IShares Trust Correlations

IWTR Etf

USD 29.43 0.46 1.54%

The current 90-days correlation between iShares Trust and iShares Emergent Food is 0.75 (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. If the correlation is 0, the equities are not correlated; they are entirely random.

IShares Trust Correlation With Market

Poor diversification

The correlation between iShares Trust and DJI is 0.68 (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 estimate.

To learn how to invest in IShares Etf, please use our How to Invest in IShares Trust guide.

Moving together with IShares Etf

0.7	EV	Mast Global Battery	Pair Corr
0.79	XLB	Materials Select Sector	Pair Corr
0.84	VAW	Vanguard Materials Index	Pair Corr
0.69	XME	SPDR SP Metals	Pair Corr
0.62	FXZ	First Trust Materials	Pair Corr
0.83	IYM	iShares Basic Materials	Pair Corr
0.72	VTV	Vanguard Value Index	Pair Corr
0.62	INTC	Intel	Pair Corr
0.8	DD	Dupont De Nemours	Pair Corr

Moving against IShares Etf

0.6

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	IVEG	IBLC	IBRN	IDAT	EFRA
IVEG		-0.19	0.01	0.24	0.35	IVEG
IBLC	-0.19		0.84	0.64	0.47	IBLC
IBRN	0.01	0.84		0.74	0.44	IBRN
IDAT	0.24	0.64	0.74		0.5	IDAT
EFRA	0.35	0.47	0.44	0.5		EFRA
	IVEG	IBLC	IBRN	IDAT	EFRA

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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

IBRN	+ 0.84	IBLC
IDAT	+ 0.74	IBRN
IDAT	+ 0.64	IBLC
EFRA	+ 0.5	IDAT
EFRA	+ 0.47	IBLC
EFRA	+ 0.44	IBRN

High negative correlations

IBLC

- 0.19

IVEG

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
IVEG	0.82	0.08	0.09	0.03	0.97	(0.85)	1.84	(1.49)	4.70
IBLC	2.86	(0.44)	0.00	(0.37)	0.00	0.00	4.93	(6.59)	21.31
IBRN	1.03	(0.07)	0.00	(0.16)	0.00	0.00	1.97	(2.51)	6.71
IDAT	1.33	(0.07)	0.00	0.25	0.00	0.00	2.07	(3.37)	8.22
EFRA	0.67	(0.09)	0.00	0.37	0.00	0.00	1.50	(1.08)	3.48

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