IShares ESG Correlations

ESGU Etf

USD 135.30 0.97 0.72%

The current 90-days correlation between iShares ESG Aware and Strategy Shares is -0.19 (i.e., Good diversification). The correlation of IShares ESG 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 ESG Correlation With Market

Almost no diversification

The correlation between iShares ESG Aware and DJI is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aware and DJI in the same portfolio, assuming nothing else is changed.

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Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in iShares ESG Aware. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with IShares Etf

1.0	VTI	Vanguard Total Stock	Pair Corr
1.0	SPY	SPDR SP 500	Pair Corr
1.0	IVV	iShares Core SP	Pair Corr
0.99	VIG	Vanguard Dividend	Pair Corr
0.9	VV	Vanguard Large Cap	Pair Corr
0.99	RSP	Invesco SP 500	Pair Corr
1.0	IWB	iShares Russell 1000	Pair Corr
1.0	DFAC	Dimensional Core Equity	Pair Corr
1.0	SPLG	SPDR Portfolio SP	Pair Corr
0.95	DHF	BNY Mellon High	Pair Corr
0.99	MAGS	Roundhill Magnificent Sell-off Trend	Pair Corr
0.92	ARP	Advisors Inner Circle	Pair Corr
0.96	PXMV	Invesco SP MidCap	Pair Corr
0.86	IGA	Voya Global Advantage	Pair Corr
0.99	SEMI	Columbia Seligman	Pair Corr
0.99	DALI	First Trust Dorsey	Pair Corr
0.69	GOAU	US Global GO	Pair Corr
0.99	CPSR	Calamos ETF Trust	Pair Corr
0.92	CAT	Caterpillar	Pair Corr
0.89	MMM	3M Company	Pair Corr
0.86	JPM	JPMorgan Chase	Pair Corr
0.77	MSFT	Microsoft	Pair Corr
0.84	GE	GE Aerospace	Pair Corr
0.82	DD	Dupont De Nemours	Pair Corr
0.64	INTC	Intel Aggressive Push	Pair Corr
0.66	T	ATT Inc	Pair Corr
0.92	BAC	Bank of America	Pair Corr
0.86	AXP	American Express	Pair Corr
0.89	CSCO	Cisco Systems	Pair Corr
0.8	PFE	Pfizer Inc	Pair Corr
0.72	TRV	The Travelers Companies	Pair Corr
0.82	BA	Boeing Aggressive Push	Pair Corr

Related Correlations Analysis

	DHSB	MBOX	DIEM	MCHI	DIPS	DISO	DIVB	DIVD	DIVG
DHSB		0.83	0.88	0.89	-0.79	0.86	0.9	0.87	0.81	DHSB
MBOX	0.83		0.93	0.93	-0.82	0.9	0.95	0.96	0.99	MBOX
DIEM	0.88	0.93		0.93	-0.92	0.96	0.94	0.97	0.91	DIEM
MCHI	0.89	0.93	0.93		-0.78	0.87	0.93	0.93	0.93	MCHI
DIPS	-0.79	-0.82	-0.92	-0.78		-0.94	-0.87	-0.87	-0.78	DIPS
DISO	0.86	0.9	0.96	0.87	-0.94		0.94	0.93	0.88	DISO
DIVB	0.9	0.95	0.94	0.93	-0.87	0.94		0.96	0.95	DIVB
DIVD	0.87	0.96	0.97	0.93	-0.87	0.93	0.96		0.95	DIVD
DIVG	0.81	0.99	0.91	0.93	-0.78	0.88	0.95	0.95		DIVG
	DHSB	MBOX	DIEM	MCHI	DIPS	DISO	DIVB	DIVD	DIVG

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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

DIVG	+ 0.99	MBOX
DIVD	+ 0.97	DIEM
DIVD	+ 0.96	MBOX
DISO	+ 0.96	DIEM
DIVD	+ 0.96	DIVB
DIVB	+ 0.95	MBOX

High negative correlations

DISO	- 0.94	DIPS
DIPS	- 0.92	DIEM
DIVD	- 0.87	DIPS
DIVB	- 0.87	DIPS
DIPS	- 0.82	MBOX
DIPS	- 0.79	DHSB

IShares ESG Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares ESG 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 ESG'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
DHSB	0.54	0.03	(0.03)	(0.25)	0.96	(0.54)	1.18	(1.88)	6.57
MBOX	0.92	(0.03)	(0.02)	0.03	1.63	(0.85)	1.73	(1.99)	10.07
DIEM	0.90	0.13	0.07	0.23	1.28	(0.97)	2.34	(1.57)	8.25
MCHI	1.29	(0.02)	(0.02)	0.04	2.02	(1.45)	3.39	(2.21)	9.47
DIPS	2.08	(0.48)	0.00	0.39	0.00	0.00	2.77	(4.27)	22.25
DISO	1.23	0.20	0.07	0.26	2.34	(1.29)	2.00	(2.29)	12.10
DIVB	0.95	0.00	0.00	0.07	1.64	(0.94)	1.69	(1.88)	9.77
DIVD	0.86	0.03	0.01	0.09	1.49	(0.85)	1.58	(2.15)	9.20
DIVG	0.95	(0.05)	(0.03)	0.01	1.67	(0.88)	1.57	(2.27)	9.33

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