IShares SP Correlations

IJS Etf

USD 109.53 1.41 1.30%

The current 90-days correlation between iShares SP Small and FT Vest Equity is 0.77 (i.e., Poor diversification). The correlation of IShares SP 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 SP Correlation With Market

Poor diversification

The correlation between iShares SP Small Cap and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP Small 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 Small Cap. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with IShares Etf

0.83	VBR	Vanguard Small Cap	Pair Corr
0.87	IWN	iShares Russell 2000	Pair Corr
0.72	IJJ	iShares SP Mid	Pair Corr
1.0	SLYV	SPDR SP 600	Pair Corr
0.68	AVUV	Avantis Small Cap	Pair Corr
0.72	MDYV	SPDR SP 400	Pair Corr
0.78	CALF	Pacer Small Cap	Pair Corr
0.7	IWMI	NEOS Russell 2000 Low Volatility	Pair Corr

Moving against IShares Etf

0.52

REKT

Direxion Shares ETF Downward Rally

Pair Corr

Related Correlations Analysis

	DHDG	MBCC	DHLX	DIHP	MCDS	MCHS	DINT	DISV	DIVE
DHDG		0.2	0.36	0.79	0.1	0.14	0.73	0.68	0.04	DHDG
MBCC	0.2		0.57	0.44	0.79	0.64	0.55	0.6	0.68	MBCC
DHLX	0.36	0.57		0.56	0.54	0.46	0.52	0.64	0.59	DHLX
DIHP	0.79	0.44	0.56		0.29	0.22	0.78	0.89	0.28	DIHP
MCDS	0.1	0.79	0.54	0.29		0.61	0.41	0.47	0.63	MCDS
MCHS	0.14	0.64	0.46	0.22	0.61		0.64	0.53	0.62	MCHS
DINT	0.73	0.55	0.52	0.78	0.41	0.64		0.87	0.42	DINT
DISV	0.68	0.6	0.64	0.89	0.47	0.53	0.87		0.55	DISV
DIVE	0.04	0.68	0.59	0.28	0.63	0.62	0.42	0.55		DIVE
	DHDG	MBCC	DHLX	DIHP	MCDS	MCHS	DINT	DISV	DIVE

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
DHDG	0.22	0.03	0.05	0.10	0.20	(0.24)	0.73	(0.57)	1.64
MBCC	0.53	(0.06)	0.00	(0.06)	0.00	0.00	0.84	(1.25)	2.75
DHLX	0.59	(0.10)	0.00	(0.18)	0.00	0.00	1.02	(1.38)	2.41
DIHP	0.55	0.02	0.01	0.04	0.66	(0.56)	0.92	(1.06)	2.70
MCDS	0.59	(0.04)	0.00	(0.02)	0.00	0.00	1.10	(1.28)	4.09
MCHS	0.90	(0.14)	0.00	(0.16)	0.00	0.00	2.01	(2.15)	7.05
DINT	0.75	(0.01)	(0.01)	0.01	1.15	(0.69)	1.36	(1.95)	4.48
DISV	0.59	0.00	(0.01)	0.02	0.69	(0.65)	1.15	(1.28)	3.05
DIVE	0.56	(0.07)	0.00	(0.09)	0.00	0.00	1.07	(1.24)	4.47

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