Correlation Between Invesco Municipal and Blackrock Muniyield
Can any of the company-specific risk be diversified away by investing in both Invesco Municipal and Blackrock Muniyield at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Invesco Municipal and Blackrock Muniyield into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco Municipal Trust and Blackrock Muniyield, you can compare the effects of market volatilities on Invesco Municipal and Blackrock Muniyield and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Invesco Municipal with a short position of Blackrock Muniyield. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco Municipal and Blackrock Muniyield.
Diversification Opportunities for Invesco Municipal and Blackrock Muniyield
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Invesco and Blackrock is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Municipal Trust and Blackrock Muniyield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackrock Muniyield and Invesco Municipal is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Invesco Municipal Trust are associated (or correlated) with Blackrock Muniyield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackrock Muniyield has no effect on the direction of Invesco Municipal i.e., Invesco Municipal and Blackrock Muniyield go up and down completely randomly.
Pair Corralation between Invesco Municipal and Blackrock Muniyield
Considering the 90-day investment horizon Invesco Municipal is expected to generate 2.22 times less return on investment than Blackrock Muniyield. But when comparing it to its historical volatility, Invesco Municipal Trust is 1.0 times less risky than Blackrock Muniyield. It trades about 0.04 of its potential returns per unit of risk. Blackrock Muniyield is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 1,110 in Blackrock Muniyield on August 28, 2024 and sell it today you would earn a total of 13.00 from holding Blackrock Muniyield or generate 1.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco Municipal Trust vs. Blackrock Muniyield
Performance |
| Timeline |
| Invesco Municipal Trust |
| Blackrock Muniyield |
Invesco Municipal and Blackrock Muniyield Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco Municipal and Blackrock Muniyield
The main advantage of trading using opposite Invesco Municipal and Blackrock Muniyield positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco Municipal position performs unexpectedly, Blackrock Muniyield can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Blackrock Muniyield will offset losses from the drop in Blackrock Muniyield's long position.| Invesco Municipal vs. Invesco Trust For | Invesco Municipal vs. Invesco Quality Municipal | Invesco Municipal vs. Invesco Municipal Opportunity | Invesco Municipal vs. MFS High Income |
| Blackrock Muniyield vs. DTF Tax Free | Blackrock Muniyield vs. MFS High Yield | Blackrock Muniyield vs. MFS High Income | Blackrock Muniyield vs. John Hancock Income |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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