Tax Exempt Correlations

TEFEX Fund

USD 16.65 0.03 0.18%

The current 90-days correlation between Tax Exempt Fund and Ft 7934 Corporate is 0.33 (i.e., Weak diversification). The correlation of Tax Exempt 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 Exempt Correlation With Market

Significant diversification

The correlation between Tax Exempt Fund Of and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt Fund Of 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 Tax Exempt Fund Of. 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 income.

Moving together with Tax Mutual Fund

0.69	AMECX	Income Fund	Pair Corr
0.7	RNCCX	American Funds Income	Pair Corr
0.71	FPPPX	American Funds Prese	Pair Corr
0.69	AMEFX	Income Fund	Pair Corr
0.98	AMHIX	American High Income	Pair Corr
0.99	TEBCX	Tax Exempt Bond	Pair Corr
0.99	TECCX	Tax Exempt Fund	Pair Corr
0.99	TEAFX	Tax Exempt Bond	Pair Corr
0.7	FPTPX	American Funds Conse	Pair Corr
1.0	TECFX	Tax Exempt Fund	Pair Corr
0.71	RNRPX	American Funds Retirement	Pair Corr
0.71	AMUSX	Us Government Securities	Pair Corr
0.9	TEPCX	American Funds Tax	Pair Corr
0.88	TEPAX	American Funds Tax	Pair Corr
0.88	TEPFX	American Funds Tax	Pair Corr

Related Correlations Analysis

	FZNQEX	FZNOPX	TBLDX	PRVBX	FTUFOX	XHYIX	OPTCX	WABMSX
FZNQEX		-0.31	0.35	0.85	0.81	-0.03	0.59	0.09	FZNQEX
FZNOPX	-0.31		0.58	-0.14	-0.39	0.57	-0.11	0.72	FZNOPX
TBLDX	0.35	0.58		0.46	0.19	0.54	0.42	0.93	TBLDX
PRVBX	0.85	-0.14	0.46		0.56	-0.18	0.78	0.25	PRVBX
FTUFOX	0.81	-0.39	0.19	0.56		0.05	0.21	0.12	FTUFOX
XHYIX	-0.03	0.57	0.54	-0.18	0.05		-0.26	0.57	XHYIX
OPTCX	0.59	-0.11	0.42	0.78	0.21	-0.26		0.19	OPTCX
WABMSX	0.09	0.72	0.93	0.25	0.12	0.57	0.19		WABMSX
	FZNQEX	FZNOPX	TBLDX	PRVBX	FTUFOX	XHYIX	OPTCX	WABMSX

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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

WABMSX	+ 0.93	TBLDX
PRVBX	+ 0.85	FZNQEX
FTUFOX	+ 0.81	FZNQEX
OPTCX	+ 0.78	PRVBX
WABMSX	+ 0.72	FZNOPX
OPTCX	+ 0.59	FZNQEX

High negative correlations

FTUFOX	- 0.39	FZNOPX
FZNOPX	- 0.31	FZNQEX
OPTCX	- 0.26	XHYIX
XHYIX	- 0.18	PRVBX
PRVBX	- 0.14	FZNOPX
OPTCX	- 0.11	FZNOPX

Risk-Adjusted Indicators

There is a big difference between Tax Mutual Fund performing well and Tax Exempt 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 Exempt'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
FZNQEX	0.08	(0.01)	0.54	(2.16)	0.09	(0.08)	0.16	(0.16)	0.48
FZNOPX	0.75	0.02	0.00	(0.03)	0.00	0.00	1.55	(1.63)	3.75
TBLDX	0.37	0.01	0.00	(0.05)	0.00	0.00	0.70	(0.80)	2.12
PRVBX	0.10	0.01	0.68	0.24	0.00	(0.13)	0.23	(0.17)	0.53
FTUFOX	0.10	0.01	0.59	0.24	0.00	(0.10)	0.20	(0.19)	0.60
XHYIX	0.16	(0.02)	0.00	(0.28)	0.00	0.00	0.25	(0.49)	1.31
OPTCX	0.07	0.00	0.24	(0.53)	0.06	(0.17)	0.21	(0.21)	0.93
WABMSX	0.62	0.05	0.09	0.02	0.81	(0.62)	1.38	(1.29)	3.66

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