Tax-managed Correlations

Mutual Funds . USA . 
Fund . Tax Managed Large Cap
RTMTX Fund  USD 87.40  0.49  0.56%   
The current 90-days correlation between Tax Managed Large and Vanguard Total Stock is 0.23 (i.e., Modest diversification). The correlation of Tax-managed 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-managed Correlation With Market

Weak diversification

The correlation between Tax Managed Large Cap and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap 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 Tax Managed Large Cap. 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 estimate.

Moving together with Tax-managed Mutual Fund

  0.71RALAX Growth StrategyPairCorr
  0.68RALCX Growth StrategyPairCorr
  0.72RALSX Growth StrategyPairCorr
  0.72RALRX Growth StrategyPairCorr
  0.7RALVX Growth StrategyPairCorr
  0.66RBCUX Tax Exempt BondPairCorr
  0.79RBLCX Balanced StrategyPairCorr
  0.82RBLAX Balanced StrategyPairCorr
  0.82RBLSX Balanced StrategyPairCorr
  0.81RBLVX Balanced StrategyPairCorr
  0.82RBLRX Balanced StrategyPairCorr
  0.63RTEAX Tax Exempt BondPairCorr
  0.64RTHAX Tax Exempt HighPairCorr
  0.62RTHCX Tax Exempt HighPairCorr
  0.65RTHSX Tax Exempt HighPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Tax-managed Mutual Fund performing well and Tax-managed 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-managed'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VTSAX  0.61  0.06  0.04  1.18  0.83 
(0.61)
 1.30 
(1.30)
 5.93 
VFIAX  0.58  0.05  0.04  0.17  0.81 
(0.57)
 1.23 
(1.31)
 5.48 
VTSMX  0.60  0.05  0.04  0.17  0.84 
(0.61)
 1.29 
(1.31)
 5.95 
VITSX  0.61  0.05  0.04  0.17  0.84 
(0.61)
 1.30 
(1.30)
 5.95 
VSMPX  0.60  0.05  0.04  0.17  0.83 
(0.61)
 1.29 
(1.30)
 5.94 
VSTSX  0.60  0.05  0.04  0.17  0.83 
(0.61)
 1.29 
(1.31)
 5.94 
VFINX  0.58  0.05  0.04  0.17  0.81 
(0.57)
 1.23 
(1.31)
 5.48 
VFFSX  0.58  0.05  0.04  0.17  0.81 
(0.57)
 1.23 
(1.31)
 5.47 
VINIX  0.59  0.04  0.02  0.12  0.88 
(0.57)
 1.23 
(1.52)
 5.48 
VIIIX  0.59  0.04  0.02  0.12  0.88 
(0.57)
 1.23 
(1.52)
 5.48 

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