IShares SP Correlations

GSG Etf

USD 22.80 0.32 1.42%

The current 90-days correlation between iShares SP GSCI and Global X SuperDividend is 0.43 (i.e., Very weak diversification). The correlation of IShares SP 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 SP Correlation With Market

Average diversification

The correlation between iShares SP GSCI and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP GSCI 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 SP GSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with IShares Etf

0.91	PDBC	Invesco Optimum Yield	Pair Corr
0.68	FTGC	First Trust Global	Pair Corr
0.9	DBC	Invesco DB Commodity	Pair Corr
0.77	COMT	iShares GSCI Commodity	Pair Corr

Moving against IShares Etf

0.31	VXX	iPath Series B	Pair Corr
0.31	YCL	ProShares Ultra Yen	Pair Corr

Related Correlations Analysis

	SDIV	PTIR	DLS	ISPY	DVYE	PSEP	CCMG	YINN	FJUN	BKIE
SDIV		-0.28	0.25	0.46	0.91	0.63	0.44	-0.33	0.65	0.6	SDIV
PTIR	-0.28		0.23	0.46	-0.23	0.24	-0.19	0.38	0.19	0.2	PTIR
DLS	0.25	0.23		0.39	0.0	0.51	-0.33	0.28	0.46	0.59	DLS
ISPY	0.46	0.46	0.39		0.52	0.93	0.41	-0.18	0.92	0.81	ISPY
DVYE	0.91	-0.23	0.0	0.52		0.62	0.62	-0.48	0.66	0.58	DVYE
PSEP	0.63	0.24	0.51	0.93	0.62		0.47	-0.33	0.99	0.9	PSEP
CCMG	0.44	-0.19	-0.33	0.41	0.62	0.47		-0.75	0.51	0.46	CCMG
YINN	-0.33	0.38	0.28	-0.18	-0.48	-0.33	-0.75		-0.38	-0.24	YINN
FJUN	0.65	0.19	0.46	0.92	0.66	0.99	0.51	-0.38		0.89	FJUN
BKIE	0.6	0.2	0.59	0.81	0.58	0.9	0.46	-0.24	0.89		BKIE
	SDIV	PTIR	DLS	ISPY	DVYE	PSEP	CCMG	YINN	FJUN	BKIE

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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

FJUN	+ 0.99	PSEP
PSEP	+ 0.93	ISPY
FJUN	+ 0.92	ISPY
DVYE	+ 0.91	SDIV
BKIE	+ 0.9	PSEP
BKIE	+ 0.89	FJUN

High negative correlations

YINN	- 0.75	CCMG
YINN	- 0.48	DVYE
FJUN	- 0.38	YINN
YINN	- 0.33	PSEP
CCMG	- 0.33	DLS
YINN	- 0.33	SDIV

IShares SP Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares SP 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 SP'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
SDIV	0.51	(0.01)	(0.06)	0.04	0.64	(0.53)	1.00	(0.99)	2.99
PTIR	4.44	0.08	0.04	0.09	6.60	(4.40)	9.54	(13.12)	30.53
DLS	0.50	(0.05)	(0.10)	(0.01)	0.67	(0.49)	1.10	(1.03)	2.47
ISPY	0.55	(0.02)	(0.04)	0.04	0.82	(0.52)	1.05	(1.27)	3.35
DVYE	0.55	(0.01)	(0.03)	0.06	0.76	(0.53)	1.13	(1.21)	3.48
PSEP	0.25	(0.01)	(0.12)	0.04	0.32	(0.26)	0.51	(0.43)	1.79
CCMG	0.50	0.10	0.02	(0.21)	0.49	(0.55)	1.29	(0.85)	4.22
YINN	2.71	(0.48)	0.00	(0.12)	0.00	0.00	4.88	(4.25)	20.50
FJUN	0.23	0.00	(0.12)	0.05	0.29	(0.23)	0.54	(0.53)	1.51
BKIE	0.57	(0.01)	(0.02)	0.06	0.71	(0.57)	1.17	(1.19)	2.99

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