IShares Trust Correlations

ITDG Etf

34.87 0.17 0.49%

The current 90-days correlation between iShares Trust and First Trust Multi Asset is 0.69 (i.e., 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

Poor diversification

The correlation between iShares Trust and DJI is 0.79 (i.e., Poor 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 more detail on how to invest in IShares Etf please use our How to Invest in IShares Trust guide.

Moving together with IShares Etf

0.66	ITDD	iShares Trust	Pair Corr
0.98	LRNZ	Elevation Series Trust	Pair Corr
0.98	IUSV	iShares Core SP	Pair Corr
0.99	NBGX	Neuberger Berman ETF	Pair Corr
1.0	FLQL	Franklin LibertyQ Equity	Pair Corr
0.95	IPO	Renaissance IPO ETF	Pair Corr
0.71	VCLT	Vanguard Long Term	Pair Corr
0.94	SHV	iShares Short Treasury	Pair Corr
0.98	VTWO	Vanguard Russell 2000	Pair Corr
0.98	AIVL	WisdomTree Trust	Pair Corr
1.0	DFSU	Dimensional Sustainability	Pair Corr
0.62	PCRB	Putnam ETF Trust	Pair Corr
0.85	FLCG	Federated Hermes ETF	Pair Corr
0.69	PSFF	Pacer Funds Trust	Pair Corr
0.95	IVAL	Alpha Architect Inte	Pair Corr
0.87	WDSSF	WisdomTree Issuer ICAV	Pair Corr
0.98	BSJR	Invesco BulletShares 2027	Pair Corr
0.98	SPRX	Spear Alpha ETF	Pair Corr
0.66	MLPB	UBS AG London	Pair Corr
0.83	DRLL	EA Series Trust	Pair Corr
0.81	PSC	Principal Small Cap	Pair Corr
0.82	PIN	Invesco India ETF	Pair Corr
0.99	TMFC	Motley Fool 100 Low Volatility	Pair Corr
0.69	GMAR	First Trust Exchange	Pair Corr
0.67	MBCC	Northern Lights	Pair Corr
0.94	IGF	iShares Global Infra	Pair Corr
0.62	FVD	First Trust Value	Pair Corr
0.66	JEPI	JPMorgan Equity Premium Sell-off Trend	Pair Corr
0.82	VDE	Vanguard Energy Index	Pair Corr
0.96	MVV	ProShares Ultra MidCap400	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.98	0.84	0.82	0.55	0.93	0.29	0.94	0.23	0.57	META
MSFT	0.98		0.87	0.85	0.52	0.89	0.29	0.96	0.24	0.59	MSFT
UBER	0.84	0.87		0.9	0.42	0.81	0.54	0.88	0.21	0.54	UBER
F	0.82	0.85	0.9		0.4	0.84	0.28	0.91	0.43	0.73	F
T	0.55	0.52	0.42	0.4		0.57	0.17	0.5	0.27	0.16	T
A	0.93	0.89	0.81	0.84	0.57		0.24	0.89	0.37	0.63	A
CRM	0.29	0.29	0.54	0.28	0.17	0.24		0.23	-0.26	-0.08	CRM
JPM	0.94	0.96	0.88	0.91	0.5	0.89	0.23		0.32	0.68	JPM
MRK	0.23	0.24	0.21	0.43	0.27	0.37	-0.26	0.32		0.56	MRK
XOM	0.57	0.59	0.54	0.73	0.16	0.63	-0.08	0.68	0.56		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

MSFT	+ 0.98	META
JPM	+ 0.96	MSFT
JPM	+ 0.94	META
A	+ 0.93	META
JPM	+ 0.91	F
F	+ 0.9	UBER

High negative correlations

MRK	- 0.26	CRM
XOM	- 0.08	CRM

IShares Trust Competition 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
META	1.51	0.26	0.21	0.32	1.10	(1.82)	3.99	(2.35)	10.48
MSFT	0.90	0.30	0.27	0.47	0.54	(1.09)	2.33	(1.08)	8.85
UBER	1.64	0.20	0.13	0.33	1.40	(2.08)	4.19	(2.54)	10.87
F	1.32	0.14	0.06	0.32	1.47	(1.42)	2.69	(2.61)	7.46
T	1.02	(0.05)	(0.10)	0.00	1.35	(1.06)	2.35	(2.35)	5.71
A	1.46	(0.07)	0.00	0.09	1.81	(1.51)	2.54	(2.89)	14.01
CRM	1.33	(0.13)	(0.04)	0.04	1.74	(1.28)	2.95	(3.19)	9.31
JPM	0.90	0.22	0.18	0.38	0.67	(1.02)	2.25	(1.36)	6.03
MRK	1.39	(0.09)	(0.05)	0.04	1.96	(1.32)	2.88	(3.31)	10.58
XOM	1.08	0.14	0.00	(9.00)	1.19	(1.12)	2.40	(2.51)	5.84

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