Tax Managed Correlations

RTSSX Fund

USD 44.24 0.46 1.03%

The current 90-days correlation between Tax Managed Mid and Federated Hermes Inflation is 0.16 (i.e., Average diversification). 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

Very poor diversification

The correlation between Tax Managed Mid Small and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Mid Small 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 Mid Small. 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 state.

Moving together with Tax Mutual Fund

0.84	RALAX	Growth Strategy	Pair Corr
0.83	RALCX	Growth Strategy	Pair Corr
0.85	RALSX	Growth Strategy	Pair Corr
0.76	RALRX	Growth Strategy	Pair Corr
0.77	RALUX	Growth Strategy	Pair Corr
0.84	RALVX	Growth Strategy	Pair Corr
1.0	RSCRX	Us Small Cap	Pair Corr
0.9	RSEAX	Us Strategic Equity	Pair Corr
0.95	RSESX	Us Strategic Equity	Pair Corr
0.96	RSQAX	Us E Equity	Pair Corr
0.71	RBLAX	Balanced Strategy	Pair Corr
0.72	RBLSX	Balanced Strategy	Pair Corr
0.62	RBLVX	Balanced Strategy	Pair Corr
0.71	RBLRX	Balanced Strategy	Pair Corr
0.95	RTDAX	Multifactor Equity	Pair Corr
0.95	RTDCX	Multifactor Equity	Pair Corr
0.9	RTDYX	Select Equity	Pair Corr
0.9	RTDSX	Select Equity	Pair Corr
0.95	RTDRX	Select Equity	Pair Corr

Moving against Tax Mutual Fund

0.59	RSYTX	Strategic Bond	Pair Corr
0.58	RRSCX	Global Real Estate	Pair Corr
0.57	RREAX	Global Real Estate Potential Growth	Pair Corr
0.57	RREYX	Global Real Estate	Pair Corr
0.57	RRSRX	Global Real Estate	Pair Corr
0.56	RNTTX	International Developed	Pair Corr
0.56	RSBRX	Strategic Bond	Pair Corr
0.55	RRESX	Global Real Estate	Pair Corr
0.39	RSBCX	Short Duration Bond	Pair Corr
0.36	RSBTX	Short Duration Bond	Pair Corr
0.53	RTISX	Select International	Pair Corr
0.52	RTIYX	Select International	Pair Corr
0.49	RTITX	Select International	Pair Corr
0.49	RTNAX	Tax Managed Internat	Pair Corr
0.49	RTNCX	Tax Managed Internat	Pair Corr
0.48	RTIRX	Select International	Pair Corr
0.46	RTIUX	Tax Managed Internat	Pair Corr
0.46	RTNSX	Tax Managed Internat	Pair Corr

Related Correlations Analysis

	FIPRX	FIBLX	ABNCX	ATACX	SWRSX	SLFYX	ABNTX
FIPRX		0.94	0.98	-0.02	0.95	0.58	0.96	FIPRX
FIBLX	0.94		0.94	-0.08	0.99	0.67	0.93	FIBLX
ABNCX	0.98	0.94		-0.1	0.95	0.64	0.99	ABNCX
ATACX	-0.02	-0.08	-0.1		-0.03	-0.11	-0.11	ATACX
SWRSX	0.95	0.99	0.95	-0.03		0.64	0.93	SWRSX
SLFYX	0.58	0.67	0.64	-0.11	0.64		0.66	SLFYX
ABNTX	0.96	0.93	0.99	-0.11	0.93	0.66		ABNTX
	FIPRX	FIBLX	ABNCX	ATACX	SWRSX	SLFYX	ABNTX

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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

SWRSX	+ 0.99	FIBLX
ABNTX	+ 0.99	ABNCX
ABNCX	+ 0.98	FIPRX
ABNTX	+ 0.96	FIPRX
SWRSX	+ 0.95	FIPRX
SWRSX	+ 0.95	ABNCX

High negative correlations

ABNTX	- 0.11	ATACX
SLFYX	- 0.11	ATACX
ATACX	- 0.1	ABNCX
ATACX	- 0.08	FIBLX
SWRSX	- 0.03	ATACX
ATACX	- 0.02	FIPRX

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
FIPRX	0.22	(0.04)	0.00	(0.82)	0.00	0.00	0.40	(0.51)	1.20
FIBLX	0.21	(0.02)	0.00	(0.58)	0.00	0.00	0.32	(0.43)	1.26
ABNCX	0.13	(0.03)	0.00	(0.62)	0.00	0.00	0.20	(0.30)	0.89
ATACX	1.05	(0.10)	(0.04)	0.03	1.28	(1.08)	2.24	(2.15)	9.46
SWRSX	0.20	(0.03)	0.00	(0.65)	0.00	0.00	0.29	(0.49)	1.07
SLFYX	0.19	(0.01)	(0.34)	(0.17)	0.22	(0.25)	0.38	(0.50)	1.12
ABNTX	0.14	(0.02)	0.00	(0.86)	0.00	0.00	0.29	(0.30)	0.88

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