Blackrock Muniholdings Correlations

MUE Fund

USD 10.41 0.03 0.29%

The current 90-days correlation between Blackrock Muniholdings and John Hancock Income is 0.52 (i.e., Very weak diversification). The correlation of Blackrock Muniholdings 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 Muniholdings Correlation With Market

Modest diversification

The correlation between Blackrock Muniholdings Quality and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock Muniholdings Quality and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Blackrock Muniholdings Quality. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with Blackrock Fund

0.87	NEA	Nuveen Amt Free	Pair Corr
0.91	NVG	Nuveen Amt Free	Pair Corr
0.87	NAD	Nuveen Dividend Advantage	Pair Corr
0.68	PZVNX	Pzena International Value	Pair Corr
0.66	DIEFX	Destinations International	Pair Corr
0.77	USGFX	Us Government Securities	Pair Corr
0.69	REIFX	Rems International Real	Pair Corr
0.64	DFCEX	Emerging Markets E	Pair Corr
0.62	PDVAX	Diversified Income	Pair Corr

Moving against Blackrock Fund

0.84	SRPSX	Short Real Estate	Pair Corr
0.61	RYIFX	Guggenheim Managed	Pair Corr
0.56	NOM	Nuveen Missouri Quality	Pair Corr
0.67	SHRMX	Stone Ridge High	Pair Corr

Related Correlations Analysis

	JHS	CXE	CXH	CBH	MHD	EOT	IHTA	CMU	MFM	DTF
JHS		0.68	0.67	0.0	0.63	0.74	0.0	0.64	0.65	0.05	JHS
CXE	0.68		0.91	0.0	0.88	0.93	0.0	0.9	0.92	0.56	CXE
CXH	0.67	0.91		0.0	0.88	0.88	0.0	0.91	0.91	0.57	CXH
CBH	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	CBH
MHD	0.63	0.88	0.88	0.0		0.83	0.0	0.89	0.88	0.6	MHD
EOT	0.74	0.93	0.88	0.0	0.83		0.0	0.87	0.94	0.4	EOT
IHTA	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	IHTA
CMU	0.64	0.9	0.91	0.0	0.89	0.87	0.0		0.89	0.55	CMU
MFM	0.65	0.92	0.91	0.0	0.88	0.94	0.0	0.89		0.46	MFM
DTF	0.05	0.56	0.57	0.0	0.6	0.4	0.0	0.55	0.46		DTF
	JHS	CXE	CXH	CBH	MHD	EOT	IHTA	CMU	MFM	DTF

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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

MFM	+ 0.94	EOT
EOT	+ 0.93	CXE
MFM	+ 0.92	CXE
CXH	+ 0.91	CXE
CMU	+ 0.91	CXH
MFM	+ 0.91	CXH

High negative correlations

DTF	- 0.0	IHTA
MFM	- 0.0	IHTA
CMU	- 0.0	IHTA
IHTA	- 0.0	EOT
IHTA	- 0.0	MHD
DTF	- 0.0	CBH

Risk-Adjusted Indicators

There is a big difference between Blackrock Fund performing well and Blackrock Muniholdings 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 Muniholdings' 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
JHS	0.39	0.00	0.00	0.02	0.45	(0.43)	0.64	(0.80)	2.14
CXE	0.58	0.02	0.01	(0.13)	0.72	(0.63)	1.34	(1.33)	4.08
CXH	0.42	0.00	0.00	(0.01)	0.68	(0.40)	0.76	(1.01)	3.44
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MHD	0.55	0.01	0.01	0.06	0.73	(0.51)	1.14	(1.06)	2.79
EOT	0.50	(0.01)	0.00	0.39	0.00	0.00	1.01	(1.01)	2.89
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CMU	0.40	0.02	0.02	(0.19)	0.47	(0.48)	0.87	(0.86)	2.27
MFM	0.55	(0.02)	0.00	0.16	0.00	0.00	1.29	(1.12)	3.54
DTF	0.31	0.02	0.02	(0.28)	0.46	(0.31)	0.72	(0.62)	2.06

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