IShares Currency Correlations

HSCZ Etf

USD 32.44 0.35 1.09%

The current 90-days correlation between iShares Currency Hedged and Vanguard Global ex US is 0.56 (i.e., Very weak diversification). The correlation of IShares Currency 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 Currency Correlation With Market

Poor diversification

The correlation between iShares Currency Hedged and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Currency Hedged and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares Currency Hedged. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with IShares Etf

0.63	VSS	Vanguard FTSE All	Pair Corr
0.62	EWC	iShares MSCI Canada	Pair Corr
0.79	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.82	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.85	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.61	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.72	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr

Moving against IShares Etf

0.63	HUM	Humana Inc Fiscal Year End 23rd of January 2025	Pair Corr
0.42	IAUF	IShares	Pair Corr

Related Correlations Analysis

	VNQI	VEU	VBR	VPL	VOE
VNQI		0.89	-0.57	0.9	-0.48	VNQI
VEU	0.89		-0.34	0.9	-0.24	VEU
VBR	-0.57	-0.34		-0.37	0.97	VBR
VPL	0.9	0.9	-0.37		-0.32	VPL
VOE	-0.48	-0.24	0.97	-0.32		VOE
	VNQI	VEU	VBR	VPL	VOE

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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

VOE	+ 0.97	VBR
VPL	+ 0.9	VNQI
VPL	+ 0.9	VEU
VEU	+ 0.89	VNQI

High negative correlations

VBR	- 0.57	VNQI
VOE	- 0.48	VNQI
VPL	- 0.37	VBR
VBR	- 0.34	VEU
VOE	- 0.32	VPL
VOE	- 0.24	VEU

IShares Currency Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares Currency 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 Currency'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
VNQI	0.71	(0.07)	0.00	(0.20)	0.00	0.00	1.44	(1.52)	4.40
VEU	0.65	(0.09)	0.00	(0.08)	0.00	0.00	1.39	(1.69)	4.29
VBR	0.72	0.00	0.02	0.13	0.63	(0.79)	1.67	(1.30)	5.71
VPL	0.70	(0.11)	0.00	(0.06)	0.00	0.00	1.78	(1.60)	4.75
VOE	0.54	0.03	(0.01)	0.16	0.32	(0.60)	1.02	(0.85)	3.01

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