IShares SP Correlations

IJJ Etf

USD 127.29 3.37 2.72%

The current 90-days correlation between iShares SP Mid and iShares SP Small Cap is 0.96 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares SP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares SP Mid Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares SP Correlation With Market

Poor diversification

The correlation between iShares SP Mid Cap and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP Mid Cap and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares SP 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 inflation.

Moving together with IShares Etf

0.95	VBR	Vanguard Small Cap	Pair Corr
0.74	DFAT	Dimensional Targeted	Pair Corr
0.72	IJS	iShares SP Small	Pair Corr
0.7	SLYV	SPDR SP 600	Pair Corr
0.93	AVUV	Avantis Small Cap	Pair Corr
0.92	DES	WisdomTree SmallCap	Pair Corr
1.0	MDYV	SPDR SP 400	Pair Corr
0.72	CALF	Pacer Small Cap	Pair Corr
0.73	PFFL	ETRACS 2xMonthly Pay	Pair Corr

Moving against IShares Etf

0.79	VXZ	iPath Series B Low Volatility	Pair Corr
0.78	VIXM	ProShares VIX Mid Low Volatility	Pair Corr
0.58	VXX	iPath Series B Downward Rally	Pair Corr
0.58	PULT	Putnam ETF Trust	Pair Corr
0.57	VIXY	ProShares VIX Short Downward Rally	Pair Corr
0.49	SIXD	AIM ETF Products	Pair Corr
0.44	TAXI	Northern Trust Inter	Pair Corr
0.44	GLTR	abrdn Physical Precious	Pair Corr
0.39	SHAG	WisdomTree Yield Enhanced	Pair Corr
0.32	IXN	iShares Global Tech	Pair Corr
0.43	SLV	iShares Silver Trust	Pair Corr
0.4	ICLN	iShares Global Clean Sell-off Trend	Pair Corr
0.35	PDBC	Invesco Optimum Yield	Pair Corr
0.32	VPU	Vanguard Utilities Index	Pair Corr

Related Correlations Analysis

	IGF	IJS	IOO	IJK	IJT	EWY	IBB	VLUE	KWEB	IXN
IGF		0.31	0.74	0.0	0.01	0.71	0.71	0.81	0.11	0.67	IGF
IJS	0.31		0.27	0.65	0.82	0.31	0.09	0.35	0.65	0.35	IJS
IOO	0.74	0.27		0.07	-0.14	0.91	0.82	0.97	0.09	0.84	IOO
IJK	0.0	0.65	0.07		0.57	0.13	-0.14	0.05	0.66	0.33	IJK
IJT	0.01	0.82	-0.14	0.57		-0.15	-0.38	-0.06	0.63	-0.02	IJT
EWY	0.71	0.31	0.91	0.13	-0.15		0.9	0.89	0.06	0.91	EWY
IBB	0.71	0.09	0.82	-0.14	-0.38	0.9		0.82	-0.2	0.75	IBB
VLUE	0.81	0.35	0.97	0.05	-0.06	0.89	0.82		0.12	0.83	VLUE
KWEB	0.11	0.65	0.09	0.66	0.63	0.06	-0.2	0.12		0.27	KWEB
IXN	0.67	0.35	0.84	0.33	-0.02	0.91	0.75	0.83	0.27		IXN
	IGF	IJS	IOO	IJK	IJT	EWY	IBB	VLUE	KWEB	IXN

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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

VLUE	+ 0.97	IOO
EWY	+ 0.91	IOO
IXN	+ 0.91	EWY
IBB	+ 0.9	EWY
VLUE	+ 0.89	EWY
IXN	+ 0.84	IOO

High negative correlations

IBB	- 0.38	IJT
KWEB	- 0.2	IBB
EWY	- 0.15	IJT
IBB	- 0.14	IJK
IJT	- 0.14	IOO
VLUE	- 0.06	IJT

IShares SP Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares SP 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 SP'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
IGF	0.41	(0.01)	(0.06)	0.02	0.51	(0.40)	0.70	(0.78)	2.02
IJS	0.95	(0.02)	0.00	0.03	1.15	(1.01)	2.04	(2.13)	7.81
IOO	0.62	0.06	0.06	0.12	0.83	(0.60)	1.04	(1.24)	3.74
IJK	0.76	(0.03)	0.00	0.68	0.00	0.00	1.74	(1.72)	5.13
IJT	0.83	(0.05)	(0.04)	0.00	1.07	(0.84)	2.06	(1.53)	6.26
EWY	1.48	0.30	0.17	0.29	1.59	(1.59)	3.22	(2.24)	8.88
IBB	0.85	0.25	0.24	0.35	0.65	(0.94)	2.00	(1.60)	4.25
VLUE	0.69	0.07	0.06	0.10	0.87	(0.72)	1.49	(1.73)	4.87
KWEB	1.29	(0.09)	0.00	(0.03)	0.00	0.00	2.38	(2.28)	9.86
IXN	1.00	0.08	0.03	(2.25)	1.48	(0.96)	1.77	(2.55)	5.81

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