IShares Core Correlations

IXUS Etf

USD 85.23 0.30 0.35%

The current 90-days correlation between iShares Core MSCI and Schwab International Equity is 0.97 (i.e., Almost no 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 0.78 (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

0.97	VEA	Vanguard FTSE Developed	Pair Corr
0.98	IEFA	iShares Core MSCI	Pair Corr
1.0	VEU	Vanguard FTSE All	Pair Corr
0.98	EFA	iShares MSCI EAFE	Pair Corr
0.98	SPDW	SPDR SP World	Pair Corr
0.96	IDEV	iShares Core MSCI	Pair Corr
0.98	ESGD	iShares ESG Aware	Pair Corr
0.97	JIRE	JP Morgan Exchange	Pair Corr
0.97	DFAX	Dimensional World	Pair Corr
0.8	MUU	Direxion Daily MU Trending	Pair Corr
0.79	MULL	GraniteShares 2x Long Trending	Pair Corr
0.71	AGQ	ProShares Ultra Silver Trending	Pair Corr
0.66	KORU	Direxion Daily South	Pair Corr
0.64	GDMN	WisdomTree Efficient Gold Low Volatility	Pair Corr
0.64	SHNY	Microsectors Gold	Pair Corr
0.66	SIXS	6 Meridian Small	Pair Corr
0.87	AGEM	abrdn Emerging Markets	Pair Corr
0.83	CPER	United States Copper Buyout Trend	Pair Corr
0.88	USCL	iShares Climate Conscious	Pair Corr
0.8	PBJA	PGIM Rock ETF	Pair Corr
0.84	CPSU	Calamos SP 500	Pair Corr
0.86	SCZ	iShares MSCI EAFE	Pair Corr
0.64	GBUG	Sprott Active Gold	Pair Corr
0.96	ITDJ	iShares Trust	Pair Corr
0.88	CSD	Invesco SP Spin	Pair Corr
0.88	FTBI	First Trust Exchange	Pair Corr
0.8	JADE	JP Morgan Exchange	Pair Corr
0.86	QLC	FlexShares Quality Large	Pair Corr
0.69	AVUV	Avantis Small Cap	Pair Corr
0.89	QQJG	Invesco ESG NASDAQ	Pair Corr
0.76	FLCV	Federated Hermes ETF	Pair Corr
0.69	PLTM	GraniteShares Platinum Trending	Pair Corr

Related Correlations Analysis

	SCHF	IWB	IWR	EFA	QUAL	IVE	XLF	ACWI	VWUAX	TLT
SCHF		0.88	0.69	0.98	0.91	0.96	0.68	0.92	-0.31	-0.28	SCHF
IWB	0.88		0.74	0.86	0.94	0.91	0.58	0.98	0.07	-0.15	IWB
IWR	0.69	0.74		0.77	0.84	0.72	0.84	0.72	-0.07	-0.22	IWR
EFA	0.98	0.86	0.77		0.91	0.93	0.73	0.91	-0.27	-0.25	EFA
QUAL	0.91	0.94	0.84	0.91		0.93	0.72	0.94	-0.1	-0.24	QUAL
IVE	0.96	0.91	0.72	0.93	0.93		0.68	0.92	-0.23	-0.3	IVE
XLF	0.68	0.58	0.84	0.73	0.72	0.68		0.58	-0.46	-0.56	XLF
ACWI	0.92	0.98	0.72	0.91	0.94	0.92	0.58		0.0	-0.14	ACWI
VWUAX	-0.31	0.07	-0.07	-0.27	-0.1	-0.23	-0.46	0.0		0.44	VWUAX
TLT	-0.28	-0.15	-0.22	-0.25	-0.24	-0.3	-0.56	-0.14	0.44		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
ACWI	+ 0.98	IWB
IVE	+ 0.96	SCHF
QUAL	+ 0.94	IWB
ACWI	+ 0.94	QUAL
IVE	+ 0.93	EFA

High negative correlations

TLT	- 0.56	XLF
VWUAX	- 0.46	XLF
VWUAX	- 0.31	SCHF
TLT	- 0.3	IVE
TLT	- 0.28	SCHF
VWUAX	- 0.27	EFA

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
SCHF	0.59	0.04	0.03	0.13	0.77	(0.58)	1.11	(1.25)	2.72
IWB	0.58	(0.01)	(0.02)	0.06	0.87	(0.53)	1.17	(1.27)	3.30
IWR	0.67	(0.05)	(0.05)	0.03	0.93	(0.62)	1.33	(1.52)	3.63
EFA	0.56	0.02	0.01	0.10	0.69	(0.55)	1.10	(1.29)	2.68
QUAL	0.55	0.00	(0.01)	0.07	0.73	(0.52)	1.18	(1.06)	3.12
IVE	0.50	0.01	(0.01)	0.08	0.58	(0.52)	0.99	(0.95)	2.98
XLF	0.64	(0.02)	(0.02)	0.06	0.90	(0.65)	1.23	(1.70)	3.86
ACWI	0.56	0.00	(0.01)	0.07	0.88	(0.50)	1.05	(1.28)	3.20
VWUAX	0.93	(0.20)	0.00	(0.09)	0.00	0.00	1.72	(2.07)	12.96
TLT	0.39	(0.01)	(0.15)	(0.28)	0.52	(0.39)	0.76	(0.97)	2.85

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