IShares MSCI Correlations

IMTM Etf

USD 38.86 0.32 0.83%

The current 90-days correlation between iShares MSCI Intl and iShares MSCI Intl is 0.86 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares MSCI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares MSCI Intl moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares MSCI Correlation With Market

Very weak diversification

The correlation between iShares MSCI Intl and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Intl 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 MSCI Intl. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with IShares Etf

0.87	EFG	iShares MSCI EAFE	Pair Corr
0.86	VIGI	Vanguard International	Pair Corr
0.89	IHDG	WisdomTree International	Pair Corr
0.94	CGXU	Capital Group Intern	Pair Corr
0.88	DNL	WisdomTree Global	Pair Corr
0.81	IQDG	WisdomTree International	Pair Corr
0.83	IDHQ	Invesco SP International	Pair Corr

Moving against IShares Etf

0.44	SPAQ	Horizon Kinetics SPAC	Pair Corr
0.39	PULS	PGIM Ultra Short	Pair Corr
0.49	LONZ	PIMCO ETF Trust	Pair Corr
0.48	DRVN	Driven Brands Holdings	Pair Corr
0.47	IGV	iShares Expanded Tech	Pair Corr
0.46	TFLR	T Rowe Price	Pair Corr
0.33	VXF	Vanguard Extended Market	Pair Corr
0.31	DVY	iShares Select Dividend	Pair Corr

Related Correlations Analysis

	IQLT	IVLU	EMGF	ISCF	SMLF
IQLT		0.97	0.46	0.91	-0.63	IQLT
IVLU	0.97		0.49	0.94	-0.59	IVLU
EMGF	0.46	0.49		0.65	0.1	EMGF
ISCF	0.91	0.94	0.65		-0.35	ISCF
SMLF	-0.63	-0.59	0.1	-0.35		SMLF
	IQLT	IVLU	EMGF	ISCF	SMLF

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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

IVLU	+ 0.97	IQLT
ISCF	+ 0.94	IVLU
ISCF	+ 0.91	IQLT
ISCF	+ 0.65	EMGF
EMGF	+ 0.49	IVLU
EMGF	+ 0.46	IQLT

High negative correlations

SMLF	- 0.63	IQLT
SMLF	- 0.59	IVLU
SMLF	- 0.35	ISCF

IShares MSCI Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares MSCI 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 MSCI'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
IQLT	0.65	(0.17)	0.00	(0.23)	0.00	0.00	1.01	(1.67)	4.09
IVLU	0.65	(0.13)	0.00	(0.21)	0.00	0.00	1.13	(1.61)	3.93
EMGF	0.82	(0.06)	0.00	(0.04)	0.00	0.00	2.06	(1.83)	6.24
ISCF	0.70	(0.12)	0.00	(0.12)	0.00	0.00	1.22	(1.59)	4.08
SMLF	0.81	0.03	0.07	0.14	0.70	(0.88)	1.93	(1.20)	6.19

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