Nuveen California Correlations

NKX Fund

USD 12.78 0.03 0.24%

The current 90-days correlation between Nuveen California Amt and BlackRock California Municipal is 0.34 (i.e., Weak diversification). The correlation of Nuveen California 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.

Nuveen California Correlation With Market

Average diversification

The correlation between Nuveen California Amt and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen California Amt 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 Nuveen California Amt. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in industry.

Moving together with Nuveen Fund

0.74	NHS	Neuberger Berman High	Pair Corr
0.78	GIOIX	Guggenheim Macro Opp	Pair Corr
0.7	DBIWX	Dws Global Macro	Pair Corr
0.65	BISMX	Brandes International	Pair Corr
0.76	ABNOX	Ab Bond Inflation	Pair Corr
0.61	EBSIX	Campbell Systematic Macro	Pair Corr
0.74	HRBDX	Harbor Bond Fund	Pair Corr
0.72	TIMUX	Transamerica Intermediate	Pair Corr
0.69	HTD	John Hancock Tax	Pair Corr
0.63	SGDLX	Sprott Gold Equity	Pair Corr
0.73	USGDX	Morgan Stanley Government	Pair Corr
0.67	ARBOX	Absolute Convertible	Pair Corr
0.74	VICSX	Vanguard Intermediate-ter	Pair Corr
0.62	DLDFX	Destinations Low Duration	Pair Corr
0.64	UTF	Cohen And Steers	Pair Corr

Related Correlations Analysis

	BFZ	MQY	MUI	MVF	PCK	PCQ	EVM	VCV	MYD
BFZ		0.76	-0.12	0.5	0.43	0.67	0.21	0.13	0.63	BFZ
MQY	0.76		-0.58	0.67	0.68	0.82	0.49	0.2	0.89	MQY
MUI	-0.12	-0.58		-0.47	-0.57	-0.46	-0.59	-0.14	-0.64	MUI
MVF	0.5	0.67	-0.47		0.73	0.65	0.79	0.75	0.88	MVF
PCK	0.43	0.68	-0.57	0.73		0.85	0.59	0.59	0.78	PCK
PCQ	0.67	0.82	-0.46	0.65	0.85		0.4	0.42	0.75	PCQ
EVM	0.21	0.49	-0.59	0.79	0.59	0.4		0.63	0.73	EVM
VCV	0.13	0.2	-0.14	0.75	0.59	0.42	0.63		0.5	VCV
MYD	0.63	0.89	-0.64	0.88	0.78	0.75	0.73	0.5		MYD
	BFZ	MQY	MUI	MVF	PCK	PCQ	EVM	VCV	MYD

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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

MYD	+ 0.89	MQY
MYD	+ 0.88	MVF
PCQ	+ 0.85	PCK
PCQ	+ 0.82	MQY
EVM	+ 0.79	MVF
MYD	+ 0.78	PCK

High negative correlations

MYD	- 0.64	MUI
EVM	- 0.59	MUI
MUI	- 0.58	MQY
PCK	- 0.57	MUI
MVF	- 0.47	MUI
PCQ	- 0.46	MUI

Risk-Adjusted Indicators

There is a big difference between Nuveen Fund performing well and Nuveen California 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 Nuveen California'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
BFZ	0.44	(0.05)	0.00	(0.31)	0.00	0.00	0.98	(0.90)	4.57
MQY	0.52	(0.06)	0.00	(0.30)	0.00	0.00	1.04	(1.18)	2.85
MUI	0.46	(0.03)	0.00	(0.30)	0.00	0.00	0.73	(1.40)	3.95
MVF	0.49	0.01	0.10	0.01	0.63	(0.54)	1.12	(0.99)	3.98
PCK	0.55	0.01	0.00	(0.04)	0.00	0.00	1.24	(1.04)	3.33
PCQ	0.52	(0.05)	0.00	(0.28)	0.00	0.00	0.99	(1.29)	3.02
EVM	0.40	0.01	0.12	0.00	0.48	(0.46)	0.86	(0.76)	3.26
VCV	0.57	0.06	0.14	0.37	0.72	(0.61)	1.52	(1.18)	4.27
MYD	0.47	(0.04)	0.00	(0.30)	0.00	0.00	0.97	(1.06)	2.63

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