IShares Russell Correlations

IWM Etf

USD 252.71 0.63 0.25%

The current 90-days correlation between iShares Russell 2000 and iShares Russell 1000 is 0.89 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Russell Correlation With Market

Very poor diversification

The correlation between iShares Russell 2000 and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 2000 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 Russell 2000. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in private.

Moving together with IShares Etf

0.97	VB	Vanguard Small Cap	Pair Corr
0.93	IJR	iShares Core SP	Pair Corr
0.91	VRTIX	Vanguard Russell 2000	Pair Corr
1.0	VTWO	Vanguard Russell 2000	Pair Corr
0.9	FNDA	Schwab Fundamental Small	Pair Corr
0.93	SPSM	SPDR Portfolio SP	Pair Corr
0.93	DFAS	Dimensional Small Cap	Pair Corr
0.93	VIOO	Vanguard SP Small	Pair Corr
0.97	PRFZ	Invesco FTSE RAFI	Pair Corr
0.81	VTI	Vanguard Total Stock	Pair Corr
0.75	SPY	SPDR SP 500	Pair Corr
0.75	IVV	iShares Core SP	Pair Corr
0.81	TOT	Advisor Managed Port	Pair Corr
0.79	VTV	Vanguard Value Index	Pair Corr
0.83	VO	Vanguard Mid Cap	Pair Corr
0.7	ITDJ	iShares Trust	Pair Corr
0.85	SAWS	AAM Sawgrass Small	Pair Corr
0.61	CPER	United States Copper	Pair Corr
0.61	ZJAN	Innovator Equity Defined	Pair Corr
0.74	DFAX	Dimensional World	Pair Corr
0.77	EASG	Xtrackers MSCI EAFE	Pair Corr
0.7	QLC	FlexShares Quality Large	Pair Corr
0.65	FFLG	Fidelity Covington Trust Low Volatility	Pair Corr
0.71	SIXS	6 Meridian Small	Pair Corr
0.75	FSMD	Fidelity Small Mid	Pair Corr
0.69	SIL	Global X Silver	Pair Corr
0.74	VOO	Vanguard SP 500	Pair Corr

Related Correlations Analysis

	IWD	IVW	EFA	IWR	IJR	IWB	VV	SCHD	VLCAX	VTWAX
IWD		0.64	0.89	0.75	0.9	0.85	0.82	0.85	0.81	0.85	IWD
IVW	0.64		0.68	0.57	0.59	0.94	0.96	0.26	0.96	0.91	IVW
EFA	0.89	0.68		0.75	0.83	0.86	0.83	0.68	0.82	0.89	EFA
IWR	0.75	0.57	0.75		0.92	0.72	0.66	0.68	0.66	0.73	IWR
IJR	0.9	0.59	0.83	0.92		0.79	0.74	0.79	0.74	0.8	IJR
IWB	0.85	0.94	0.86	0.72	0.79		0.99	0.54	0.99	0.98	IWB
VV	0.82	0.96	0.83	0.66	0.74	0.99		0.48	1.0	0.98	VV
SCHD	0.85	0.26	0.68	0.68	0.79	0.54	0.48		0.48	0.55	SCHD
VLCAX	0.81	0.96	0.82	0.66	0.74	0.99	1.0	0.48		0.98	VLCAX
VTWAX	0.85	0.91	0.89	0.73	0.8	0.98	0.98	0.55	0.98		VTWAX
	IWD	IVW	EFA	IWR	IJR	IWB	VV	SCHD	VLCAX	VTWAX

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IShares Russell Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Russell 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 Russell'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
IWD	0.54	0.01	0.00	0.08	0.63	(0.55)	1.07	(1.06)	2.93
IVW	0.75	(0.02)	(0.01)	0.05	1.13	(0.70)	1.57	(1.79)	4.51
EFA	0.57	0.02	0.00	0.09	0.71	(0.56)	1.10	(1.29)	2.68
IWR	0.68	(0.05)	(0.05)	0.02	0.94	(0.64)	1.33	(1.52)	3.63
IJR	0.84	(0.04)	(0.02)	0.04	1.06	(0.85)	1.97	(1.78)	4.22
IWB	0.59	(0.01)	(0.02)	0.06	0.89	(0.53)	1.17	(1.27)	3.30
VV	0.59	(0.01)	(0.01)	0.06	0.87	(0.55)	1.24	(1.22)	3.32
SCHD	0.55	(0.01)	(0.05)	0.06	0.58	(0.61)	1.43	(1.04)	2.87
VLCAX	0.57	(0.01)	(0.02)	0.06	0.85	(0.54)	1.25	(1.20)	3.28
VTWAX	0.56	(0.02)	(0.03)	0.05	0.81	(0.54)	1.07	(1.28)	3.15

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IShares Russell Correlations

IShares Russell Correlation With Market

Very poor diversification

Moving together with IShares Etf

Related Correlations Analysis

IShares Russell Constituents Risk-Adjusted Indicators

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