North Carolina Correlations

NTFIX Fund

USD 10.75 0.04 0.37%

The current 90-days correlation between North Carolina Tax and Calvert Conservative Allocation is 0.45 (i.e., Very weak diversification). The correlation of North Carolina 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.

North Carolina Correlation With Market

Average diversification

The correlation between North Carolina Tax Free and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding North Carolina Tax Free 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 North Carolina Tax Free. 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 gross domestic product.

Moving together with North Mutual Fund

0.65	KYSMX	Kentucky Tax Free	Pair Corr
0.69	NTSMX	North Carolina Tax	Pair Corr
0.93	KYTFX	Kentucky Tax Free	Pair Corr
0.92	TNTIX	Tennessee Tax Free	Pair Corr
0.92	DUALX	Alabama Tax Free	Pair Corr
0.94	DUMSX	Mississippi Tax Free	Pair Corr
0.89	DUTMX	Taxable Municipal Bond	Pair Corr
0.9	HICOX	Colorado Bondshares	Pair Corr
0.91	UVABX	Virginia Bond	Pair Corr
0.93	HULYX	Hawaiian Tax Free	Pair Corr
0.93	HULFX	Hawaiian Tax Free	Pair Corr
0.93	ORTYX	Aquila Tax Free	Pair Corr
0.91	UVAIX	Usaa Virginia Bond	Pair Corr
0.92	USVAX	Virginia Bond	Pair Corr
0.92	HULAX	Hawaiian Tax Free	Pair Corr
0.62	BHYSX	Blackrock Hi Yld	Pair Corr
0.73	PRRIX	Real Return Fund	Pair Corr
0.81	BILDX	Doubleline Infrastructure	Pair Corr
0.61	HERAX	Hartford Emerging Markets	Pair Corr
0.62	MGEMX	Emerging Markets Por	Pair Corr
0.61	TEDTX	Tiaa Cref Emerging	Pair Corr
0.69	MRSHX	Mfs Research Interna	Pair Corr
0.78	FRIMX	Fidelity Income Repl	Pair Corr

Moving against North Mutual Fund

0.5	RYCQX	Inverse Russell 2000	Pair Corr
0.33	SWGXX	Schwab Government Money	Pair Corr

Related Correlations Analysis

	CAARX	FHCOX	BICPX	TFCAX	MDBSX	HIIDX	MDBLX
CAARX		0.24	0.99	0.3	0.89	0.96	0.89	CAARX
FHCOX	0.24		0.29	0.96	0.28	0.33	0.27	FHCOX
BICPX	0.99	0.29		0.36	0.91	0.97	0.91	BICPX
TFCAX	0.3	0.96	0.36		0.35	0.39	0.33	TFCAX
MDBSX	0.89	0.28	0.91	0.35		0.88	1.0	MDBSX
HIIDX	0.96	0.33	0.97	0.39	0.88		0.87	HIIDX
MDBLX	0.89	0.27	0.91	0.33	1.0	0.87		MDBLX
	CAARX	FHCOX	BICPX	TFCAX	MDBSX	HIIDX	MDBLX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between North Mutual Fund performing well and North Carolina 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 North Carolina'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
CAARX	0.28	0.03	0.11	0.08	0.35	(0.29)	0.67	(0.49)	2.05
FHCOX	0.05	0.01	0.00	(1.89)	0.00	0.00	0.10	(0.10)	0.50
BICPX	0.24	0.03	0.12	0.10	0.24	(0.32)	0.63	(0.45)	1.80
TFCAX	0.03	0.00	0.00	0.51	0.00	0.00	0.10	0.00	0.40
MDBSX	0.23	0.04	0.19	0.45	0.09	(0.32)	0.75	(0.38)	1.38
HIIDX	0.54	0.05	0.08	0.09	0.68	(0.54)	1.14	(0.95)	3.01
MDBLX	0.25	0.03	0.18	0.41	0.16	(0.31)	0.61	(0.38)	1.37

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