IShares SP Correlations

IJS Etf

USD 116.69 0.38 0.32%

The current 90-days correlation between iShares SP Small and iShares SP Small Cap is 0.96 (i.e., Almost no 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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares SP Correlation With Market

Very poor diversification

The correlation between iShares SP Small Cap and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP Small Cap 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 Small Cap. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with IShares Etf

0.94	VBR	Vanguard Small Cap	Pair Corr
0.95	IWN	iShares Russell 2000	Pair Corr
0.92	IJJ	iShares SP Mid	Pair Corr
0.89	DFAT	Dimensional Targeted	Pair Corr
1.0	SLYV	SPDR SP 600	Pair Corr
0.91	AVUV	Avantis Small Cap	Pair Corr
0.78	DES	WisdomTree SmallCap	Pair Corr
0.92	MDYV	SPDR SP 400	Pair Corr
0.91	CALF	Pacer Small Cap	Pair Corr
0.79	TOT	Advisor Managed Port	Pair Corr
0.81	SWP	SWP Growth Income	Pair Corr
0.8	DUKH	Ocean Park High	Pair Corr
0.77	IYJ	iShares Industrials ETF Low Volatility	Pair Corr
0.65	BAC	Bank of America Aggressive Push	Pair Corr
0.7	WMT	Walmart Common Stock Aggressive Push	Pair Corr

Moving against IShares Etf

0.51	FNGD	MicroSectors FANG Index Buyout Trend	Pair Corr
0.37	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	IJT	IBB	IJJ	IXN	HEFA	URTH	ACWX	EWZ	IEUR	IGF
IJT		0.03	0.94	0.25	0.3	0.6	0.48	0.07	0.61	0.25	IJT
IBB	0.03		0.13	0.4	0.86	0.61	0.64	0.76	0.56	0.75	IBB
IJJ	0.94	0.13		0.09	0.32	0.56	0.44	0.21	0.61	0.29	IJJ
IXN	0.25	0.4	0.09		0.71	0.81	0.81	0.18	0.62	0.38	IXN
HEFA	0.3	0.86	0.32	0.71		0.87	0.9	0.64	0.82	0.75	HEFA
URTH	0.6	0.61	0.56	0.81	0.87		0.94	0.53	0.88	0.62	URTH
ACWX	0.48	0.64	0.44	0.81	0.9	0.94		0.48	0.93	0.69	ACWX
EWZ	0.07	0.76	0.21	0.18	0.64	0.53	0.48		0.4	0.49	EWZ
IEUR	0.61	0.56	0.61	0.62	0.82	0.88	0.93	0.4		0.72	IEUR
IGF	0.25	0.75	0.29	0.38	0.75	0.62	0.69	0.49	0.72		IGF
	IJT	IBB	IJJ	IXN	HEFA	URTH	ACWX	EWZ	IEUR	IGF

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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
IJT	0.83	(0.05)	(0.03)	0.03	1.08	(0.80)	1.77	(1.53)	5.10
IBB	0.86	0.18	0.17	0.26	0.72	(0.94)	1.87	(1.68)	5.02
IJJ	0.74	(0.05)	(0.04)	0.02	0.97	(0.73)	1.85	(1.31)	4.07
IXN	1.00	0.01	0.01	0.07	1.51	(0.94)	1.96	(2.76)	5.81
HEFA	0.48	0.04	0.03	0.12	0.58	(0.49)	1.29	(1.14)	3.39
URTH	0.54	(0.01)	(0.02)	0.05	0.83	(0.50)	1.11	(1.23)	3.05
ACWX	0.55	0.00	(0.02)	0.07	0.74	(0.53)	1.02	(1.23)	3.24
EWZ	0.97	0.10	0.05	0.19	1.49	(0.98)	1.89	(1.82)	9.26
IEUR	0.60	0.00	(0.02)	0.07	0.61	(0.66)	1.26	(1.11)	2.61
IGF	0.44	(0.01)	(0.09)	0.05	0.48	(0.44)	0.79	(0.78)	1.92

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