IShares Core Correlations

IEFA Etf

USD 76.23 0.68 0.90%

The current 90-days correlation between iShares Core MSCI and iShares Core MSCI is 0.69 (i.e., Poor 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.

IShares Core Correlation With Market

Very weak diversification

The correlation between iShares Core MSCI and DJI is 0.49 (i.e., Very weak 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.

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 census.

Moving together with IShares Etf

1.0	VEA	Vanguard FTSE Developed	Pair Corr
0.99	VEU	Vanguard FTSE All	Pair Corr
1.0	EFA	iShares MSCI EAFE	Pair Corr
0.99	IXUS	iShares Core MSCI	Pair Corr
1.0	SPDW	SPDR SP World	Pair Corr
1.0	IDEV	iShares Core MSCI	Pair Corr
1.0	ESGD	iShares ESG Aware	Pair Corr
1.0	JIRE	JP Morgan Exchange	Pair Corr
0.97	DFAX	Dimensional World	Pair Corr
0.73	VTI	Vanguard Total Stock	Pair Corr
0.78	SPY	SPDR SP 500	Pair Corr
0.78	IVV	iShares Core SP	Pair Corr
0.68	BND	Vanguard Total Bond	Pair Corr
0.8	VTV	Vanguard Value Index	Pair Corr
0.61	VO	Vanguard Mid Cap	Pair Corr
0.91	DBEF	Xtrackers MSCI EAFE	Pair Corr
0.84	AIQ	Global X Artificial	Pair Corr
0.86	CQQQ	Invesco China Technology	Pair Corr
0.77	RXI	iShares Global Consumer	Pair Corr
0.67	T	ATT Inc Aggressive Push	Pair Corr
0.65	CVX	Chevron Corp	Pair Corr
0.82	JNJ	Johnson Johnson	Pair Corr
0.67	VZ	Verizon Communications Aggressive Push	Pair Corr
0.64	GE	GE Aerospace	Pair Corr
0.61	KO	Coca Cola Aggressive Push	Pair Corr
0.61	DD	Dupont De Nemours	Pair Corr
0.71	INTC	Intel Downward Rally	Pair Corr

Moving against IShares Etf

0.57	MRK	Merck Company Aggressive Push	Pair Corr
0.43	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	IEMG	IJH	IJR	ITOT	USMV
IEMG		0.24	0.2	0.7	0.78	IEMG
IJH	0.24		0.95	0.73	0.56	IJH
IJR	0.2	0.95		0.62	0.48	IJR
ITOT	0.7	0.73	0.62		0.77	ITOT
USMV	0.78	0.56	0.48	0.77		USMV
	IEMG	IJH	IJR	ITOT	USMV

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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
IEMG	0.64	0.05	0.05	0.15	0.83	(0.63)	1.57	(1.78)	4.16
IJH	0.67	(0.14)	0.00	(0.21)	0.00	0.00	1.22	(1.42)	4.42
IJR	0.74	(0.18)	0.00	(0.22)	0.00	0.00	1.37	(2.00)	4.66
ITOT	0.64	(0.03)	0.00	(0.06)	0.00	0.00	1.17	(1.55)	3.94
USMV	0.46	(0.01)	(0.02)	(0.02)	0.64	(0.49)	0.96	(1.06)	2.44

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