Ishares Municipal Correlations

BIDKX Fund

USD 11.17 0.00 0.00%

The current 90-days correlation between Ishares Municipal Bond and Blackrock California Municipal is 0.87 (i.e., Very poor diversification). The correlation of Ishares Municipal 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.

Ishares Municipal Correlation With Market

Average diversification

The correlation between Ishares Municipal Bond and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ishares Municipal Bond 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 Ishares Municipal Bond. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in industry.

Moving together with Ishares Mutual Fund

0.95	MKCMX	Blackrock California	Pair Corr
0.67	BRAMX	Bats Series M	Pair Corr
0.8	MKMTX	Blackrock Strategic	Pair Corr
0.66	BRACX	Bats Series C	Pair Corr
0.82	MKNKX	Blackrock New York	Pair Corr
0.89	MKNJX	Blackrock New Jersey	Pair Corr
0.72	BRASX	Bats Series S	Pair Corr
0.76	BRCPX	Blackrock Conservative	Pair Corr
0.82	MKPYX	Blackrock Pennsylvania	Pair Corr

Related Correlations Analysis

	MKCMX	MKCPX	MKEFX	MKECX	MKDCX	MKDVX	MKGCX	MKILX	MKMTX	BRACX
MKCMX		0.01	0.14	0.05	0.05	-0.06	-0.2	0.41	0.86	0.65	MKCMX
MKCPX	0.01		0.09	0.19	0.42	0.72	0.91	0.04	-0.18	-0.26	MKCPX
MKEFX	0.14	0.09		0.86	0.79	-0.38	-0.2	0.91	0.13	0.51	MKEFX
MKECX	0.05	0.19	0.86		0.74	-0.25	-0.09	0.77	0.06	0.47	MKECX
MKDCX	0.05	0.42	0.79	0.74		-0.15	0.16	0.66	-0.08	0.22	MKDCX
MKDVX	-0.06	0.72	-0.38	-0.25	-0.15		0.84	-0.29	-0.12	-0.44	MKDVX
MKGCX	-0.2	0.91	-0.2	-0.09	0.16	0.84		-0.26	-0.39	-0.57	MKGCX
MKILX	0.41	0.04	0.91	0.77	0.66	-0.29	-0.26		0.44	0.7	MKILX
MKMTX	0.86	-0.18	0.13	0.06	-0.08	-0.12	-0.39	0.44		0.79	MKMTX
BRACX	0.65	-0.26	0.51	0.47	0.22	-0.44	-0.57	0.7	0.79		BRACX
	MKCMX	MKCPX	MKEFX	MKECX	MKDCX	MKDVX	MKGCX	MKILX	MKMTX	BRACX

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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

MKGCX	+ 0.91	MKCPX
MKILX	+ 0.91	MKEFX
MKMTX	+ 0.86	MKCMX
MKECX	+ 0.86	MKEFX
MKGCX	+ 0.84	MKDVX
MKDCX	+ 0.79	MKEFX

High negative correlations

BRACX	- 0.57	MKGCX
BRACX	- 0.44	MKDVX
MKMTX	- 0.39	MKGCX
MKDVX	- 0.38	MKEFX
MKILX	- 0.29	MKDVX
MKILX	- 0.26	MKGCX

Risk-Adjusted Indicators

There is a big difference between Ishares Mutual Fund performing well and Ishares Municipal Mutual 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 Ishares Municipal'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
MKCMX	0.13	0.00	(0.38)	0.10	0.13	(0.18)	0.34	(0.25)	1.00
MKCPX	0.29	0.02	(0.21)	0.53	0.30	(0.41)	0.73	(0.58)	2.21
MKEFX	0.90	(0.15)	0.00	(0.14)	0.00	0.00	1.61	(2.12)	6.83
MKECX	0.64	(0.11)	0.00	(0.90)	0.00	0.00	1.18	(1.47)	3.08
MKDCX	0.77	(0.10)	0.00	(0.15)	0.00	0.00	1.57	(2.04)	5.05
MKDVX	0.47	0.05	(0.13)	(3.41)	0.41	(0.55)	0.93	(0.82)	3.38
MKGCX	0.52	0.08	(0.05)	(30.56)	0.62	(0.55)	1.07	(1.08)	3.14
MKILX	0.75	(0.11)	0.00	(0.06)	0.00	0.00	1.31	(1.84)	5.13
MKMTX	0.18	0.01	(0.29)	(0.02)	0.24	(0.25)	0.48	(0.47)	1.52
BRACX	0.26	0.00	(0.33)	0.10	0.31	(0.30)	0.55	(0.66)	1.66

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