Tax Exempt Correlations

USTEX Fund

USD 12.30 0.08 0.65%

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

Good diversification

The correlation between Tax Exempt Long Term and DJI is -0.2 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt Long Term 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 Long Term. 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

0.88	UITIX	Usaa Tax Exempt	Pair Corr
0.99	GUTEX	Victory Tax Exempt	Pair Corr
1.0	ULTIX	Usaa Tax Exempt	Pair Corr
0.65	IPFIX	Victory Incore	Pair Corr
0.75	RSDYX	Victory Incore Low	Pair Corr

Moving against Tax Mutual Fund

0.35

UNYBX

New York Bond

Pair Corr

Related Correlations Analysis

	TEOJX	REMVX	SMQFX	IJPTX	EPASX	RYCCX	PIEFX	ANGCX
TEOJX		0.92	0.96	0.91	0.97	-0.09	0.91	0.11	TEOJX
REMVX	0.92		0.89	0.98	0.91	-0.22	0.78	0.27	REMVX
SMQFX	0.96	0.89		0.89	0.92	0.06	0.95	-0.04	SMQFX
IJPTX	0.91	0.98	0.89		0.91	-0.21	0.81	0.24	IJPTX
EPASX	0.97	0.91	0.92	0.91		-0.23	0.88	0.11	EPASX
RYCCX	-0.09	-0.22	0.06	-0.21	-0.23		0.1	-0.59	RYCCX
PIEFX	0.91	0.78	0.95	0.81	0.88	0.1		-0.25	PIEFX
ANGCX	0.11	0.27	-0.04	0.24	0.11	-0.59	-0.25		ANGCX
	TEOJX	REMVX	SMQFX	IJPTX	EPASX	RYCCX	PIEFX	ANGCX

Click cells to compare fundamentals

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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

IJPTX	+ 0.98	REMVX
EPASX	+ 0.97	TEOJX
SMQFX	+ 0.96	TEOJX
PIEFX	+ 0.95	SMQFX
REMVX	+ 0.92	TEOJX
EPASX	+ 0.92	SMQFX

High negative correlations

ANGCX	- 0.59	RYCCX
ANGCX	- 0.25	PIEFX
RYCCX	- 0.23	EPASX
RYCCX	- 0.22	REMVX
RYCCX	- 0.21	IJPTX
RYCCX	- 0.09	TEOJX

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
TEOJX	0.66	0.07	(0.04)	(1.03)	0.73	(0.78)	1.76	(1.44)	4.91
REMVX	0.84	0.05	(0.02)	0.35	1.02	(0.92)	1.74	(1.98)	6.85
SMQFX	0.56	0.07	(0.03)	4.02	0.62	(0.60)	1.27	(1.18)	3.52
IJPTX	0.66	0.01	(0.08)	0.13	0.73	(0.71)	1.33	(1.15)	4.37
EPASX	0.75	0.03	(0.06)	(0.40)	1.09	(0.74)	1.52	(1.89)	6.54
RYCCX	1.49	0.05	0.05	0.13	2.29	(1.45)	3.08	(3.13)	10.29
PIEFX	0.73	0.11	(0.01)	(0.91)	0.76	(0.88)	1.82	(1.32)	4.54
ANGCX	0.09	(0.02)	0.00	1.44	0.00	0.00	0.12	(0.23)	0.70

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