IShares ESG Correlations

ESML Etf

USD 40.06 0.45 1.14%

The current 90-days correlation between iShares ESG Aware and iShares ESG Aware is 0.65 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares ESG moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares ESG Aware moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares ESG Correlation With Market

Poor diversification

The correlation between iShares ESG Aware and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aware and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in iShares ESG Aware. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with IShares Etf

1.0	VB	Vanguard Small Cap	Pair Corr
0.99	IJR	iShares Core SP	Pair Corr
0.99	IWM	iShares Russell 2000	Pair Corr
0.93	VRTIX	Vanguard Russell 2000	Pair Corr
0.99	VTWO	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.93	SPSM	SPDR Portfolio SP	Pair Corr
1.0	DFAS	Dimensional Small Cap	Pair Corr
0.99	VIOO	Vanguard SP Small	Pair Corr
0.99	PRFZ	Invesco FTSE RAFI	Pair Corr
0.62	PRME	Prime Medicine, Common	Pair Corr
0.63	EVUS	iShares ESG Aware	Pair Corr
0.98	VBK	Vanguard Small Cap	Pair Corr
0.64	HPQ	HP Inc	Pair Corr
0.7	BAC	Bank of America	Pair Corr

Moving against IShares Etf

0.47	BA	Boeing	Pair Corr
0.41	KO	Coca Cola Sell-off Trend	Pair Corr
0.38	T	ATT Inc Sell-off Trend	Pair Corr
0.34	CSCO	Cisco Systems	Pair Corr

Related Correlations Analysis

	ESGD	ESGE	SUSB	SUSC	EAGG
ESGD		0.88	0.9	0.68	0.73	ESGD
ESGE	0.88		0.74	0.59	0.61	ESGE
SUSB	0.9	0.74		0.65	0.73	SUSB
SUSC	0.68	0.59	0.65		0.99	SUSC
EAGG	0.73	0.61	0.73	0.99		EAGG
	ESGD	ESGE	SUSB	SUSC	EAGG

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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
ESGD	0.57	0.12	0.22	0.23	0.67	(0.60)	1.28	(1.13)	4.03
ESGE	0.71	0.05	0.11	0.09	1.00	(0.68)	1.36	(1.70)	4.28
SUSB	0.10	0.02	0.83	(0.64)	0.00	(0.13)	0.24	(0.16)	0.74
SUSC	0.26	0.02	0.28	0.07	0.28	(0.30)	0.62	(0.44)	1.58
EAGG	0.25	0.02	0.32	0.14	0.24	(0.27)	0.56	(0.39)	1.46

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