Municipal Bond Correlations

Mutual Funds . USA . 
Fund . Municipal Bond Portfolio
SMBAX Fund  USD 8.68  0.01  0.12%   
The current 90-days correlation between Municipal Bond Portfolio and Vanguard Intermediate Term Tax Exempt is 0.94 (i.e., Almost no diversification). The correlation of Municipal Bond 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.

Municipal Bond Correlation With Market

Average diversification

The correlation between Municipal Bond Portfolio and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Municipal Bond Portfolio 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 Municipal Bond Portfolio. 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 Municipal Mutual Fund

  0.89SIBPX Investment Quality BondPairCorr
  0.99SMBCX Municipal Bond PortfolioPairCorr
  0.99SMBPX Municipal Bond PortfolioPairCorr

Moving against Municipal Mutual Fund

  0.63SFPIX Financial ServicesPairCorr
  0.61SFPCX Financial ServicesPairCorr
  0.61SFPAX Financial ServicesPairCorr
  0.5STPAX Technology CommunicationsPairCorr
  0.5STPIX Technology CommunicationsPairCorr
  0.49SABIX Aggressive BalancedPairCorr
  0.49STPCX Technology CommunicationsPairCorr
  0.48SABAX Salient Alternative BetaPairCorr
  0.47SABCX Salient Alternative BetaPairCorr
  0.46SAMAX Moderately AggressivePairCorr
  0.46SAMIX Moderately AggressivePairCorr
  0.46SBMIX Moderate BalancedPairCorr
  0.45SAMCX Salient Mlp FundPairCorr
  0.45SSCPX Small CapitalizationPairCorr
  0.45SBMCX Moderate BalancedPairCorr
  0.44SSCYX Small CapitalizationPairCorr
  0.42SSCCX Small CapitalizationPairCorr
  0.42SBCCX Moderately ConservativePairCorr
  0.57SLCVX Large Cap ValuePairCorr
  0.57SLVYX Large Cap ValuePairCorr
  0.56SLVCX Large Cap ValuePairCorr
  0.55SLGCX Large CapitalizationPairCorr
  0.54SLCGX Large CapitalizationPairCorr
  0.54SLGYX Large CapitalizationPairCorr
  0.53SMIPX Mid CapitalizationPairCorr
  0.53SPMAX Mid CapitalizationPairCorr
  0.53SPMCX Mid CapitalizationPairCorr
  0.45SMPAX Moderate BalancedPairCorr
  0.43SMACX Moderately ConservativePairCorr
  0.43SMICX Moderately ConservativePairCorr
  0.31LUNAX Conservative BalancedPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Municipal Mutual Fund performing well and Municipal Bond 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 Municipal Bond'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
VWITX  0.11 (0.01)(0.38)(0.16) 0.17 
(0.16)
 0.22 
(0.22)
 1.03 
VWIUX  0.12 (0.01)(0.37)(0.13) 0.17 
(0.16)
 0.29 
(0.29)
 1.10 
AFTEX  0.13  0.01 (0.30) 0.04  0.21 
(0.18)
 0.32 
(0.32)
 1.29 
AFTFX  0.13  0.01 (0.30) 0.04  0.21 
(0.18)
 0.32 
(0.32)
 1.29 
TEBCX  0.13 (0.01)(0.29)(0.10) 0.21 
(0.17)
 0.32 
(0.32)
 1.29 
TEAFX  0.13  0.01 (0.29) 0.03  0.20 
(0.18)
 0.32 
(0.32)
 1.29 
TFEBX  0.13  0.01 (0.30) 0.03  0.20 
(0.18)
 0.32 
(0.32)
 1.29 
FLTMX  0.11 (0.01)(0.36)(0.15) 0.17 
(0.18)
 0.29 
(0.29)
 1.09 
MDNLX  0.13  0.00 (0.35) 0.05  0.17 
(0.19)
 0.30 
(0.29)
 1.09 
MFNLX  0.12  0.00 (0.35) 0.08  0.17 
(0.19)
 0.30 
(0.29)
 1.09 

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