Tax Exempt Correlations

Mutual Funds . USA . 
Fund . Tax Exempt Bond
TEBCX Fund  USD 12.49  0.02  0.16%   
The current 90-days correlation between Tax Exempt Bond and Vanguard Intermediate Term Tax Exempt is 0.98 (i.e., Almost no diversification). 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

Average diversification

The correlation between Tax Exempt Bond and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt Bond 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 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 Tax Mutual Fund

  0.83FPPPX American Funds PresePairCorr
  0.95AMHIX American High IncomePairCorr
  0.92TECCX Tax Exempt FundPairCorr
  0.99TEAFX Tax Exempt BondPairCorr
  0.92TECFX Tax Exempt FundPairCorr
  0.92TEFEX Tax Exempt FundPairCorr
  0.66AMUSX Us Government SecuritiesPairCorr
  0.66ANBEX American Funds StrategicPairCorr
  0.67ANBFX American Funds StrategicPairCorr
  0.66ANBAX American Funds StrategicPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VWITX  0.12 (0.01)(0.32)(0.12) 0.17 
(0.15)
 0.22 
(0.22)
 1.03 
VWIUX  0.12 (0.01)(0.31)(0.09) 0.17 
(0.16)
 0.29 
(0.29)
 1.10 
AFTEX  0.13  0.00 (0.24) 0.00  0.20 
(0.17)
 0.32 
(0.32)
 1.29 
AFTFX  0.13  0.00 (0.24) 0.00  0.20 
(0.17)
 0.32 
(0.32)
 1.29 
TEBCX  0.13 (0.01)(0.24)(0.06) 0.21 
(0.16)
 0.32 
(0.32)
 1.29 
TEAFX  0.13  0.00 (0.23) 0.03  0.20 
(0.17)
 0.32 
(0.32)
 1.29 
TFEBX  0.13  0.00 (0.24) 0.03  0.19 
(0.17)
 0.32 
(0.32)
 1.29 
FLTMX  0.11 (0.01)(0.30)(0.08) 0.16 
(0.18)
 0.29 
(0.29)
 1.09 
MDNLX  0.13 (0.01)(0.32)(0.20) 0.18 
(0.19)
 0.30 
(0.29)
 1.09 
MFNLX  0.12 (0.01)(0.32)(0.26) 0.18 
(0.20)
 0.30 
(0.29)
 1.09 

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