IShares Edge Correlations

IMV Etf

5,056 7.50 0.15%

The current 90-days correlation between iShares Edge MSCI and iShares MSCI Japan is 0.31 (i.e., Weak 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 MSCI and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Edge MSCI and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares Edge could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares Edge when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares Edge - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares Edge MSCI to buy it.

Moving together with IShares Etf

0.66

3LSI

WisdomTree Silver

Pair Corr

Moving against IShares Etf

0.72	3PLT	Leverage Shares 3x	Pair Corr
0.71	BBIL	JPM BetaBuilders Treasury	Pair Corr
0.66	USA	Baillie Gifford Growth	Pair Corr
0.63	COCO	WisdomTree Cocoa	Pair Corr
0.63	ARK3	Leverage Shares 3x	Pair Corr
0.63	SMT	Scottish Mortgage	Pair Corr
0.62	INFU	Lyxor 10Y Inflation	Pair Corr
0.62	JSUE	JPM Research Enhanced	Pair Corr
0.62	EWI	Edinburgh Worldwide	Pair Corr
0.58	QQQ3	WisdomTree NASDAQ 100	Pair Corr
0.47	CSPX	iShares Core SP	Pair Corr
0.36	AAP2	Leverage Shares 2x	Pair Corr
0.34	IDP6	iShares SP SmallCap	Pair Corr
0.32	NGSP	WisdomTree Natural Gas	Pair Corr

Related Correlations Analysis

	EEJG	IFSE	SCOV	SEML	EUXS	IFRE	BTEC	CORP	ISJP
EEJG		0.0	0.0	0.45	0.03	0.0	-0.21	0.1	0.93	EEJG
IFSE	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	IFSE
SCOV	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	SCOV
SEML	0.45	0.0	0.0		0.03	0.0	-0.31	0.29	0.63	SEML
EUXS	0.03	0.0	0.0	0.03		0.0	0.52	0.77	0.16	EUXS
IFRE	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	IFRE
BTEC	-0.21	0.0	0.0	-0.31	0.52	0.0		0.59	-0.18	BTEC
CORP	0.1	0.0	0.0	0.29	0.77	0.0	0.59		0.32	CORP
ISJP	0.93	0.0	0.0	0.63	0.16	0.0	-0.18	0.32		ISJP
	EEJG	IFSE	SCOV	SEML	EUXS	IFRE	BTEC	CORP	ISJP

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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

ISJP	+ 0.93	EEJG
CORP	+ 0.77	EUXS
ISJP	+ 0.63	SEML
CORP	+ 0.59	BTEC
BTEC	+ 0.52	EUXS
SEML	+ 0.45	EEJG

High negative correlations

BTEC	- 0.31	SEML
BTEC	- 0.21	EEJG
ISJP	- 0.18	BTEC
ISJP	- 0.0	IFRE
CORP	- 0.0	IFRE
BTEC	- 0.0	IFRE

IShares Edge Constituents 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
EEJG	0.66	0.03	0.01	0.21	0.76	(0.72)	1.23	(1.24)	3.96
IFSE	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SCOV	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SEML	0.28	(0.02)	0.00	(0.18)	0.00	0.00	0.45	(0.70)	1.95
EUXS	0.57	(0.04)	0.00	0.34	0.00	0.00	1.15	(1.15)	3.46
IFRE	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BTEC	0.95	(0.13)	0.00	(1.21)	0.00	0.00	1.77	(2.28)	6.92
CORP	0.25	(0.07)	0.00	(1.55)	0.00	0.00	0.38	(0.54)	2.02
ISJP	0.60	0.00	(0.03)	0.00	0.76	(0.58)	1.23	(1.12)	3.28

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