IIM vs VGM: Correlation
How closely do Invesco Value Municipal Income Trust (IIM) and Invesco Trust for Investment Grade Municipals (VGM) trade together? Their weekly returns over three years give a correlation of 0.86, which is very strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are IIM and VGM?
Over the past 3 years, IIM and VGM moved with a correlation of 0.86, which is very strong, meaning they move nearly in lockstep. Recent behaviour matches the longer record: 0.76 over 1 year against 0.86 over 3. Over 5 years the correlation is 0.82, and the annualized covariance of weekly returns is 132.5 %².
Among the 17 assets we track against IIM, VGM ranks #4 by 3-year correlation. Their 12-month results are close: +16.5% for IIM against +17.3% for VGM.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
IIM vs VGM: side by side
| IIM (Invesco Value Municipal Income Trust) | VGM (Invesco Trust for Investment Grade Municipals) | |
|---|---|---|
| 1-year return | +16.5% | +17.3% |
| 5-year return | +0.6% | -0.8% |
| Volatility (ann.) | 12.7% | 12.2% |
| Beta vs S&P 500 | 0.31 | 0.30 |
| Max drawdown (3Y) | -13.2% | -11.5% |
| Market cap | $0.6B | $0.6B |
| P/E (trailing) | 31.6 | 33.5 |
| Dividend yield | 7.32% | 7.51% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | IIM | VGM |
|---|---|---|
| 2022 | -25.4% | -24.2% |
| 2023 | +2.1% | +3.0% |
| 2024 | +8.1% | +8.8% |
| 2025 | +11.9% | +11.1% |
| 2026 | +7.6% | +5.3% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are IIM and VGM good diversifiers for each other?
No. With a correlation of 0.86, IIM and VGM move nearly in lockstep, so holding both adds very little diversification.
FAQ
What is the correlation between IIM and VGM?
The IIM/VGM correlation stands at 0.86 on a 3-year window (1 year: 0.76, 5 years: 0.82), computed from weekly returns as of 2026-08-27.
Is VGM a good diversifier for IIM?
No. With a correlation of 0.86, IIM and VGM move nearly in lockstep, so holding both adds very little diversification.
What does a correlation of 0.86 mean?
A reading of 0.86 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
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Related comparisons
Hubs: IIM correlations · VGM correlations
