California Tax-free Correlations

PRXCX Fund

USD 11.01 0.03 0.27%

The current 90-days correlation between California Tax Free and T Rowe Price is -0.02 (i.e., Good diversification). The correlation of California 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.

California Tax-free Correlation With Market

Very good diversification

The correlation between California Tax Free Bond and DJI is -0.3 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding California Tax Free Bond and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in California Tax Free Bond. 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 main economic indicators.

Moving together with California Mutual Fund

0.99	TFBIX	Maryland Tax Free	Pair Corr
0.99	TFBVX	Virginia Tax Free	Pair Corr
0.94	TFHAX	T Rowe Price	Pair Corr
0.99	TFILX	T Rowe Price	Pair Corr
0.65	RPLCX	T Rowe Price	Pair Corr

Moving against California Mutual Fund

0.43	RPEIX	T Rowe Price	Pair Corr
0.43	RPIEX	T Rowe Price	Pair Corr

Related Correlations Analysis

	PRFSX	PRNYX	PRFHX	PRTAX	PRINX
PRFSX		0.79	0.84	0.79	0.8	PRFSX
PRNYX	0.79		0.95	0.99	0.99	PRNYX
PRFHX	0.84	0.95		0.97	0.98	PRFHX
PRTAX	0.79	0.99	0.97		1.0	PRTAX
PRINX	0.8	0.99	0.98	1.0		PRINX
	PRFSX	PRNYX	PRFHX	PRTAX	PRINX

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Risk-Adjusted Indicators

There is a big difference between California Mutual Fund performing well and California 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 California 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
PRFSX	0.07	0.00	(0.52)	0.95	0.03	(0.21)	0.18	(0.18)	0.73
PRNYX	0.19	0.03	(0.24)	(0.15)	0.23	(0.26)	0.46	(0.45)	1.76
PRFHX	0.16	0.03	(0.25)	(0.14)	0.20	(0.23)	0.44	(0.44)	1.61
PRTAX	0.17	0.03	(0.27)	(0.16)	0.20	(0.25)	0.43	(0.42)	1.59
PRINX	0.16	0.03	(0.27)	(0.16)	0.20	(0.23)	0.44	(0.44)	1.59

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