IShares Core Correlations

IEUR Etf

USD 71.26 0.21 0.30%

The current 90-days correlation between iShares Core MSCI and iShares MSCI ACWI is 0.87 (i.e., Very poor diversification). The correlation of IShares Core 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 Core Correlation With Market

Poor diversification

The correlation between iShares Core MSCI and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI 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 Core MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in producer price index.

Moving together with IShares Etf

1.0	VGK	Vanguard FTSE Europe	Pair Corr
0.99	EZU	iShares MSCI Eurozone	Pair Corr
1.0	BBEU	JPMorgan BetaBuilders	Pair Corr
0.98	FEZ	SPDR EURO STOXX	Pair Corr
1.0	IEV	iShares Europe ETF	Pair Corr
0.84	HEDJ	WisdomTree Europe Hedged	Pair Corr
0.86	EUFN	iShares MSCI Europe	Pair Corr
0.9	DBEU	Xtrackers MSCI Europe	Pair Corr
0.92	HEZU	iShares Currency Hedged	Pair Corr
0.88	ITDD	iShares Trust	Pair Corr
0.63	AMPD	Tidal ETF Services	Pair Corr
0.9	CPST	Calamos ETF Trust	Pair Corr
0.8	ITWO	Proshares Russell 2000	Pair Corr
0.95	DFAX	Dimensional World	Pair Corr
0.77	XVV	iShares ESG Screened	Pair Corr
0.78	SIXS	6 Meridian Small	Pair Corr
0.7	SFTY	Horizon Funds Horizon	Pair Corr
0.82	BATT	Amplify Lithium Battery	Pair Corr
0.78	VOO	Vanguard SP 500	Pair Corr
0.74	IAU	iShares Gold Trust	Pair Corr
0.72	SCJ	iShares MSCI Japan	Pair Corr
0.78	AVUV	Avantis Small Cap	Pair Corr
0.86	APRT	AllianzIM Large Cap	Pair Corr
0.78	FTBI	First Trust Exchange	Pair Corr
0.88	AJUL	Innovator Equity Defined	Pair Corr
0.76	SIL	Global X Silver	Pair Corr
0.71	MMID	MFS Active Exchange	Pair Corr
0.62	CLOX	Series Portfolios Trust	Pair Corr

Related Correlations Analysis

	ACWX	URTH	IJS	BBEU	HEFA	EWZ	FXI	RWL	BBIN	DFEM
ACWX		0.95	0.81	0.94	0.91	0.46	-0.11	0.87	0.97	0.8	ACWX
URTH	0.95		0.86	0.88	0.88	0.51	-0.11	0.9	0.92	0.75	URTH
IJS	0.81	0.86		0.87	0.79	0.46	-0.23	0.91	0.88	0.39	IJS
BBEU	0.94	0.88	0.87		0.91	0.44	-0.27	0.88	0.98	0.56	BBEU
HEFA	0.91	0.88	0.79	0.91		0.63	-0.45	0.92	0.92	0.62	HEFA
EWZ	0.46	0.51	0.46	0.44	0.63		-0.38	0.69	0.49	0.35	EWZ
FXI	-0.11	-0.11	-0.23	-0.27	-0.45	-0.38		-0.39	-0.23	0.21	FXI
RWL	0.87	0.9	0.91	0.88	0.92	0.69	-0.39		0.91	0.52	RWL
BBIN	0.97	0.92	0.88	0.98	0.92	0.49	-0.23	0.91		0.64	BBIN
DFEM	0.8	0.75	0.39	0.56	0.62	0.35	0.21	0.52	0.64		DFEM
	ACWX	URTH	IJS	BBEU	HEFA	EWZ	FXI	RWL	BBIN	DFEM

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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

BBIN	+ 0.98	BBEU
BBIN	+ 0.97	ACWX
URTH	+ 0.95	ACWX
BBEU	+ 0.94	ACWX
BBIN	+ 0.92	URTH
RWL	+ 0.92	HEFA

High negative correlations

FXI	- 0.45	HEFA
RWL	- 0.39	FXI
FXI	- 0.38	EWZ
FXI	- 0.27	BBEU
BBIN	- 0.23	FXI
FXI	- 0.23	IJS

IShares Core Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Core 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 Core'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
ACWX	0.58	0.01	0.00	0.09	0.80	(0.55)	1.02	(1.22)	3.24
URTH	0.56	0.00	(0.01)	0.07	0.86	(0.51)	1.11	(1.23)	3.05
IJS	0.90	(0.03)	0.00	0.05	1.14	(0.90)	2.31	(2.13)	4.79
BBEU	0.61	0.04	0.03	0.12	0.55	(0.64)	1.17	(1.04)	2.44
HEFA	0.49	0.06	0.05	0.15	0.56	(0.51)	1.29	(1.16)	3.40
EWZ	1.03	(0.01)	(0.01)	0.06	1.62	(0.99)	2.20	(2.08)	9.24
FXI	0.87	(0.11)	0.00	(0.05)	0.00	0.00	1.64	(1.37)	6.99
RWL	0.50	0.01	0.00	0.08	0.57	(0.50)	0.98	(0.91)	2.89
BBIN	0.59	0.02	0.01	0.10	0.71	(0.59)	1.12	(1.12)	2.87
DFEM	0.64	(0.01)	(0.03)	0.05	0.92	(0.64)	1.11	(1.16)	4.55

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