IShares Core Correlations

IXUS Etf

USD 85.98 2.18 2.60%

Monitoring how the stock's correlations evolve over time is a practical forward-looking risk management step. The current 90-days correlation between iShares Core MSCI and iShares 20 Year is 0.32 (i.e., Moderate diversification).

IShares Core Market Linkage

Weak diversification

IShares Core currently posts a 0.56 correlation with Dow Jones, indicating a Weak diversification relationship for the active sample. The overlap area shows the portion of risk that can be diversified away by holding both instruments together.

Build portfolio with IShares Etf

Use Risk vs Return Analysis to explore diversified allocation structure. Understanding allocation structure supports portfolio context. The holding in iShares Core MSCI represents an allocation. This is situated within the portfolio mix. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with IShares Etf

1.0	VEA	Vanguard FTSE Developed	Pair Corr
0.99	IEFA	iShares Core MSCI	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.99	EFA	iShares MSCI EAFE	Pair Corr
0.99	SPDW	SPDR SAMPP World	Pair Corr
0.99	IDEV	iShares Core MSCI	Pair Corr
0.98	ESGD	iShares ESG Aware	Pair Corr
0.99	JIRE	JP Morgan Exchange	Pair Corr
0.99	DFAX	Dimensional World	Pair Corr
0.77	PFFL	ETRACS 2xMonthly Pay	Pair Corr
0.8	GIGL	Goldman Sachs ETF	Pair Corr
0.86	CAT	Caterpillar	Pair Corr
0.72	WMT	Walmart Common Stock	Pair Corr
0.7	PFE	Pfizer Inc	Pair Corr
0.63	INTC	Intel	Pair Corr
0.63	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.75	KO	Coca Cola	Pair Corr
0.91	DD	Dupont De Nemours	Pair Corr
0.75	HD	Home Depot	Pair Corr

Moving against IShares Etf

0.39	AVGG	Leverage Shares 2X	Pair Corr
0.38	MDBX	Tradr 2X Long	Pair Corr
0.31	DIS	Walt Disney	Pair Corr
0.77	HPQ	HP Inc	Pair Corr
0.47	IBM	International Business	Pair Corr

Related Correlations Analysis

	SCHF	IWB	IWR	EFA	QUAL	IVE	XLF	ACWI	VWUAX	TLT
SCHF		0.34	0.91	0.98	0.64	0.88	-0.37	0.84	-0.4	0.73	SCHF
IWB	0.34		0.55	0.48	0.92	0.61	0.66	0.8	0.62	0.13	IWB
IWR	0.91	0.55		0.92	0.81	0.94	-0.13	0.89	-0.17	0.71	IWR
EFA	0.98	0.48	0.92		0.73	0.93	-0.2	0.91	-0.28	0.68	EFA
QUAL	0.64	0.92	0.81	0.73		0.82	0.37	0.93	0.33	0.44	QUAL
IVE	0.88	0.61	0.94	0.93	0.82		-0.01	0.91	-0.15	0.64	IVE
XLF	-0.37	0.66	-0.13	-0.2	0.37	-0.01		0.14	0.79	-0.38	XLF
ACWI	0.84	0.8	0.89	0.91	0.93	0.91	0.14		0.11	0.52	ACWI
VWUAX	-0.4	0.62	-0.17	-0.28	0.33	-0.15	0.79	0.11		-0.36	VWUAX
TLT	0.73	0.13	0.71	0.68	0.44	0.64	-0.38	0.52	-0.36		TLT
	SCHF	IWB	IWR	EFA	QUAL	IVE	XLF	ACWI	VWUAX	TLT

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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

EFA	+ 0.98	SCHF
IVE	+ 0.94	IWR
IVE	+ 0.93	EFA
ACWI	+ 0.93	QUAL
QUAL	+ 0.92	IWB
EFA	+ 0.92	IWR

High negative correlations

VWUAX	- 0.4	SCHF
TLT	- 0.38	XLF
XLF	- 0.37	SCHF
TLT	- 0.36	VWUAX
VWUAX	- 0.28	EFA
XLF	- 0.2	EFA

IShares Core Constituents Risk-Adjusted Indicators

Evaluating IShares Etf requires separating price momentum from underlying business quality relative to competitors. Risk-adjusted metrics allow investors to compare IShares Core's efficiency and downside exposure against peers in a more meaningful way. 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
SCHF	0.80	0.10	0.08	0.01	1.35	-0.69	1.46	-1.97	5.82
IWB	0.59	0.01	0.00	-0.09	0.00	0.00	0.89	-1.57	3.61
IWR	0.68	0.07	0.00	-0.03	0.00	0.00	1.23	-1.58	4.39
EFA	0.76	0.06	0.00	-0.04	0.00	0.00	1.34	-1.97	5.38
QUAL	0.61	0.03	0.00	-0.07	0.00	0.00	1.00	-1.50	3.86
IVE	0.50	0.04	0.00	-0.05	0.00	0.00	0.95	-1.33	2.93
XLF	0.80	-0.07	0.00	-0.16	0.00	0.00	1.23	-1.99	5.54
ACWI	0.65	0.04	0.00	-0.06	0.00	0.00	0.97	-1.74	4.10
VWUAX	0.94	0.06	0.00	-0.02	0.00	0.00	1.41	-1.97	11.04
TLT	0.48	-0.01	0.00	-0.14	0.00	0.00	0.87	-1.06	2.61

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