Northern California Correlations

NCATX Fund  USD 10.43  0.08  0.76%   
The current 90-days correlation between Northern California Tax and Northern Bond Index is 0.65 (i.e., Poor diversification). The correlation of Northern California 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.

Northern California Correlation With Market

Good diversification

The correlation between Northern California Tax Exempt and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Northern California Tax Exempt 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 Northern California Tax Exempt. 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 estimate.

Moving together with Northern Mutual Fund

  0.71NOBOX Northern Bond IndexPairCorr
  0.71NOCBX Northern E BondPairCorr
  1.0NOAZX Northern Arizona TaxPairCorr
  0.74NOFIX Northern Fixed IncomePairCorr
  0.61NOIGX Northern InternationalPairCorr
  0.99NOITX Northern IntermediatePairCorr
  1.0NOTEX Northern Tax ExemptPairCorr
  0.67NOUGX Northern GovernmentPairCorr
  0.66BSBAX Northern Short BondPairCorr
  0.69BBALX Northern Global TacticalPairCorr
  0.68BTIAX Northern Ustreasury IndexPairCorr
  0.69NSIUX Northern Short InterPairCorr
  0.97NSITX Northern Short InterPairCorr
  1.0NCITX Northern CaliforniaPairCorr
  0.76NHFIX Northern High YieldPairCorr
  0.94NHYMX Northern High YieldPairCorr

Moving against Northern Mutual Fund

  0.44XNKGX Nuveen Georgia QualityPairCorr

Related Correlations Analysis

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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   
NOCBXNOBOX
NOFIXNOBOX
NOFIXNOCBX
NOITXNOAZX
NOINXNOIGX
NOINXNOBOX
  
High negative correlations   
NOINXNOIEX
NOIEXNOEMX
NOIEXNOCBX
NOIEXNOBOX
NOIEXNOFIX
NOIGXNOIEX

Risk-Adjusted Indicators

There is a big difference between Northern Mutual Fund performing well and Northern California 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 Northern California'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
NOBOX  0.23 (0.07) 0.00 (2.60) 0.00 
 0.43 
 1.53 
NOCBX  0.24 (0.07) 0.00 (3.99) 0.00 
 0.45 
 1.58 
NOAZX  0.17 (0.04) 0.00  0.89  0.00 
 0.31 
 1.45 
NOEMX  0.72 (0.08) 0.00 (0.45) 0.00 
 1.53 
 5.43 
NOFIX  0.23 (0.07) 0.00 (2.39) 0.00 
 0.45 
 1.58 
NOIEX  0.46  0.02  0.02  0.05  0.70 
 0.84 
 4.80 
NOIGX  0.63 (0.19) 0.00 (0.66) 0.00 
 1.14 
 6.88 
NOINX  0.64 (0.19) 0.00 (0.72) 0.00 
 0.97 
 6.24 
NOITX  0.15 (0.03) 0.00  1.32  0.00 
 0.30 
 1.23 
NOMIX  0.81 (0.17) 0.00 (0.12) 0.00 
 1.60 
 13.20