Taxable Municipal Correlations

DUTMX Fund

USD 7.41 0.02 0.27%

The current 90-days correlation between Taxable Municipal Bond and Tennessee Tax Free Income is 0.52 (i.e., Very weak diversification). The correlation of Taxable 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.

Taxable Municipal Correlation With Market

Significant diversification

The correlation between Taxable Municipal Bond and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Taxable Municipal Bond and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Taxable Municipal Bond. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Taxable Mutual Fund

0.67	NTFIX	North Carolina Tax	Pair Corr
0.93	KYSMX	Kentucky Tax Free	Pair Corr
0.89	NTSMX	North Carolina Tax	Pair Corr
0.72	KYTFX	Kentucky Tax Free	Pair Corr
0.9	DPIGX	Intermediate Government	Pair Corr
0.69	DUMSX	Mississippi Tax Free	Pair Corr
0.89	TTSMX	Tennessee Tax Free	Pair Corr
0.96	VWETX	Vanguard Long Term	Pair Corr
0.96	VWESX	Vanguard Long Term	Pair Corr
0.98	VBLAX	Vanguard Long Term	Pair Corr
0.98	VBLLX	Vanguard Long Term	Pair Corr
0.98	VBLIX	Vanguard Long Term	Pair Corr
0.97	SLDAX	Siit Long Duration	Pair Corr
0.94	VLTCX	Vanguard Long Term	Pair Corr
0.94	VLCIX	Vanguard Long Term	Pair Corr
0.99	PLRIX	Pimco Long Term	Pair Corr
0.99	PLRPX	Pimco Long Duration	Pair Corr
0.83	VDMCX	Virtus Kar Developing	Pair Corr
0.62	FAJJX	Fajjx	Pair Corr
0.83	SSTHX	Wells Fargo Short	Pair Corr
0.86	HILIX	Hartford Interna	Pair Corr
0.64	COMVX	Comstock Capital Value	Pair Corr
0.98	PRICX	Prudential Government	Pair Corr
0.87	SWISX	Schwab International	Pair Corr
0.99	JADKX	John Hancock Variable	Pair Corr
0.86	DVRCX	Mfs Global Alternative	Pair Corr

Moving against Taxable Mutual Fund

0.73	SMPIX	Semiconductor Ultrasector	Pair Corr
0.7	SMPSX	Semiconductor Ultrasector	Pair Corr
0.62	RGNCX	Victory Global Natural	Pair Corr
0.61	RSNYX	Victory Global Natural	Pair Corr
0.61	RSNRX	Victory Global Natural	Pair Corr

Related Correlations Analysis

	TNTIX	DUALX	DUMSX	DUTMX	NTFIX	NTSMX	KYTFX	TTSMX	DPIGX
TNTIX		0.99	0.98	0.58	0.99	0.55	0.98	0.54	0.35	TNTIX
DUALX	0.99		0.98	0.6	0.99	0.54	0.97	0.54	0.35	DUALX
DUMSX	0.98	0.98		0.69	1.0	0.66	0.99	0.66	0.48	DUMSX
DUTMX	0.58	0.6	0.69		0.67	0.89	0.72	0.89	0.9	DUTMX
NTFIX	0.99	0.99	1.0	0.67		0.65	0.99	0.64	0.45	NTFIX
NTSMX	0.55	0.54	0.66	0.89	0.65		0.69	0.99	0.93	NTSMX
KYTFX	0.98	0.97	0.99	0.72	0.99	0.69		0.69	0.52	KYTFX
TTSMX	0.54	0.54	0.66	0.89	0.64	0.99	0.69		0.93	TTSMX
DPIGX	0.35	0.35	0.48	0.9	0.45	0.93	0.52	0.93		DPIGX
	TNTIX	DUALX	DUMSX	DUTMX	NTFIX	NTSMX	KYTFX	TTSMX	DPIGX

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Risk-Adjusted Indicators

There is a big difference between Taxable Mutual Fund performing well and Taxable Municipal 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 Taxable 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
TNTIX	0.21	(0.03)	0.00	(0.58)	0.00	0.00	0.39	(0.67)	1.34
DUALX	0.22	(0.03)	0.00	(0.52)	0.00	0.00	0.44	(0.70)	1.49
DUMSX	0.16	(0.02)	0.00	(0.41)	0.00	0.00	0.36	(0.55)	1.19
DUTMX	0.33	0.02	0.19	0.43	0.32	(0.41)	0.81	(0.68)	2.20
NTFIX	0.15	(0.02)	0.00	(0.54)	0.00	0.00	0.28	(0.56)	1.03
NTSMX	0.04	0.00	0.55	(0.60)	0.00	(0.11)	0.10	(0.10)	0.29
KYTFX	0.18	(0.02)	0.00	(0.38)	0.00	0.00	0.42	(0.56)	1.12
TTSMX	0.03	0.00	0.49	(0.40)	0.00	(0.12)	0.10	(0.10)	0.29
DPIGX	0.08	0.01	0.64	2.32	0.00	(0.14)	0.21	(0.11)	0.53

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