IShares Russell Correlations

IWS Etf

USD 128.20 2.37 1.88%

The current 90-days correlation between iShares Russell Mid and iShares Russell Mid Cap is 0.82 (i.e., Very poor diversification). The correlation of IShares Russell 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 Russell Correlation With Market

Poor diversification

The correlation between iShares Russell Mid Cap and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell Mid Cap 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 Mid Cap. 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

0.94	VOE	Vanguard Mid Cap	Pair Corr
0.95	COWZ	Pacer Cash Cows	Pair Corr
0.99	DON	WisdomTree MidCap	Pair Corr
0.99	PKW	Invesco BuyBack Achievers	Pair Corr
0.81	ONEY	SPDR Russell 1000	Pair Corr
0.93	UPRO	ProShares UltraPro SP500	Pair Corr
0.89	QTJA	Innovator ETFs Trust	Pair Corr
0.91	QTOC	Innovator ETFs Trust	Pair Corr
0.94	XTOC	Innovator ETFs Trust	Pair Corr
0.74	QTAP	Innovator Growth 100 Low Volatility	Pair Corr
0.92	XTJA	Innovator ETFs Trust	Pair Corr
0.72	WMT	Walmart	Pair Corr
0.91	HD	Home Depot	Pair Corr
0.65	MSFT	Microsoft Aggressive Push	Pair Corr
0.73	DIS	Walt Disney	Pair Corr
0.72	CAT	Caterpillar	Pair Corr
0.69	BA	Boeing	Pair Corr
0.78	JPM	JPMorgan Chase	Pair Corr
0.9	BAC	Bank of America Aggressive Push	Pair Corr

Moving against IShares Etf

0.52	VZ	Verizon Communications	Pair Corr
0.5	TRV	The Travelers Companies	Pair Corr
0.4	MCD	McDonalds	Pair Corr
0.34	T	ATT Inc Sell-off Trend	Pair Corr

Related Correlations Analysis

	IWP	IWN	IWR	IWD	IWO
IWP		0.93	0.98	0.68	0.89	IWP
IWN	0.93		0.94	0.5	0.95	IWN
IWR	0.98	0.94		0.74	0.88	IWR
IWD	0.68	0.5	0.74		0.39	IWD
IWO	0.89	0.95	0.88	0.39		IWO
	IWP	IWN	IWR	IWD	IWO

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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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
IWP	1.22	(0.07)	0.00	(0.09)	0.00	0.00	1.89	(3.37)	5.86
IWN	0.89	(0.12)	0.00	(0.16)	0.00	0.00	1.53	(2.22)	4.50
IWR	0.83	(0.05)	0.00	(0.09)	0.00	0.00	1.50	(1.86)	3.85
IWD	0.67	0.02	0.04	0.00	0.88	(0.70)	1.33	(1.43)	3.29
IWO	1.09	(0.21)	0.00	1.15	0.00	0.00	2.06	(2.55)	6.02

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