IShares Trust Correlations

ITDD Etf

USD 30.82 0.11 0.36%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.68 (i.e., Poor diversification). The correlation of IShares Trust 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 Trust Correlation With Market

Poor diversification

The correlation between iShares Trust and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Trust 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 Trust. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

For information on how to trade IShares Etf refer to our How to Trade IShares Etf guide.

Moving together with IShares Etf

0.86	NFLX	Netflix	Pair Corr
0.75	DUKH	Ocean Park High	Pair Corr
0.69	CGDG	Capital Group Dividend	Pair Corr
0.66	RTAI	Rareview Tax Advantaged	Pair Corr
0.66	IBHK	IBHK	Pair Corr
0.67	BRHY	BlackRock High Yield	Pair Corr
0.92	SCHV	Schwab Large Cap	Pair Corr

Moving against IShares Etf

0.69	VXX	iPath Series B	Pair Corr
0.45	JETD	Bank of Montreal	Pair Corr

Related Correlations Analysis

	MDIV	HYIN	MFUL	QVOY	MPAY	MPRO	DWAT	MRSK	MSMR
MDIV		0.93	0.83	-0.15	0.25	0.82	0.55	0.01	0.15	MDIV
HYIN	0.93		0.83	-0.04	0.34	0.86	0.62	0.14	0.24	HYIN
MFUL	0.83	0.83		0.29	0.58	0.93	0.78	0.43	0.5	MFUL
QVOY	-0.15	-0.04	0.29		0.79	0.27	0.62	0.91	0.8	QVOY
MPAY	0.25	0.34	0.58	0.79		0.54	0.93	0.92	0.94	MPAY
MPRO	0.82	0.86	0.93	0.27	0.54		0.75	0.44	0.43	MPRO
DWAT	0.55	0.62	0.78	0.62	0.93	0.75		0.78	0.85	DWAT
MRSK	0.01	0.14	0.43	0.91	0.92	0.44	0.78		0.89	MRSK
MSMR	0.15	0.24	0.5	0.8	0.94	0.43	0.85	0.89		MSMR
	MDIV	HYIN	MFUL	QVOY	MPAY	MPRO	DWAT	MRSK	MSMR

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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

MSMR	+ 0.94	MPAY
HYIN	+ 0.93	MDIV
MPRO	+ 0.93	MFUL
DWAT	+ 0.93	MPAY
MRSK	+ 0.92	MPAY
MRSK	+ 0.91	QVOY

High negative correlations

QVOY	- 0.15	MDIV
QVOY	- 0.04	HYIN

IShares Trust Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Trust 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 Trust'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
MDIV	0.43	0.03	0.14	0.02	0.52	(0.48)	0.86	(0.69)	2.20
HYIN	0.64	0.05	0.08	0.01	0.88	(0.64)	1.27	(1.65)	3.59
MFUL	0.20	0.00	0.00	(0.09)	0.00	0.00	0.42	(0.37)	1.20
QVOY	0.82	(0.14)	0.00	0.65	0.00	0.00	1.70	(1.82)	4.68
MPAY	0.75	(0.03)	0.00	(0.12)	0.00	0.00	1.13	(2.02)	4.73
MPRO	0.38	0.00	0.00	(0.08)	0.00	0.00	0.74	(0.78)	1.83
DWAT	0.68	0.00	0.00	(0.07)	0.00	0.00	1.22	(1.72)	3.90
MRSK	0.57	(0.06)	0.00	(0.19)	0.00	0.00	1.09	(1.29)	3.38
MSMR	0.48	(0.04)	0.00	(0.17)	0.00	0.00	1.04	(1.03)	3.32

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