California Tax-free Correlations

SCTCX Fund

USD 10.96 0.02 0.18%

The current 90-days correlation between California Tax Free and Wells Fargo Advantage is 0.94 (i.e., Almost no diversification). The correlation of California Tax-free 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.

California Tax-free Correlation With Market

Average diversification

The correlation between California Tax Free Fund and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding California Tax Free Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in California Tax Free Fund. 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 main economic indicators.

Moving together with California Mutual Fund

0.96	DHICX	Wells Fargo Advantage	Pair Corr
0.94	VMPYX	Wells Fargo Advantage	Pair Corr
0.94	VMPAX	Wells Fargo Advantage	Pair Corr
0.61	SSTVX	Wells Fargo Short	Pair Corr
0.73	WSBIX	Short Term Municipal	Pair Corr
0.63	WSGIX	Wells Fargo Short	Pair Corr
0.73	WSIAX	Wells Fargo Strategic	Pair Corr
0.73	WSIDX	Wells Fargo Strategic	Pair Corr
0.7	WSICX	Wells Fargo Strategic	Pair Corr
0.64	WSINX	Wells Fargo Strategic	Pair Corr
0.81	WSMAX	Short Term Municipal	Pair Corr
0.92	WSSCX	Short Term Municipal	Pair Corr
0.72	WSTMX	Short Term Municipal	Pair Corr
0.87	STRIX	Wells Fargo Advantage	Pair Corr
0.64	STYAX	Wells Fargo Income	Pair Corr
0.99	SCTAX	California Tax Free	Pair Corr

Related Correlations Analysis

	DHICX	VMPYX	VMPAX	SADAX	SADIX	EMGYX	EMGNX	EMGCX	EMGAX	SSHIX
DHICX		0.97	0.98	-0.02	-0.04	0.33	0.33	0.28	0.33	0.57	DHICX
VMPYX	0.97		0.98	0.12	0.1	0.31	0.31	0.26	0.31	0.59	VMPYX
VMPAX	0.98	0.98		0.13	0.1	0.29	0.29	0.24	0.29	0.59	VMPAX
SADAX	-0.02	0.12	0.13		0.98	0.15	0.15	0.15	0.14	0.12	SADAX
SADIX	-0.04	0.1	0.1	0.98		0.19	0.2	0.2	0.19	0.06	SADIX
EMGYX	0.33	0.31	0.29	0.15	0.19		1.0	0.95	1.0	0.4	EMGYX
EMGNX	0.33	0.31	0.29	0.15	0.2	1.0		0.95	1.0	0.4	EMGNX
EMGCX	0.28	0.26	0.24	0.15	0.2	0.95	0.95		0.95	0.3	EMGCX
EMGAX	0.33	0.31	0.29	0.14	0.19	1.0	1.0	0.95		0.4	EMGAX
SSHIX	0.57	0.59	0.59	0.12	0.06	0.4	0.4	0.3	0.4		SSHIX
	DHICX	VMPYX	VMPAX	SADAX	SADIX	EMGYX	EMGNX	EMGCX	EMGAX	SSHIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

EMGNX	+ 1.0	EMGYX
EMGAX	+ 1.0	EMGYX
EMGAX	+ 1.0	EMGNX
VMPAX	+ 0.98	DHICX
VMPAX	+ 0.98	VMPYX
SADIX	+ 0.98	SADAX

High negative correlations

SADIX	- 0.04	DHICX
SADAX	- 0.02	DHICX

Risk-Adjusted Indicators

There is a big difference between California Mutual Fund performing well and California Tax-free 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 California Tax-free'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
DHICX	0.09	0.00	(0.39)	0.08	0.07	(0.15)	0.23	(0.22)	0.79
VMPYX	0.10	0.00	(0.39)	0.22	0.04	(0.16)	0.23	(0.22)	0.79
VMPAX	0.10	0.00	(0.37)	0.31	0.05	(0.15)	0.23	(0.23)	0.79
SADAX	0.06	0.01	(0.77)	(0.72)	0.00	(0.17)	0.11	(0.11)	0.46
SADIX	0.06	0.01	(0.73)	(1.37)	0.00	(0.18)	0.11	(0.11)	0.57
EMGYX	0.67	(0.02)	(0.08)	0.05	0.98	(0.64)	1.28	(1.76)	5.15
EMGNX	0.67	(0.02)	(0.08)	0.05	0.99	(0.62)	1.23	(1.75)	5.20
EMGCX	0.65	0.01	(0.10)	0.01	0.98	(0.61)	1.27	(1.75)	5.16
EMGAX	0.67	(0.02)	(0.09)	0.05	0.97	(0.64)	1.28	(1.75)	5.16
SSHIX	0.08	0.00	(0.70)	0.04	0.00	(0.14)	0.23	(0.12)	0.59

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC