IShares ESG Correlations

XUSR Etf

CAD 100.40 -0.01 -0.01%

The current 90-days correlation between iShares ESG Advanced and First Asset Morningstar is 0.27 (i.e., Modest diversification).The rolling correlation of IShares ESG with major benchmarks helps investors assess how its diversification benefit changes during periods of stress versus calm markets.

Market Correlation Summary - IShares ESG

Average diversification

Across the chosen horizon, XUSR and DJI show a correlation of 0.11 and fall into the Average diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.

Correlation context here can be used to compare IShares ESG with related instruments. Wash sale rules may restrict substantially identical replacements in some jurisdictions; this view is informational only.

Moving together with IShares Etf

0.82	ZSP	BMO SAMPP 500	Pair Corr
0.61	VFV	Vanguard SAMPP 500	Pair Corr
0.82	HXS	Global X SAMPP	Pair Corr
0.82	XUS	iShares Core SAMPP	Pair Corr
0.79	ESGY	BMO MSCI USA	Pair Corr
0.75	ZQQ	BMO NASDAQ 100	Pair Corr
0.75	XQQ	iShares NASDAQ 100	Pair Corr

Moving against IShares Etf

0.39	ZEB	BMO SAMPPTSX Equal	Pair Corr
0.32	ZAG	BMO Aggregate Bond	Pair Corr
0.32	XBB	iShares Canadian Universe	Pair Corr

Related Correlations Analysis

	XMU	XCSR	XMD	HUTL	TPRF	EGIF	XMH	FLSD	HSH	FXM
XMU		0.3	0.53	0.53	0.61	0.33	0.51	0.61	-0.03	0.59	XMU
XCSR	0.3		0.12	-0.24	0.07	-0.28	0.03	-0.07	0.32	0.01	XCSR
XMD	0.53	0.12		0.84	0.85	0.87	0.88	0.88	0.13	0.97	XMD
HUTL	0.53	-0.24	0.84		0.8	0.89	0.78	0.92	-0.2	0.94	HUTL
TPRF	0.61	0.07	0.85	0.8		0.73	0.78	0.88	0.06	0.9	TPRF
EGIF	0.33	-0.28	0.87	0.89	0.73		0.79	0.83	-0.09	0.89	EGIF
XMH	0.51	0.03	0.88	0.78	0.78	0.79		0.87	0.27	0.85	XMH
FLSD	0.61	-0.07	0.88	0.92	0.88	0.83	0.87		0.01	0.93	FLSD
HSH	-0.03	0.32	0.13	-0.2	0.06	-0.09	0.27	0.01		-0.04	HSH
FXM	0.59	0.01	0.97	0.94	0.9	0.89	0.85	0.93	-0.04		FXM
	XMU	XCSR	XMD	HUTL	TPRF	EGIF	XMH	FLSD	HSH	FXM

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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

FXM	+ 0.97	XMD
FXM	+ 0.94	HUTL
FXM	+ 0.93	FLSD
FLSD	+ 0.92	HUTL
FXM	+ 0.9	TPRF
EGIF	+ 0.89	HUTL

High negative correlations

EGIF	- 0.28	XCSR
HUTL	- 0.24	XCSR
HSH	- 0.2	HUTL
HSH	- 0.09	EGIF
FLSD	- 0.07	XCSR
FXM	- 0.04	HSH

IShares ESG Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares ESG 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 ESG'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
XMU	0.42	-0.02	0.00	-0.08	0.00	0.00	0.78	-0.87	2.20
XCSR	0.77	0.02	0.02	0.01	1.12	-0.79	1.43	-1.95	5.03
XMD	1.01	0.21	0.10	0.23	1.74	-0.97	2.13	-3.50	7.14
HUTL	0.49	0.16	0.27	3.46	0.32	-0.56	1.06	-0.89	3.02
TPRF	0.15	0.03	0.18	1.30	0.00	-0.19	0.33	-0.24	0.96
EGIF	0.23	0.12	0.00	1.96	0.00	0.00	0.26	0.00	6.40
XMH	0.73	0.06	0.06	0.05	0.93	-0.74	1.57	-1.77	5.83
FLSD	0.09	0.00	0.05	-0.14	0.09	-0.11	0.21	-0.21	0.52
HSH	0.56	-0.02	0.00	-0.04	0.00	0.00	0.92	-1.33	3.22
FXM	0.58	0.18	0.16	0.44	0.89	-0.62	1.30	-1.77	4.50

Be your own money manager

Optimization tools can help investors judge whether capital allocated to iShares ESG Advanced is being used efficiently relative to other opportunities in the same equity universe. This is most useful when investors want to improve risk-adjusted return instead of simply owning more ideas at once.

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