Tax Free Correlations

TFCAX Fund

USD 10.00 0.00 0.00%

The current 90-days correlation between Tax Free Conservative and Oppenheimer International Diversified is -0.08 (i.e., Good diversification). The correlation of 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.

Tax Free Correlation With Market

Good diversification

The correlation between Tax Free Conservative Income and DJI is -0.03 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Free Conservative Income 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 Free Conservative Income. 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

0.78	SSCGX	Simt Small Cap	Pair Corr
0.73	SSMAX	Siit Small Mid	Pair Corr
0.98	TFCYX	Tax Free Conservative	Pair Corr
0.75	SSPIX	Simt Sp 500	Pair Corr
0.87	STDAX	Saat Defensive Strategy	Pair Corr
0.87	ENIAX	Siit Opportunistic Income	Pair Corr
0.66	STLYX	Simt Tax Managed	Pair Corr
0.75	STMPX	Simt Tax Managed	Pair Corr
0.75	STMSX	Simt Tax Managed	Pair Corr
0.77	SCPAX	Siit Large Cap	Pair Corr
0.77	SUSYX	Simt Managed Volatility	Pair Corr
0.94	SUSAX	Siit Ultra Short	Pair Corr
0.76	SDLAX	Siit Dynamic Asset	Pair Corr
0.73	SVAYX	Simt Large Cap	Pair Corr
0.76	SDYAX	Simt Dynamic Asset	Pair Corr
0.76	SVOAX	Simt Managed Volatility	Pair Corr
0.76	SDYYX	Simt Dynamic Asset	Pair Corr

Moving against Tax Mutual Fund

0.7	SCFYX	Simt E Fixed	Pair Corr
0.7	SCXIX	Sei Insti Mgd	Pair Corr
0.69	CFVAX	Catholic Values Fixed	Pair Corr
0.69	SCOAX	Siit E Fixed	Pair Corr
0.69	CFVYX	Catholic Values Fixed	Pair Corr
0.46	SAAAX	Simt Multi Asset	Pair Corr
0.41	SBDAX	Stet California Municipal	Pair Corr
0.7	SEGMX	Sdit Gnma Fund	Pair Corr
0.62	SEEIX	Sei Instit International	Pair Corr
0.61	SEFCX	Sit International Equity	Pair Corr
0.48	SEDAX	Siit Emerging Markets	Pair Corr
0.4	SCYYX	Stet California Municipal	Pair Corr

Related Correlations Analysis

	OIDAX	USCAX	FZABX	MDSKX	SIGWX	ADX	PHJFX
OIDAX		-0.44	0.96	-0.56	-0.53	-0.59	0.45	OIDAX
USCAX	-0.44		-0.25	0.98	0.99	0.88	0.48	USCAX
FZABX	0.96	-0.25		-0.37	-0.35	-0.39	0.56	FZABX
MDSKX	-0.56	0.98	-0.37		0.99	0.93	0.38	MDSKX
SIGWX	-0.53	0.99	-0.35	0.99		0.91	0.4	SIGWX
ADX	-0.59	0.88	-0.39	0.93	0.91		0.29	ADX
PHJFX	0.45	0.48	0.56	0.38	0.4	0.29		PHJFX
	OIDAX	USCAX	FZABX	MDSKX	SIGWX	ADX	PHJFX

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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

SIGWX	+ 0.99	USCAX
SIGWX	+ 0.99	MDSKX
MDSKX	+ 0.98	USCAX
FZABX	+ 0.96	OIDAX
ADX	+ 0.93	MDSKX
ADX	+ 0.91	SIGWX

High negative correlations

ADX	- 0.59	OIDAX
MDSKX	- 0.56	OIDAX
SIGWX	- 0.53	OIDAX
USCAX	- 0.44	OIDAX
ADX	- 0.39	FZABX
MDSKX	- 0.37	FZABX

Risk-Adjusted Indicators

There is a big difference between Tax Mutual Fund performing well and 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 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
OIDAX	0.63	(0.15)	0.00	(0.14)	0.00	0.00	1.16	(1.50)	4.20
USCAX	0.93	(0.07)	(0.01)	0.08	0.94	(1.08)	2.07	(1.70)	7.45
FZABX	0.69	(0.13)	0.00	(0.07)	0.00	0.00	1.18	(1.71)	4.32
MDSKX	0.92	(0.03)	0.03	0.11	0.91	(0.97)	2.08	(1.62)	7.61
SIGWX	0.74	(0.03)	0.00	0.11	0.83	(0.84)	1.53	(1.38)	7.02
ADX	0.64	(0.01)	(0.03)	0.12	0.80	(0.66)	1.35	(1.20)	3.44
PHJFX	0.23	(0.02)	(0.35)	0.06	0.22	(0.26)	0.47	(0.56)	1.22

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