New Jersey Correlations

NJTFX Fund

USD 11.49 0.01 0.09%

The current 90-days correlation between New Jersey Tax and New York Tax Free is 0.95 (i.e., Almost no diversification). The correlation of New Jersey 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.

New Jersey Correlation With Market

Very good diversification

The correlation between New Jersey Tax Free and DJI is -0.26 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding New Jersey Tax Free and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in New Jersey Tax Free. 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 census.

Moving together with New Mutual Fund

0.99	TFBIX	Maryland Tax Free	Pair Corr
0.99	TFBVX	Virginia Tax Free	Pair Corr
0.95	TFHAX	T Rowe Price	Pair Corr
0.99	TFILX	T Rowe Price	Pair Corr
0.62	RPLCX	T Rowe Price	Pair Corr

Moving against New Mutual Fund

0.36	RPEIX	T Rowe Price	Pair Corr
0.36	RPIEX	T Rowe Price	Pair Corr

Related Correlations Analysis

	PRNYX	GTFBX	PRFSX	PRTAX	MDXBX
PRNYX		1.0	0.82	0.99	0.99	PRNYX
GTFBX	1.0		0.81	1.0	1.0	GTFBX
PRFSX	0.82	0.81		0.83	0.83	PRFSX
PRTAX	0.99	1.0	0.83		1.0	PRTAX
MDXBX	0.99	1.0	0.83	1.0		MDXBX
	PRNYX	GTFBX	PRFSX	PRTAX	MDXBX

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Risk-Adjusted Indicators

There is a big difference between New Mutual Fund performing well and New Jersey 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 New Jersey'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
PRNYX	0.18	0.02	(0.25)	(0.05)	0.25	(0.27)	0.46	(0.45)	1.76
GTFBX	0.17	0.02	(0.30)	(0.04)	0.23	(0.27)	0.46	(0.45)	1.65
PRFSX	0.07	0.00	(0.49)	0.00	0.06	(0.22)	0.18	(0.18)	0.73
PRTAX	0.16	0.02	(0.29)	(0.05)	0.22	(0.25)	0.43	(0.42)	1.59
MDXBX	0.14	0.01	(0.29)	(0.05)	0.19	(0.21)	0.30	(0.39)	1.39

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