IShares Core Correlations

IJR Etf

USD 106.05 0.51 0.48%

The current 90-days correlation between iShares Core SP and iShares Core SP 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

Good diversification

The correlation between iShares Core SP and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP 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 SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in inflation.

Moving together with IShares Etf

0.62	VB	Vanguard Small Cap	Pair Corr
1.0	IWM	iShares Russell 2000	Pair Corr
0.99	VRTIX	Vanguard Russell 2000	Pair Corr
0.94	VTWO	Vanguard Russell 2000	Pair Corr
1.0	FNDA	Schwab Fundamental Small	Pair Corr
1.0	SPSM	SPDR Portfolio SP	Pair Corr
1.0	DFAS	Dimensional Small Cap	Pair Corr
1.0	VIOO	Vanguard SP Small	Pair Corr
0.93	PRFZ	Invesco FTSE RAFI	Pair Corr
0.61	VTI	Vanguard Total Stock	Pair Corr
0.65	BA	Boeing	Pair Corr
0.83	AXP	American Express	Pair Corr

Moving against IShares Etf

0.93	FNGD	MicroSectors FANG Index	Pair Corr
0.65	IGLD	FT Cboe Vest	Pair Corr
0.67	VZ	Verizon Communications	Pair Corr
0.58	TRV	The Travelers Companies	Pair Corr
0.54	MCD	McDonalds	Pair Corr
0.54	PG	Procter Gamble	Pair Corr
0.49	JNJ	Johnson Johnson	Pair Corr
0.43	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	IJH	IVV	IJS	IVE	IVW
IJH		0.69	0.98	0.69	0.94	IJH
IVV	0.69		0.7	0.74	0.73	IVV
IJS	0.98	0.7		0.61	0.93	IJS
IVE	0.69	0.74	0.61		0.71	IVE
IVW	0.94	0.73	0.93	0.71		IVW
	IJH	IVV	IJS	IVE	IVW

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
IJH	0.84	(0.11)	3.80	1.30	(1.56)	4.10
IVV	0.80	(0.04)	(0.12)	1.22	(1.73)	4.42
IJS	0.86	(0.15)	5.07	1.45	(1.99)	4.05
IVE	0.59	(0.02)	(1.78)	1.10	(1.44)	2.94
IVW	1.10	(0.17)	1.92	1.84	(2.61)	6.09

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