Tax Exempt Correlations
| AFTFX Fund | USD 12.36 0.02 0.16% |
The current 90-days correlation between Tax Exempt Bond and Franklin Federal Tax Free is 0.98 (i.e., Almost no diversification). The correlation of Tax Exempt 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.
Tax Exempt Correlation With Market
Average diversification
The correlation between Tax Exempt Bond and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt Bond and DJI in the same portfolio, assuming nothing else is changed.
Tax |
Moving together with Tax Mutual Fund
| 0.72 | AMECX | Income Fund | PairCorr |
| 0.66 | AMFFX | American Mutual | PairCorr |
| 0.73 | RNCCX | American Funds Income | PairCorr |
| 0.67 | FPPPX | American Funds Prese | PairCorr |
| 0.71 | AMEFX | Income Fund | PairCorr |
| 0.98 | AMHIX | American High Income | PairCorr |
| 0.91 | TEBCX | Tax Exempt Bond | PairCorr |
| 0.98 | TECCX | Tax Exempt Fund | PairCorr |
| 1.0 | TEAFX | Tax Exempt Bond | PairCorr |
| 0.73 | FPTPX | American Funds Conse | PairCorr |
| 0.99 | TECFX | Tax Exempt Fund | PairCorr |
| 0.99 | TEFEX | Tax Exempt Fund | PairCorr |
| 0.72 | RNRPX | American Funds Retirement | PairCorr |
| 0.76 | AMUSX | Us Government Securities | PairCorr |
| 0.86 | TEPCX | American Funds Tax | PairCorr |
| 0.87 | TEPAX | American Funds Tax | PairCorr |
| 0.88 | TEPFX | American Funds Tax | PairCorr |
Related Correlations Analysis
| 0.81 | 0.94 | 0.54 | 0.32 | FAFTX | ||
| 0.81 | 0.95 | 0.77 | 0.29 | LTMIX | ||
| 0.94 | 0.95 | 0.7 | 0.36 | PRSMX | ||
| 0.54 | 0.77 | 0.7 | 0.65 | AIIYX | ||
| 0.32 | 0.29 | 0.36 | 0.65 | HDGIX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Tax Mutual Fund performing well and Tax Exempt 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 Tax Exempt'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FAFTX | 0.19 | (0.02) | 0.00 | (0.57) | 0.00 | 0.37 | 1.11 | |||
| LTMIX | 0.09 | 0.00 | 0.40 | (0.12) | 0.06 | 0.22 | 0.60 | |||
| PRSMX | 0.14 | (0.01) | 0.00 | (0.44) | 0.00 | 0.27 | 0.80 | |||
| AIIYX | 0.67 | 0.07 | 0.10 | 0.05 | 0.93 | 1.45 | 4.62 | |||
| HDGIX | 0.56 | 0.01 | 0.00 | (0.05) | 0.00 | 1.10 | 2.98 |