Blackrock Floating Correlations

FRA Fund

USD 12.71 0.01 0.08%

The current 90-days correlation between Blackrock Floating Rate and BlackRock Floating Rate is 0.58 (i.e., Very weak diversification). The correlation of Blackrock Floating 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 Floating Correlation With Market

Modest diversification

The correlation between Blackrock Floating Rate and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock Floating Rate 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 Floating Rate. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving against Blackrock Fund

0.66	UTF	Cohen And Steers	Pair Corr
0.64	KF	Korea Closed	Pair Corr
0.64	ARBOX	Absolute Convertible	Pair Corr
0.63	SGDLX	Sprott Gold Equity	Pair Corr
0.61	HTD	John Hancock Tax	Pair Corr
0.57	DBIWX	Dws Global Macro	Pair Corr
0.57	ABNOX	Ab Bond Inflation	Pair Corr
0.51	HWACX	Hotchkis Wiley Value	Pair Corr
0.45	RYMBX	Commodities Strategy	Pair Corr
0.44	RYMEX	Commodities Strategy	Pair Corr
0.44	EBSIX	Campbell Systematic Macro	Pair Corr
0.41	RYMJX	Commodities Strategy	Pair Corr
0.38	PGLSX	Global Multi Strategy	Pair Corr
0.33	DLDFX	Destinations Low Duration	Pair Corr
0.31	GIOIX	Guggenheim Macro Opp	Pair Corr

Related Correlations Analysis

	BGT	JRO	EFT	EFR	JFR
BGT		0.0	-0.11	-0.12	0.17	BGT
JRO	0.0		0.0	0.0	0.0	JRO
EFT	-0.11	0.0		0.93	-0.25	EFT
EFR	-0.12	0.0	0.93		-0.17	EFR
JFR	0.17	0.0	-0.25	-0.17		JFR
	BGT	JRO	EFT	EFR	JFR

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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

EFR	+ 0.93	EFT
JFR	+ 0.17	BGT
JRO	+ 0.0	BGT
EFT	+ 0.0	JRO
EFR	+ 0.0	JRO
JFR	+ 0.0	JRO

High negative correlations

JFR	- 0.25	EFT
JFR	- 0.17	EFR
EFR	- 0.12	BGT
EFT	- 0.11	BGT
JFR	- 0.0	JRO
EFR	- 0.0	JRO

Risk-Adjusted Indicators

There is a big difference between Blackrock Fund performing well and Blackrock Floating 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 Floating'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
BGT	0.49	(0.08)	(0.39)	0.88	(1.11)	2.53
JRO	0.00	0.00	0.00	0.00	0.00	0.00
EFT	0.46	(0.08)	(0.70)	1.02	(0.77)	3.09
EFR	0.34	(0.06)	(1.06)	0.54	(0.83)	2.80
JFR	0.41	(0.07)	0.98	0.72	(1.25)	3.33

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