Blackrock Enhanced Correlations

EGF Fund

USD 9.72 0.04 0.41%

The current 90-days correlation between Blackrock Enhanced and GAMCO Natural Resources is -0.22 (i.e., Very good 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

Good diversification

The correlation between Blackrock Enhanced Government and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock Enhanced Government and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Blackrock Enhanced Government. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving against Blackrock Fund

0.53	CSQ	Calamos Strategic Total	Pair Corr
0.49	STFGX	State Farm Growth	Pair Corr
0.42	TWN	Taiwan Closed	Pair Corr
0.39	CHI	Calamos Convertible	Pair Corr
0.36	CHY	Calamos Convertible And	Pair Corr
0.38	GSGPX	Goldman Sachs Absolute	Pair Corr

Related Correlations Analysis

	BCV	GNT	NBO	RFMZ	BWG	GGZ	GCV	CXH	CBH	EOT
BCV		0.32	0.0	0.6	0.25	0.64	0.69	0.3	0.0	0.32	BCV
GNT	0.32		0.0	0.62	0.89	0.64	0.56	0.65	0.0	0.59	GNT
NBO	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	NBO
RFMZ	0.6	0.62	0.0		0.57	0.5	0.49	0.79	0.0	0.65	RFMZ
BWG	0.25	0.89	0.0	0.57		0.69	0.42	0.77	0.0	0.74	BWG
GGZ	0.64	0.64	0.0	0.5	0.69		0.64	0.4	0.0	0.5	GGZ
GCV	0.69	0.56	0.0	0.49	0.42	0.64		0.29	0.0	0.26	GCV
CXH	0.3	0.65	0.0	0.79	0.77	0.4	0.29		0.0	0.77	CXH
CBH	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	CBH
EOT	0.32	0.59	0.0	0.65	0.74	0.5	0.26	0.77	0.0		EOT
	BCV	GNT	NBO	RFMZ	BWG	GGZ	GCV	CXH	CBH	EOT

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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

BWG	+ 0.89	GNT
CXH	+ 0.79	RFMZ
CXH	+ 0.77	BWG
EOT	+ 0.77	CXH
EOT	+ 0.74	BWG
GCV	+ 0.69	BCV

High negative correlations

EOT	- 0.0	CBH
CBH	- 0.0	CXH
CBH	- 0.0	GCV
CBH	- 0.0	GGZ
CBH	- 0.0	BWG
CBH	- 0.0	RFMZ

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
BCV	0.71	(0.02)	0.00	(0.08)	0.00	0.00	1.67	(1.51)	4.14
GNT	0.64	0.17	0.18	0.65	0.66	(0.72)	1.54	(1.13)	3.93
NBO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RFMZ	0.51	0.00	0.01	0.01	0.70	(0.53)	1.13	(1.33)	3.16
BWG	0.50	0.05	0.08	0.35	0.59	(0.60)	1.02	(0.95)	3.54
GGZ	0.66	0.05	0.07	0.08	0.69	(0.78)	1.49	(1.36)	3.15
GCV	0.91	0.05	0.04	0.10	1.19	(1.00)	2.17	(2.14)	6.16
CXH	0.38	(0.01)	(0.01)	(0.08)	0.55	(0.37)	0.76	(0.98)	2.37
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EOT	0.47	(0.02)	0.00	0.35	0.00	0.00	1.01	(1.28)	2.87

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