IShares ESG Correlations

ESGD Etf

USD 95.53 0.14 0.15%

The current 90-days correlation between iShares ESG Aware and iShares MSCI EAFE is 0.92 (i.e., Almost no 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.

IShares ESG Correlation With Market

Poor diversification

The correlation between iShares ESG Aware and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aware and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

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

Moving together with IShares Etf

0.69	VEA	Vanguard FTSE Developed	Pair Corr
0.99	IEFA	iShares Core MSCI	Pair Corr
0.68	VEU	Vanguard FTSE All	Pair Corr
0.99	EFA	iShares MSCI EAFE	Pair Corr
0.98	IXUS	iShares Core MSCI	Pair Corr
0.77	SPDW	SPDR SP World	Pair Corr
0.73	IDEV	iShares Core MSCI	Pair Corr
0.77	JIRE	JP Morgan Exchange	Pair Corr
0.75	DFAX	Dimensional World	Pair Corr
0.61	CPER	United States Copper	Pair Corr
0.82	USCL	iShares Climate Conscious	Pair Corr
0.9	SCZ	iShares MSCI EAFE	Pair Corr
0.7	ITDJ	iShares Trust	Pair Corr
0.84	CSD	Invesco SP Spin	Pair Corr
0.67	JADE	JP Morgan Exchange	Pair Corr
0.61	QLC	FlexShares Quality Large	Pair Corr
0.77	AVUV	Avantis Small Cap	Pair Corr
0.9	QQJG	Invesco ESG NASDAQ	Pair Corr
0.78	FLCV	Federated Hermes ETF	Pair Corr

Related Correlations Analysis

	SCZ	MGV	EZU	AMLP	EFG	INDA	HDV	IGV	AVUS	DFIC
SCZ		0.67	0.91	0.28	0.66	-0.26	0.37	0.23	0.81	0.85	SCZ
MGV	0.67		0.74	0.61	0.16	-0.05	0.63	-0.3	0.75	0.82	MGV
EZU	0.91	0.74		0.39	0.59	-0.14	0.35	0.02	0.85	0.93	EZU
AMLP	0.28	0.61	0.39		-0.31	0.12	0.4	-0.64	0.63	0.63	AMLP
EFG	0.66	0.16	0.59	-0.31		-0.03	-0.13	0.66	0.41	0.33	EFG
INDA	-0.26	-0.05	-0.14	0.12	-0.03		-0.12	-0.33	-0.06	-0.09	INDA
HDV	0.37	0.63	0.35	0.4	-0.13	-0.12		-0.36	0.23	0.44	HDV
IGV	0.23	-0.3	0.02	-0.64	0.66	-0.33	-0.36		-0.1	-0.23	IGV
AVUS	0.81	0.75	0.85	0.63	0.41	-0.06	0.23	-0.1		0.91	AVUS
DFIC	0.85	0.82	0.93	0.63	0.33	-0.09	0.44	-0.23	0.91		DFIC
	SCZ	MGV	EZU	AMLP	EFG	INDA	HDV	IGV	AVUS	DFIC

Please upgrade your account to get full access to Macroaxis premium features

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

DFIC	+ 0.93	EZU
EZU	+ 0.91	SCZ
DFIC	+ 0.91	AVUS
DFIC	+ 0.85	SCZ
AVUS	+ 0.85	EZU
DFIC	+ 0.82	MGV

High negative correlations

IGV	- 0.64	AMLP
IGV	- 0.36	HDV
IGV	- 0.33	INDA
EFG	- 0.31	AMLP
IGV	- 0.3	MGV
INDA	- 0.26	SCZ

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
SCZ	0.56	0.01	(0.01)	0.08	0.69	(0.54)	1.09	(1.11)	3.02
MGV	0.48	0.05	(0.02)	0.76	0.47	(0.54)	0.99	(0.96)	2.29
EZU	0.62	0.03	0.02	0.11	0.66	(0.68)	1.12	(1.24)	2.77
AMLP	0.55	(0.01)	(0.07)	0.04	0.73	(0.56)	1.22	(1.22)	3.25
EFG	0.66	(0.01)	(0.02)	0.05	0.98	(0.59)	1.04	(1.45)	3.25
INDA	0.52	0.01	(0.08)	0.14	0.62	(0.52)	1.09	(0.93)	3.51
HDV	0.47	0.01	(0.12)	(0.12)	0.54	(0.48)	1.02	(0.82)	2.75
IGV	1.01	(0.09)	0.00	1.67	0.00	0.00	1.41	(2.74)	5.47
AVUS	0.60	0.00	0.00	0.07	0.94	(0.55)	1.29	(1.25)	3.33
DFIC	0.54	0.05	0.04	0.14	0.57	(0.58)	1.07	(1.12)	2.54

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2025 Macroaxis LLC