IShares MSCI Correlations

MTUM Etf

USD 204.73 0.84 0.41%

The current 90-days correlation between iShares MSCI USA and iShares MSCI USA is 0.86 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares MSCI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares MSCI USA moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares MSCI Correlation With Market

Poor diversification

The correlation between iShares MSCI USA and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI USA and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in iShares MSCI USA. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with IShares Etf

0.83	VTI	Vanguard Total Stock	Pair Corr
0.84	SPY	SPDR SP 500	Pair Corr
0.85	IVV	iShares Core SP Sell-off Trend	Pair Corr
0.92	VIG	Vanguard Dividend	Pair Corr
0.93	VV	Vanguard Large Cap	Pair Corr
0.92	RSP	Invesco SP 500	Pair Corr
0.86	IWB	iShares Russell 1000	Pair Corr
0.9	ESGU	iShares ESG Aware	Pair Corr
0.91	DFAC	Dimensional Core Equity	Pair Corr
0.92	SPLG	SPDR Portfolio SP	Pair Corr
0.75	FNGO	MicroSectors FANG Index	Pair Corr
0.78	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.85	DUSL	Direxion Daily Indus	Pair Corr
0.76	BA	Boeing	Pair Corr
0.79	AXP	American Express Sell-off Trend	Pair Corr
0.95	JPM	JPMorgan Chase	Pair Corr
0.79	BAC	Bank of America Sell-off Trend	Pair Corr
0.85	WMT	Walmart Aggressive Push	Pair Corr

Moving against IShares Etf

0.6

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	QUAL	USMV	VLUE	IGV	DGRO
QUAL		0.26	0.69	0.94	0.73	QUAL
USMV	0.26		0.53	0.05	0.77	USMV
VLUE	0.69	0.53		0.58	0.81	VLUE
IGV	0.94	0.05	0.58		0.52	IGV
DGRO	0.73	0.77	0.81	0.52		DGRO
	QUAL	USMV	VLUE	IGV	DGRO

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IShares MSCI Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares MSCI 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 MSCI'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
QUAL	0.71	(0.04)	0.00	(0.11)	0.00	0.00	1.07	(1.64)	3.82
USMV	0.55	0.05	0.12	0.03	0.68	(0.59)	1.06	(1.16)	2.76
VLUE	0.70	0.02	0.10	0.28	0.85	(0.76)	1.34	(1.51)	3.59
IGV	1.34	(0.09)	0.00	(0.14)	0.00	0.00	2.00	(3.32)	7.87
DGRO	0.61	0.04	0.09	0.00	0.71	(0.67)	1.12	(1.32)	2.90

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