Tax Managed Correlations

RTNAX Fund

USD 11.92 0.10 0.83%

The correlation of Tax Managed 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 Managed Correlation With Market

Significant diversification

The correlation between Tax Managed International Equi and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed International Equi and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Tax Managed International Equity. 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 nation.

Moving together with Tax Mutual Fund

0.94	RNTTX	International Developed	Pair Corr
0.81	RAZAX	Multi Asset Growth	Pair Corr
0.84	RAZCX	Multi Asset Growth	Pair Corr

Moving against Tax Mutual Fund

0.38	RSQAX	Us E Equity	Pair Corr
0.37	RSCRX	Us Small Cap	Pair Corr
0.34	RSECX	Us Strategic Equity	Pair Corr
0.34	RSESX	Us Strategic Equity	Pair Corr
0.33	RSEAX	Us Strategic Equity	Pair Corr
0.35	RTDTX	Select Equity	Pair Corr
0.34	RTDAX	Multifactor Equity	Pair Corr
0.34	RTDCX	Multifactor Equity	Pair Corr
0.32	RTLAX	Tax Managed Large	Pair Corr
0.31	RTDYX	Select Equity	Pair Corr
0.31	RTDSX	Select Equity	Pair Corr
0.31	RTDRX	Select Equity	Pair Corr

Related Correlations Analysis

	LCCXX	SMAAX	PYUSX	DPIGX	RFBAX	RYAQX	PGIQX
LCCXX		0.0	0.0	0.0	0.0	0.0	0.0	LCCXX
SMAAX	0.0		0.84	0.55	0.82	-0.79	0.84	SMAAX
PYUSX	0.0	0.84		0.35	0.85	-0.97	0.99	PYUSX
DPIGX	0.0	0.55	0.35		0.54	-0.23	0.29	DPIGX
RFBAX	0.0	0.82	0.85	0.54		-0.83	0.86	RFBAX
RYAQX	0.0	-0.79	-0.97	-0.23	-0.83		-0.99	RYAQX
PGIQX	0.0	0.84	0.99	0.29	0.86	-0.99		PGIQX
	LCCXX	SMAAX	PYUSX	DPIGX	RFBAX	RYAQX	PGIQX

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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

PGIQX	+ 0.99	PYUSX
PGIQX	+ 0.86	RFBAX
RFBAX	+ 0.85	PYUSX
PYUSX	+ 0.84	SMAAX
PGIQX	+ 0.84	SMAAX
RFBAX	+ 0.82	SMAAX

High negative correlations

PGIQX	- 0.99	RYAQX
RYAQX	- 0.97	PYUSX
RYAQX	- 0.83	RFBAX
RYAQX	- 0.79	SMAAX
RYAQX	- 0.23	DPIGX
PGIQX	- 0.0	LCCXX

Risk-Adjusted Indicators

There is a big difference between Tax Mutual Fund performing well and Tax Managed 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 Managed'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
LCCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SMAAX	0.12	(0.01)	(0.40)	(0.12)	0.18	(0.17)	0.20	(0.30)	0.99
PYUSX	0.11	(0.02)	0.00	(0.63)	0.00	0.00	0.21	(0.21)	0.74
DPIGX	0.04	0.00	(0.91)	(0.51)	0.00	(0.13)	0.11	(0.11)	0.42
RFBAX	0.06	(0.01)	(0.60)	1.68	0.08	(0.22)	0.20	(0.20)	0.59
RYAQX	0.60	0.11	(0.02)	(1.23)	0.60	(0.72)	1.52	(1.17)	5.23
PGIQX	0.24	(0.05)	0.00	(0.56)	0.00	0.00	0.38	(0.64)	1.41

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