Tax Exempt Correlations

RTHSX Fund

USD 9.70 0.01 0.10%

The current 90-days correlation between Tax Exempt High and Blackrock All Cap Energy is -0.13 (i.e., Good 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

Good diversification

The correlation between Tax Exempt High Yield and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt High Yield 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 Exempt High Yield. 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

0.7	RSBRX	Strategic Bond	Pair Corr
0.94	RBCUX	Tax Exempt Bond	Pair Corr
0.97	RTEAX	Tax Exempt Bond	Pair Corr
0.98	RTHAX	Tax Exempt High	Pair Corr
0.91	RTHCX	Tax Exempt High	Pair Corr
0.65	RTXAX	Russell Investment Tax	Pair Corr
0.67	REMSX	Emerging Markets	Pair Corr
0.68	REMYX	Emerging Markets	Pair Corr
0.69	RFCTX	Strategic Bond	Pair Corr
0.95	RHYTX	Tax Exempt High	Pair Corr
0.64	RMHSX	Russell Inv Long	Pair Corr
0.63	RMLAX	Moderate Strategy	Pair Corr

Moving against Tax Mutual Fund

0.39

USPSX

Profunds Ultrashort

Pair Corr

Related Correlations Analysis

	BACCX	TREIX	AIWEX	SMAPX	PEO	FRNRX
BACCX		-0.18	0.25	0.54	0.71	0.35	BACCX
TREIX	-0.18		0.34	-0.29	-0.15	0.3	TREIX
AIWEX	0.25	0.34		0.26	0.55	0.81	AIWEX
SMAPX	0.54	-0.29	0.26		0.7	0.48	SMAPX
PEO	0.71	-0.15	0.55	0.7		0.66	PEO
FRNRX	0.35	0.3	0.81	0.48	0.66		FRNRX
	BACCX	TREIX	AIWEX	SMAPX	PEO	FRNRX

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

FRNRX	+ 0.81	AIWEX
PEO	+ 0.71	BACCX
PEO	+ 0.7	SMAPX
FRNRX	+ 0.66	PEO
PEO	+ 0.55	AIWEX
SMAPX	+ 0.54	BACCX

High negative correlations

SMAPX	- 0.29	TREIX
TREIX	- 0.18	BACCX
PEO	- 0.15	TREIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BACCX	0.67	(0.01)	(0.07)	0.03	0.83	(0.69)	1.36	(1.24)	3.48
TREIX	0.05	0.00	(0.35)	0.23	0.00	(0.11)	0.10	(0.20)	0.41
AIWEX	0.84	0.10	0.03	1.35	1.10	(0.84)	1.51	(1.68)	5.69
SMAPX	0.61	0.01	(0.07)	(0.02)	0.80	(0.65)	1.19	(1.33)	3.11
PEO	0.67	0.05	(0.01)	0.63	0.86	(0.61)	1.32	(1.39)	3.51
FRNRX	0.79	0.13	0.06	0.93	1.04	(0.82)	1.60	(1.93)	4.74

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