02	-0.05	0.11	-0.06	-0.14	XMH
XMS	0.3	0.5		0.12	-0.12	0.11	0.16	0.37	-0.06	XMS
XFLX	0.59	0.32	0.12		0.67	0.43	0.79	0.49	0.65	XFLX
XFLB	0.21	-0.02	-0.12	0.67		-0.12	0.85	0.24	0.8	XFLB
XST	0.46	-0.05	0.11	0.43	-0.12		0.07	0.43	0.0	XST
XSI	0.55	0.11	0.16	0.79	0.85	0.07		0.53	0.83	XSI
XGD	0.69	-0.06	0.37	0.49	0.24	0.43	0.53		0.53	XGD
XEC	0.45	-0.14	-0.06	0.65	0.8	0.0	0.83	0.53		XEC
	CVD	XMH	XMS	XFLX	XFLB	XST	XSI	XGD	XEC

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

XSI	+ 0.85	XFLB
XEC	+ 0.83	XSI
XEC	+ 0.8	XFLB
XSI	+ 0.79	XFLX
XGD	+ 0.69	CVD
XFLB	+ 0.67	XFLX

High negative correlations

XEC	- 0.14	XMH
XST	- 0.12	XFLB
XFLB	- 0.12	XMS
XEC	- 0.06	XMS
XGD	- 0.06	XMH
XST	- 0.05	XMH

IShares Convertible Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Convertible 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 Convertible'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
CVD	0.35	0.04	(0.06)	2.44	0.33	(0.46)	0.72	(0.72)	2.43
XMH	0.75	(0.01)	(0.05)	0.05	0.96	(0.81)	1.62	(1.50)	4.62
XMS	0.42	(0.02)	(0.12)	(0.01)	0.57	(0.46)	1.01	(0.93)	3.43
XFLX	0.11	0.00	(0.38)	0.14	0.04	(0.12)	0.23	(0.21)	1.01
XFLB	0.34	0.04	(0.04)	0.32	0.25	(0.60)	1.15	(0.64)	2.85
XST	0.76	0.10	0.00	(0.24)	0.97	(0.75)	1.89	(1.63)	5.69
XSI	0.14	0.00	(0.28)	0.12	0.11	(0.17)	0.29	(0.35)	0.82
XGD	1.86	0.32	0.08	0.80	2.72	(1.80)	4.50	(4.49)	14.77
XEC	0.64	0.09	0.05	0.27	0.81	(0.67)	1.36	(1.07)	5.06

Be your own money manager

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