IShares Edge Correlations

IGEB Etf

USD 44.86 0.07 0.16%

The current 90-days correlation between iShares Edge Investment and iShares Edge High is 0.69 (i.e., Poor diversification). The correlation of IShares Edge 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 Edge Correlation With Market

Average diversification

The correlation between iShares Edge Investment and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Edge Investment 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 Edge Investment. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with IShares Etf

0.94	LQD	iShares iBoxx Investment	Pair Corr
0.95	IGIB	iShares 5 10	Pair Corr
0.95	USIG	iShares Broad USD	Pair Corr
0.95	SPIB	SPDR Barclays Interm	Pair Corr
0.95	SUSC	iShares ESG USD	Pair Corr
0.95	QLTA	iShares Aaa	Pair Corr
0.95	CORP	PIMCO Investment Grade	Pair Corr
1.0	FLCO	Franklin Liberty Inv	Pair Corr
1.0	GIGB	Goldman Sachs Access	Pair Corr
0.95	VTC	Vanguard Total Corporate	Pair Corr
0.97	PMBS	PIMCO Mortgage Backed	Pair Corr
0.87	YCL	ProShares Ultra Yen	Pair Corr
0.91	FXY	Invesco CurrencyShares	Pair Corr
0.67	ULE	ProShares Ultra Euro	Pair Corr
0.72	GDXU	MicroSectors Gold Miners	Pair Corr
0.66	MMM	3M Company	Pair Corr
0.86	KO	Coca Cola Sell-off Trend	Pair Corr
0.74	IBM	International Business	Pair Corr
0.78	PG	Procter Gamble	Pair Corr
0.82	TRV	The Travelers Companies	Pair Corr
0.62	CSCO	Cisco Systems	Pair Corr
0.81	MCD	McDonalds	Pair Corr

Moving against IShares Etf

0.69	MSFT	Microsoft Aggressive Push	Pair Corr
0.62	CAT	Caterpillar	Pair Corr
0.52	HPQ	HP Inc	Pair Corr
0.51	MRK	Merck Company	Pair Corr
0.44	BAC	Bank of America Aggressive Push	Pair Corr
0.4	HD	Home Depot	Pair Corr
0.36	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.02	0.58	-0.53	0.3	0.43	0.28	0.9	-0.74	-0.03	META
MSFT	-0.02		-0.62	0.02	-0.8	0.7	0.89	0.13	0.43	-0.55	MSFT
UBER	0.58	-0.62		-0.28	0.81	-0.27	-0.53	0.51	-0.84	0.57	UBER
F	-0.53	0.02	-0.28		0.0	-0.09	-0.16	-0.37	0.51	0.36	F
T	0.3	-0.8	0.81	0.0		-0.59	-0.71	0.16	-0.65	0.6	T
A	0.43	0.7	-0.27	-0.09	-0.59		0.8	0.62	0.11	-0.34	A
CRM	0.28	0.89	-0.53	-0.16	-0.71	0.8		0.36	0.23	-0.61	CRM
JPM	0.9	0.13	0.51	-0.37	0.16	0.62	0.36		-0.63	0.06	JPM
MRK	-0.74	0.43	-0.84	0.51	-0.65	0.11	0.23	-0.63		-0.32	MRK
XOM	-0.03	-0.55	0.57	0.36	0.6	-0.34	-0.61	0.06	-0.32		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.81	UBER
CRM	+ 0.8	A
A	+ 0.7	MSFT
JPM	+ 0.62	A

High negative correlations

MRK	- 0.84	UBER
T	- 0.8	MSFT
MRK	- 0.74	META
CRM	- 0.71	T
MRK	- 0.65	T
MRK	- 0.63	JPM

IShares Edge Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Edge 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 Edge'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
META	1.63	0.04	0.02	0.00	2.27	(1.46)	2.96	(3.73)	8.90
MSFT	1.11	(0.18)	0.00	(0.29)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.88	0.40	0.18	0.75	2.03	(2.05)	4.72	(3.13)	12.75
F	1.44	0.14	0.06	0.09	2.12	(1.42)	2.71	(2.88)	10.14
T	0.99	0.29	0.19	0.56	1.43	(1.11)	1.90	(1.55)	11.66
A	1.16	(0.14)	0.00	(0.20)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.40	(0.29)	0.00	(0.29)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.14	0.10	0.05	0.05	1.76	(1.09)	2.16	(3.35)	6.85
MRK	1.16	(0.11)	0.00	1.03	0.00	0.00	2.07	(1.80)	11.58
XOM	1.03	0.13	0.10	0.27	1.28	(1.06)	2.55	(2.36)	5.89

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