IShares Core Correlations

ITOT Etf

USD 148.68 1.32 0.90%

The current 90-days correlation between iShares Core SP and iShares Core SP is 0.83 (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

Significant diversification

The correlation between iShares Core SP 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 Core SP 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 SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with IShares Etf

0.8	VTI	Vanguard Total Stock	Pair Corr
0.99	SPY	SPDR SP 500	Pair Corr
0.78	IVV	iShares Core SP	Pair Corr
0.72	VIG	Vanguard Dividend	Pair Corr
0.78	VV	Vanguard Large Cap	Pair Corr
0.73	RSP	Invesco SP 500	Pair Corr
0.99	IWB	iShares Russell 1000	Pair Corr
0.99	ESGU	iShares ESG Aware	Pair Corr
0.95	DFAC	Dimensional Core Equity	Pair Corr
0.61	OIH	VanEck Oil Services	Pair Corr
0.65	WTMF	WisdomTree Managed	Pair Corr
0.8	TOT	Advisor Managed Port	Pair Corr
0.61	AA	Alcoa Corp	Pair Corr
0.62	INTC	Intel	Pair Corr
0.62	IBM	International Business	Pair Corr
0.61	BAC	Bank of America	Pair Corr

Moving against IShares Etf

0.36	VZ	Verizon Communications	Pair Corr
0.31	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	IJR	VYM	VPMAX	VHYAX	IVW	IWM	VXF	XLK	SPLG	VEU
IJR		0.88	0.16	0.86	0.56	0.93	0.83	0.37	0.3	0.75	IJR
VYM	0.88		0.39	0.99	0.54	0.77	0.57	0.29	0.55	0.74	VYM
VPMAX	0.16	0.39		0.43	0.51	0.19	0.11	0.42	0.26	0.35	VPMAX
VHYAX	0.86	0.99	0.43		0.53	0.76	0.56	0.28	0.54	0.72	VHYAX
IVW	0.56	0.54	0.51	0.53		0.63	0.63	0.91	0.28	0.74	IVW
IWM	0.93	0.77	0.19	0.76	0.63		0.92	0.52	0.19	0.71	IWM
VXF	0.83	0.57	0.11	0.56	0.63	0.92		0.58	-0.11	0.6	VXF
XLK	0.37	0.29	0.42	0.28	0.91	0.52	0.58		0.11	0.68	XLK
SPLG	0.3	0.55	0.26	0.54	0.28	0.19	-0.11	0.11		0.52	SPLG
VEU	0.75	0.74	0.35	0.72	0.74	0.71	0.6	0.68	0.52		VEU
	IJR	VYM	VPMAX	VHYAX	IVW	IWM	VXF	XLK	SPLG	VEU

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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

VHYAX	+ 0.99	VYM
IWM	+ 0.93	IJR
VXF	+ 0.92	IWM
XLK	+ 0.91	IVW
VYM	+ 0.88	IJR
VHYAX	+ 0.86	IJR

High negative correlations

SPLG

- 0.11

VXF

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
IJR	0.84	0.04	(0.02)	(0.93)	1.05	(0.87)	1.97	(1.78)	4.22
VYM	0.53	0.04	(0.03)	1.42	0.60	(0.60)	1.21	(1.04)	2.72
VPMAX	1.00	(0.10)	0.00	(0.23)	0.00	0.00	1.75	(1.77)	17.69
VHYAX	0.53	0.02	(0.04)	0.40	0.62	(0.61)	1.20	(1.14)	2.82
IVW	0.76	0.01	(0.04)	(1.54)	1.14	(0.71)	1.58	(1.79)	4.51
IWM	0.98	0.05	(0.01)	(0.69)	1.26	(0.96)	1.95	(1.99)	5.59
VXF	0.90	0.00	(0.04)	(0.07)	1.21	(0.93)	1.65	(2.00)	5.05
XLK	1.01	0.03	(0.01)	12.73	1.73	(0.85)	2.16	(2.64)	5.82
SPLG	0.52	0.10	0.06	(2.19)	0.60	(0.57)	1.18	(0.74)	4.21
VEU	0.57	0.05	(0.01)	0.67	0.74	(0.58)	1.10	(1.24)	3.18

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