Blackrock Enhanced Correlations

CII Fund

USD 20.12 0.12 0.60%

The current 90-days correlation between Blackrock Enhanced and The Gabelli Multimedia is 0.1 (i.e., Average diversification). The correlation of Blackrock Enhanced 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.

Blackrock Enhanced Correlation With Market

Poor diversification

The correlation between Blackrock Enhanced Capital and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock Enhanced Capital and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Blackrock Enhanced Capital. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Blackrock Fund

0.77	EXG	Eaton Vance Tax	Pair Corr
0.77	GAB	Gabelli Equity Trust	Pair Corr
0.95	USA	Liberty All Star	Pair Corr
0.95	MLMAX	Global E Portfolio	Pair Corr
0.88	TLCYX	Touchstone Large Cap	Pair Corr
0.62	LIGYX	Loomis Sayles Intern	Pair Corr
0.94	AMGIX	Income Growth	Pair Corr
0.96	VFINX	Vanguard 500 Index	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.95	AMEIX	Equity Growth	Pair Corr
0.92	WWLAX	Westwood Largecap Value	Pair Corr
0.88	SAGAX	Ridgeworth Innovative	Pair Corr
0.93	GAPIX	Goldman Sachs Equity	Pair Corr

Related Correlations Analysis

	GGT-PE	GAB-PH	NCV-PA	GAB-PG	OXLCO	JGH	TRRPF	HYB	MYI	NXJ
GGT-PE		0.91	0.83	0.88	0.21	0.44	-0.45	0.19	0.55	0.49	GGT-PE
GAB-PH	0.91		0.87	0.96	0.14	0.35	-0.32	0.22	0.56	0.51	GAB-PH
NCV-PA	0.83	0.87		0.85	-0.19	0.16	-0.08	0.2	0.71	0.7	NCV-PA
GAB-PG	0.88	0.96	0.85		0.12	0.3	-0.29	0.17	0.51	0.48	GAB-PG
OXLCO	0.21	0.14	-0.19	0.12		0.37	-0.72	0.03	-0.54	-0.63	OXLCO
JGH	0.44	0.35	0.16	0.3	0.37		-0.64	0.48	0.26	0.06	JGH
TRRPF	-0.45	-0.32	-0.08	-0.29	-0.72	-0.64		-0.03	0.26	0.3	TRRPF
HYB	0.19	0.22	0.2	0.17	0.03	0.48	-0.03		0.41	0.24	HYB
MYI	0.55	0.56	0.71	0.51	-0.54	0.26	0.26	0.41		0.93	MYI
NXJ	0.49	0.51	0.7	0.48	-0.63	0.06	0.3	0.24	0.93		NXJ
	GGT-PE	GAB-PH	NCV-PA	GAB-PG	OXLCO	JGH	TRRPF	HYB	MYI	NXJ

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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

GAB-PG	+ 0.96	GAB-PH
NXJ	+ 0.93	MYI
GAB-PH	+ 0.91	GGT-PE
GAB-PG	+ 0.88	GGT-PE
NCV-PA	+ 0.87	GAB-PH
GAB-PG	+ 0.85	NCV-PA

High negative correlations

TRRPF	- 0.72	OXLCO
TRRPF	- 0.64	JGH
NXJ	- 0.63	OXLCO
MYI	- 0.54	OXLCO
TRRPF	- 0.45	GGT-PE
TRRPF	- 0.32	GAB-PH

Risk-Adjusted Indicators

There is a big difference between Blackrock Fund performing well and Blackrock Enhanced Fund 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 Blackrock Enhanced'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
GGT-PE	0.47	0.04	(0.08)	0.50	0.61	(0.68)	1.44	(0.99)	5.53
GAB-PH	0.44	0.10	(0.06)	(2.37)	0.37	(0.48)	1.17	(0.93)	3.34
NCV-PA	0.45	0.03	(0.15)	(0.14)	0.66	(0.50)	1.08	(1.21)	3.97
GAB-PG	0.71	0.10	(0.03)	(5.41)	0.77	(0.80)	1.68	(1.22)	5.27
OXLCO	0.32	0.03	(0.22)	2.00	0.31	(0.41)	0.96	(0.62)	2.34
JGH	0.38	0.05	(0.11)	0.36	0.33	(0.44)	0.79	(0.86)	3.00
TRRPF	0.28	(0.14)	0.00	1.27	0.00	0.00	0.00	0.00	9.30
HYB	0.36	0.02	(0.21)	(0.39)	0.45	(0.38)	0.73	(0.74)	2.32
MYI	0.41	0.03	(0.16)	(4.32)	0.51	(0.45)	1.12	(0.94)	2.59
NXJ	0.39	0.00	(0.17)	0.15	0.53	(0.40)	0.89	(0.81)	2.32

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