Nuveen Preferred Correlations

JPC Fund

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The current 90-days correlation between Nuveen Preferred Income and Nuveen Municipal Credit is 0.16 (i.e., Average diversification). The correlation of Nuveen Preferred 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.

Nuveen Preferred Correlation With Market

Poor diversification

The correlation between Nuveen Preferred Income and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Preferred Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Nuveen Preferred Income. 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 together with Nuveen Fund

0.86	CEE	Central Europe Russia	Pair Corr
0.79	BTO	John Hancock Financial	Pair Corr
0.88	KF	Korea Closed	Pair Corr
0.89	EMO	Clearbridge Energy Mlp	Pair Corr
0.89	TWN	Taiwan Closed	Pair Corr
0.84	CCD	Calamos Dynamic Conv	Pair Corr
0.63	TDF	Templeton Dragon Closed	Pair Corr
0.85	SRV	Cushing Mlp Total	Pair Corr
0.75	ATWYX	Ab Tax Managed	Pair Corr
0.63	THGIX	Thornburg International	Pair Corr
0.76	ERAMX	Eaton Vance Multi	Pair Corr
0.9	WESJX	William Blair Emerging	Pair Corr
0.86	CWAAX	First Trust Managed	Pair Corr
0.79	USGFX	Us Government Securities	Pair Corr
0.81	OTIIX	T Rowe Price	Pair Corr
0.91	VAESX	Virtus Emerging Markets	Pair Corr
0.82	HJSIX	Hennessy Japan Small	Pair Corr
0.64	HCKTX	Hartford Checks	Pair Corr
0.88	FADMX	Fidelity Advisor Str	Pair Corr
0.86	SSAGX	Virtus Seix Government	Pair Corr
0.77	HASAX	Horizon Active Asset	Pair Corr
0.66	LTFIX	Principal Lifetime 2055	Pair Corr
0.88	RALSX	Growth Strategy	Pair Corr
0.67	OAZGX	Oakmark Global	Pair Corr
0.79	WIBMX	Wilmington Broad Market	Pair Corr
0.88	POAAX	Pacific Funds Portfolio	Pair Corr
0.89	JRTGX	Retirement Living Through	Pair Corr
0.74	SNOIX	Snow Capital Opportunity	Pair Corr
0.9	FCFIX	Frost Credit	Pair Corr
0.9	OEMCX	Ophmr Eml Dbt	Pair Corr
0.9	TBGVX	Tweedy Browne Global	Pair Corr
0.68	FWCGX	American Funds Capital	Pair Corr
0.72	PGEOX	George Putnam	Pair Corr
0.89	AAAAX	Deutsche Real Assets	Pair Corr

Related Correlations Analysis

	NZF	PTY	NVG	ACP-PA	ETY	NAD	EXG	YAFFX	YAFIX	ADX
NZF		0.4	0.86	0.45	-0.38	0.79	0.4	0.43	0.43	0.31	NZF
PTY	0.4		0.6	0.76	-0.03	0.44	0.56	0.46	0.46	0.5	PTY
NVG	0.86	0.6		0.73	-0.47	0.88	0.7	0.75	0.75	0.62	NVG
ACP-PA	0.45	0.76	0.73		-0.25	0.63	0.61	0.58	0.58	0.56	ACP-PA
ETY	-0.38	-0.03	-0.47	-0.25		-0.33	-0.16	-0.44	-0.44	-0.07	ETY
NAD	0.79	0.44	0.88	0.63	-0.33		0.75	0.75	0.75	0.64	NAD
EXG	0.4	0.56	0.7	0.61	-0.16	0.75		0.94	0.94	0.87	EXG
YAFFX	0.43	0.46	0.75	0.58	-0.44	0.75	0.94		1.0	0.81	YAFFX
YAFIX	0.43	0.46	0.75	0.58	-0.44	0.75	0.94	1.0		0.81	YAFIX
ADX	0.31	0.5	0.62	0.56	-0.07	0.64	0.87	0.81	0.81		ADX
	NZF	PTY	NVG	ACP-PA	ETY	NAD	EXG	YAFFX	YAFIX	ADX

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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

YAFIX	+ 1.0	YAFFX
YAFFX	+ 0.94	EXG
YAFIX	+ 0.94	EXG
NAD	+ 0.88	NVG
ADX	+ 0.87	EXG
NVG	+ 0.86	NZF

High negative correlations

ETY	- 0.47	NVG
YAFIX	- 0.44	ETY
YAFFX	- 0.44	ETY
ETY	- 0.38	NZF
NAD	- 0.33	ETY
ETY	- 0.25	ACP-PA

Risk-Adjusted Indicators

There is a big difference between Nuveen Fund performing well and Nuveen Preferred 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 Preferred'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
NZF	0.42	0.06	(0.02)	0.64	0.43	(0.46)	1.22	(0.57)	2.35
PTY	0.23	(0.02)	(0.24)	(0.03)	0.29	(0.28)	0.47	(0.47)	2.51
NVG	0.39	0.10	0.06	7.94	0.03	(0.51)	1.16	(0.67)	2.16
ACP-PA	0.41	0.02	(0.09)	0.28	0.47	(0.43)	1.03	(0.91)	2.90
ETY	0.57	(0.02)	(0.08)	0.03	0.67	(0.63)	1.19	(1.14)	3.62
NAD	0.37	0.06	(0.04)	(4.83)	0.32	(0.42)	1.01	(0.75)	2.36
EXG	0.54	0.11	0.12	0.31	0.34	(0.66)	1.22	(0.84)	3.01
YAFFX	0.78	0.58	0.64	3.55	0.00	(1.05)	1.43	(0.55)	15.86
YAFIX	0.79	0.58	0.64	3.57	0.00	(1.05)	1.44	(0.56)	16.03
ADX	0.60	0.01	(0.05)	0.10	0.62	(0.64)	1.44	(1.07)	3.00

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