IShares Russell Correlations

IWN Etf

USD 153.11 1.15 0.75%

The current 90-days correlation between iShares Russell 2000 and iShares Russell 2000 is 0.9 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares Russell Correlation With Market

Poor diversification

The correlation between iShares Russell 2000 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 Russell 2000 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 Russell 2000. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in housing.

Moving together with IShares Etf

0.98	VBR	Vanguard Small Cap	Pair Corr
0.94	IJJ	iShares SP Mid	Pair Corr
0.99	DFAT	Dimensional Targeted	Pair Corr
0.98	IJS	iShares SP Small	Pair Corr
0.98	SLYV	SPDR SP 600	Pair Corr
0.98	AVUV	Avantis Small Cap	Pair Corr
0.98	DES	WisdomTree SmallCap	Pair Corr
0.94	MDYV	SPDR SP 400	Pair Corr
0.9	CALF	Pacer Small Cap Low Volatility	Pair Corr
0.94	VTI	Vanguard Total Stock	Pair Corr
0.92	SPY	SPDR SP 500	Pair Corr
0.92	IVV	iShares Core SP Sell-off Trend	Pair Corr
0.94	VUG	Vanguard Growth Index	Pair Corr
0.89	VO	Vanguard Mid Cap	Pair Corr
0.81	MSFT	Microsoft	Pair Corr
0.7	BA	Boeing	Pair Corr
0.63	WMT	Walmart Aggressive Push	Pair Corr
0.88	BAC	Bank of America Sell-off Trend	Pair Corr
0.75	CAT	Caterpillar	Pair Corr
0.74	AA	Alcoa Corp	Pair Corr
0.9	HD	Home Depot	Pair Corr

Moving against IShares Etf

0.62	BND	Vanguard Total Bond Sell-off Trend	Pair Corr
0.49	VEA	Vanguard FTSE Developed	Pair Corr
0.46	GDXU	MicroSectors Gold Miners	Pair Corr
0.69	VZ	Verizon Communications	Pair Corr
0.67	JNJ	Johnson Johnson	Pair Corr
0.67	TRV	The Travelers Companies	Pair Corr
0.64	KO	Coca Cola	Pair Corr
0.51	MCD	McDonalds	Pair Corr
0.35	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr

Related Correlations Analysis

	IWO	IWD	IWS	IWF	IWP
IWO		0.43	0.89	0.96	0.92	IWO
IWD	0.43		0.76	0.45	0.68	IWD
IWS	0.89	0.76		0.87	0.93	IWS
IWF	0.96	0.45	0.87		0.92	IWF
IWP	0.92	0.68	0.93	0.92		IWP
	IWO	IWD	IWS	IWF	IWP

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IShares Russell Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Russell 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 Russell'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
IWO	1.09	(0.14)	(0.20)	2.06	(2.55)	6.02
IWD	0.66	0.02	(0.04)	1.26	(1.43)	3.29
IWS	0.72	(0.05)	(0.13)	1.19	(1.72)	3.26
IWF	1.09	(0.10)	(0.17)	1.81	(2.78)	6.38
IWP	1.19	(0.07)	(0.13)	1.86	(3.37)	5.86

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