Nuveen Municipal Correlations

NMZ Fund

USD 10.96 0.03 0.27%

The current 90-days correlation between Nuveen Municipal High and Dreyfusstandish Global Fixed is 0.43 (i.e., Very weak diversification). The correlation of Nuveen 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.

Nuveen Municipal Correlation With Market

Weak diversification

The correlation between Nuveen Municipal High and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Municipal High 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 Municipal High. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Nuveen Fund

0.83	XDSMX	Dreyfus Strategic	Pair Corr
0.85	XNXJX	Nuveen New Jersey	Pair Corr
0.82	NXJ	Nuveen New Jersey	Pair Corr
0.78	PCF	Putnam High Income	Pair Corr
0.79	XNBHX	Neuberger Berman Int	Pair Corr
0.63	ORIGX	Oak Ridge Small	Pair Corr
0.66	FHIFX	Fidelity Focused High	Pair Corr
0.62	QUAKX	Ab Small Cap	Pair Corr
0.64	STBDX	Sierra Tactical Bond	Pair Corr

Moving against Nuveen Fund

0.32	BUBIX	Baird Ultra Short	Pair Corr
0.56	CBHAX	Victory Cemp Market	Pair Corr
0.56	HIMUX	Pioneer Map High	Pair Corr
0.31	SHRMX	Stone Ridge High	Pair Corr

Related Correlations Analysis

	SDGIX	PBLIX	OPTCX	RETSX	XAWFX
SDGIX		0.56	0.4	0.65	0.73	SDGIX
PBLIX	0.56		-0.03	0.69	0.89	PBLIX
OPTCX	0.4	-0.03		0.68	0.02	OPTCX
RETSX	0.65	0.69	0.68		0.64	RETSX
XAWFX	0.73	0.89	0.02	0.64		XAWFX
	SDGIX	PBLIX	OPTCX	RETSX	XAWFX

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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

XAWFX	+ 0.89	PBLIX
XAWFX	+ 0.73	SDGIX
RETSX	+ 0.69	PBLIX
RETSX	+ 0.68	OPTCX
RETSX	+ 0.65	SDGIX
XAWFX	+ 0.64	RETSX

High negative correlations

OPTCX

- 0.03

PBLIX

Risk-Adjusted Indicators

There is a big difference between Nuveen Fund performing well and Nuveen Municipal 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 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
SDGIX	0.16	(0.01)	0.00	(0.18)	0.00	0.00	0.35	(0.30)	0.94
PBLIX	0.51	(0.04)	0.00	(0.13)	0.00	0.00	0.97	(1.24)	3.61
OPTCX	0.14	0.02	0.01	0.47	0.00	(0.20)	0.31	(0.31)	1.35
RETSX	0.55	0.01	0.00	0.05	0.80	(0.56)	1.19	(1.46)	5.40
XAWFX	0.13	(0.01)	0.00	(0.50)	0.00	0.00	0.18	(0.44)	0.88

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