IShares Trust Correlations

ITDD Etf

USD 31.02 0.42 1.37%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.86 (i.e., Very 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.

IShares Trust Correlation With Market

Almost no diversification

The correlation between iShares Trust and DJI is 0.95 (i.e., Almost no 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.

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 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 unemployment.

For information on how to trade IShares Etf refer to our How to Trade IShares Etf guide.

Moving together with IShares Etf

0.69	INTL	Main International ETF	Pair Corr
0.87	EMC	Global X Funds	Pair Corr
0.8	DUKH	Ocean Park High	Pair Corr
0.95	VTI	Vanguard Total Stock	Pair Corr
0.61	IYLD	iShares Morningstar	Pair Corr
0.67	EASG	Xtrackers MSCI EAFE	Pair Corr
0.86	DGS	WisdomTree Emerging	Pair Corr

Moving against IShares Etf

0.94	VXX	iPath Series B	Pair Corr
0.85	RXD	ProShares UltraShort	Pair Corr
0.78	EMTY	ProShares Decline	Pair Corr
0.72	FNGD	MicroSectors FANG Index Downward Rally	Pair Corr
0.6	USG	USCF Gold Strategy Potential Growth	Pair Corr
0.57	LDER	Stone Ridge Trust	Pair Corr
0.5	GDXY	Tidal Trust II Potential Growth	Pair Corr
0.47	TYD	Direxion Daily 7	Pair Corr
0.46	DWX	SPDR SP International	Pair Corr
0.46	SPCZ	Listed Funds Trust	Pair Corr
0.44	HAPR	Innovator Premium Income	Pair Corr
0.38	VGUS	Vanguard Ultra Short	Pair Corr
0.34	TIP	iShares TIPS Bond	Pair Corr
0.94	SDD	ProShares UltraShort	Pair Corr
0.72	SHY	iShares 1 3 Sell-off Trend	Pair Corr
0.7	IBTJ	iShares iBonds Dec	Pair Corr
0.68	BOXX	Alpha Architect 1	Pair Corr
0.67	ICSH	iShares Ultra Short	Pair Corr
0.57	GLDM	SPDR Gold Mini Potential Growth	Pair Corr
0.53	RING	iShares MSCI Global	Pair Corr
0.49	GDXJ	VanEck Junior Gold Sell-off Trend	Pair Corr
0.44	JCPI	JPMorgan Inflation	Pair Corr
0.43	GSIG	Goldman Sachs Access	Pair Corr
0.38	DFIP	Dimensional ETF Trust	Pair Corr
0.36	EUAD	Select STOXX Europe Low Volatility	Pair Corr

Related Correlations Analysis

	MDIV	MFUL	DRSK	DSCF	DUKQ	DUKX	MPRO	DWAT	MRSK
MDIV		0.96	0.81	0.77	0.82	0.93	0.91	0.82	0.63	MDIV
MFUL	0.96		0.86	0.67	0.91	0.95	0.95	0.86	0.73	MFUL
DRSK	0.81	0.86		0.66	0.77	0.84	0.83	0.64	0.6	DRSK
DSCF	0.77	0.67	0.66		0.34	0.64	0.69	0.51	0.28	DSCF
DUKQ	0.82	0.91	0.77	0.34		0.86	0.87	0.86	0.86	DUKQ
DUKX	0.93	0.95	0.84	0.64	0.86		0.83	0.76	0.59	DUKX
MPRO	0.91	0.95	0.83	0.69	0.87	0.83		0.91	0.85	MPRO
DWAT	0.82	0.86	0.64	0.51	0.86	0.76	0.91		0.91	DWAT
MRSK	0.63	0.73	0.6	0.28	0.86	0.59	0.85	0.91		MRSK
	MDIV	MFUL	DRSK	DSCF	DUKQ	DUKX	MPRO	DWAT	MRSK

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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
MDIV	0.65	0.03	0.00	(0.05)	0.00	0.00	0.99	(1.83)	5.50
MFUL	0.29	0.00	0.00	(0.12)	0.00	0.00	0.51	(0.62)	2.58
DRSK	0.33	(0.01)	0.00	(0.30)	0.00	0.00	0.70	(0.54)	2.98
DSCF	0.37	0.05	0.23	0.09	0.53	(0.37)	0.71	(0.72)	2.96
DUKQ	0.83	(0.16)	0.00	(0.43)	0.00	0.00	1.37	(1.98)	8.12
DUKX	0.69	(0.02)	0.00	(0.17)	0.00	0.00	1.48	(1.60)	8.67
MPRO	0.58	0.04	0.00	(0.03)	0.00	0.00	1.12	(1.45)	6.26
DWAT	0.91	0.05	0.00	(0.05)	0.00	0.00	1.75	(1.72)	7.68
MRSK	0.71	0.00	0.00	(0.12)	0.00	0.00	1.31	(1.89)	5.41

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