IShares IBoxx Correlations

LQD Etf

USD 108.41 0.27 0.25%

The current 90-days correlation between iShares iBoxx Investment and iShares iBoxx High is 0.69 (i.e., Poor diversification). The correlation of IShares IBoxx 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 IBoxx Correlation With Market

Very weak diversification

The correlation between iShares iBoxx Investment and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with IShares Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in iShares iBoxx Investment. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in producer price index.

Moving together with IShares Etf

0.76	IGIB	iShares 5 10	Pair Corr
0.82	USIG	iShares Broad USD	Pair Corr
0.82	SPIB	SPDR Barclays Interm	Pair Corr
0.8	SUSC	iShares ESG USD	Pair Corr
0.77	QLTA	iShares Aaa	Pair Corr
0.98	CORP	PIMCO Investment Grade	Pair Corr
0.99	FLCO	Franklin Liberty Inv	Pair Corr
0.99	GIGB	Goldman Sachs Access	Pair Corr
0.8	VTC	Vanguard Total Corporate	Pair Corr
0.84	PMBS	PIMCO Mortgage Backed	Pair Corr
0.63	PFFL	ETRACS 2xMonthly Pay	Pair Corr
0.68	CEFD	ETRACS Monthly Pay	Pair Corr
0.91	VCIT	Vanguard Intermediate	Pair Corr
0.73	JCPI	JPMorgan Inflation	Pair Corr
0.61	DD	Dupont De Nemours	Pair Corr

Moving against IShares Etf

0.64	VIXY	ProShares VIX Short	Pair Corr
0.63	VXX	iPath Series B	Pair Corr
0.37	YCL	ProShares Ultra Yen	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.89	0.71	0.79	0.56	0.69	0.45	0.88	-0.18	0.19	META
MSFT	0.89		0.88	0.85	0.54	0.46	0.43	0.94	-0.47	-0.09	MSFT
UBER	0.71	0.88		0.89	0.44	0.35	0.64	0.89	-0.51	-0.14	UBER
F	0.79	0.85	0.89		0.51	0.63	0.69	0.91	-0.24	0.23	F
T	0.56	0.54	0.44	0.51		0.37	0.17	0.57	-0.13	0.21	T
A	0.69	0.46	0.35	0.63	0.37		0.57	0.58	0.4	0.69	A
CRM	0.45	0.43	0.64	0.69	0.17	0.57		0.54	0.1	0.27	CRM
JPM	0.88	0.94	0.89	0.91	0.57	0.58	0.54		-0.39	0.12	JPM
MRK	-0.18	-0.47	-0.51	-0.24	-0.13	0.4	0.1	-0.39		0.66	MRK
XOM	0.19	-0.09	-0.14	0.23	0.21	0.69	0.27	0.12	0.66		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

JPM	+ 0.94	MSFT
JPM	+ 0.91	F
MSFT	+ 0.89	META
F	+ 0.89	UBER
JPM	+ 0.89	UBER
JPM	+ 0.88	META

High negative correlations

MRK	- 0.51	UBER
MRK	- 0.47	MSFT
MRK	- 0.39	JPM
MRK	- 0.24	F
MRK	- 0.18	META
XOM	- 0.14	UBER

IShares IBoxx Competition Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares IBoxx 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 IBoxx'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	2.08	0.28	0.09	(9.66)	2.46	(2.36)	4.23	(4.29)	21.50
MSFT	1.23	0.33	0.21	0.35	1.13	(1.36)	2.40	(2.36)	13.79
UBER	1.87	0.23	0.09	0.20	2.29	(2.03)	4.19	(3.48)	16.18
F	1.70	0.10	0.04	0.13	2.24	(1.73)	2.90	(3.84)	13.07
T	1.15	0.09	0.04	0.32	1.79	(1.16)	2.01	(2.62)	8.83
A	1.77	(0.09)	0.00	(0.04)	0.00	0.00	2.76	(4.15)	14.45
CRM	1.60	(0.10)	0.00	(0.06)	0.00	0.00	3.01	(3.64)	13.13
JPM	1.31	0.22	0.10	0.22	1.95	(1.37)	2.75	(2.12)	11.14
MRK	1.62	(0.24)	0.00	0.87	0.00	0.00	2.55	(4.72)	10.58
XOM	1.32	(0.05)	0.00	(0.03)	0.00	0.00	2.62	(2.77)	10.53

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