Municipal Bond Correlations

SMBAX Fund

USD 8.74 0.02 0.23%

The current 90-days correlation between Municipal Bond Portfolio and Vanguard Intermediate Term Tax Exempt is 0.95 (i.e., Almost no diversification). The correlation of Municipal Bond 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.

Municipal Bond Correlation With Market

Very good diversification

The correlation between Municipal Bond Portfolio and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Municipal Bond Portfolio 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 Municipal Bond Portfolio. 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 Municipal Mutual Fund

0.88	SIBPX	Investment Quality Bond	Pair Corr
0.99	SMBCX	Municipal Bond Portfolio	Pair Corr
1.0	SMBPX	Municipal Bond Portfolio	Pair Corr

Moving against Municipal Mutual Fund

0.58	SFPCX	Financial Services	Pair Corr
0.58	SFPAX	Financial Services	Pair Corr
0.58	SFPIX	Financial Services	Pair Corr
0.52	STPAX	Technology Communications	Pair Corr
0.52	STPCX	Technology Communications	Pair Corr
0.52	STPIX	Technology Communications	Pair Corr
0.48	SABIX	Aggressive Balanced	Pair Corr
0.47	SABAX	Salient Alternative Beta	Pair Corr
0.46	SABCX	Salient Alternative Beta	Pair Corr
0.45	SAMIX	Moderately Aggressive	Pair Corr
0.45	SBMIX	Moderate Balanced	Pair Corr
0.44	SAMAX	Moderately Aggressive	Pair Corr
0.44	SAMCX	Salient Mlp Fund	Pair Corr
0.44	SBMCX	Moderate Balanced	Pair Corr
0.41	SSCPX	Small Capitalization	Pair Corr
0.41	SSCYX	Small Capitalization	Pair Corr
0.41	SBCCX	Moderately Servative	Pair Corr
0.39	SSCCX	Small Capitalization	Pair Corr
0.6	KSOCX	Kinetics Small Cap Steady Growth	Pair Corr
0.6	KSCYX	Kinetics Small Cap	Pair Corr
0.58	SLCVX	Large Cap Value	Pair Corr
0.58	SLVCX	Large Cap Value	Pair Corr
0.58	SLVYX	Large Cap Value	Pair Corr
0.53	SLCGX	Large Capitalization	Pair Corr
0.52	SLGCX	Large Capitalization	Pair Corr
0.52	SLGYX	Large Capitalization	Pair Corr
0.51	SMIPX	Mid Capitalization	Pair Corr
0.51	SPMAX	Mid Capitalization	Pair Corr

Related Correlations Analysis

	VWITX	TEBCX	MDNLX	444859BR2	AQUI	LBHIX	MSTSX	ABHYX	VIASP	AAEVX
VWITX		1.0	0.98	0.23	0.0	0.31	0.03	0.93	-0.28	-0.18	VWITX
TEBCX	1.0		0.98	0.2	0.0	0.33	0.05	0.94	-0.24	-0.15	TEBCX
MDNLX	0.98	0.98		0.19	0.0	0.35	0.02	0.92	-0.19	-0.15	MDNLX
444859BR2	0.23	0.2	0.19		0.0	-0.54	-0.45	-0.03	-0.46	-0.65	444859BR2
AQUI	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
LBHIX	0.31	0.33	0.35	-0.54	0.0		0.68	0.56	0.26	0.73	LBHIX
MSTSX	0.03	0.05	0.02	-0.45	0.0	0.68		0.27	-0.05	0.81	MSTSX
ABHYX	0.93	0.94	0.92	-0.03	0.0	0.56	0.27		-0.12	0.1	ABHYX
VIASP	-0.28	-0.24	-0.19	-0.46	0.0	0.26	-0.05	-0.12		0.47	VIASP
AAEVX	-0.18	-0.15	-0.15	-0.65	0.0	0.73	0.81	0.1	0.47		AAEVX
	VWITX	TEBCX	MDNLX	444859BR2	AQUI	LBHIX	MSTSX	ABHYX	VIASP	AAEVX

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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

TEBCX	+ 1.0	VWITX
MDNLX	+ 0.98	VWITX
MDNLX	+ 0.98	TEBCX
ABHYX	+ 0.94	TEBCX
ABHYX	+ 0.93	VWITX
ABHYX	+ 0.92	MDNLX

High negative correlations

AAEVX	- 0.65	444859BR2
LBHIX	- 0.54	444859BR2
VIASP	- 0.46	444859BR2
MSTSX	- 0.45	444859BR2
VIASP	- 0.28	VWITX
VIASP	- 0.24	TEBCX

Risk-Adjusted Indicators

There is a big difference between Municipal Mutual Fund performing well and Municipal Bond 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 Municipal Bond'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
VWITX	0.12	0.01	(0.39)	0.00	0.16	(0.16)	0.22	(0.22)	1.03
TEBCX	0.13	0.01	(0.31)	(0.03)	0.20	(0.17)	0.32	(0.32)	1.29
MDNLX	0.14	0.01	(0.36)	(0.07)	0.15	(0.19)	0.30	(0.29)	1.09
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.22)	(0.11)	0.25	(0.24)	0.34	(0.33)	1.91
VIASP	0.75	0.08	(0.03)	(1.87)	1.12	(0.82)	2.28	(1.20)	7.18
AAEVX	0.49	(0.02)	(0.09)	0.08	0.53	(0.59)	0.93	(0.77)	2.76

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