Tax-managed Correlations

RTOUX Fund

USD 43.91 0.16 0.37%

The current 90-days correlation between Tax Managed Mid and Calamos Dynamic Convertible is 0.6 (i.e., Poor 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

Very poor diversification

The correlation between Tax Managed Mid Small and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Mid Small 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 Mid Small. 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 housing.

Moving together with Tax-managed Mutual Fund

0.61	RREAX	Global Real Estate	Pair Corr
0.63	RRSCX	Global Real Estate	Pair Corr
0.76	RSQAX	Us E Equity	Pair Corr
0.9	RUNTX	Us Small Cap	Pair Corr
0.9	REBYX	Us Small Cap	Pair Corr

Related Correlations Analysis

	CCD	ARBOX	GCV	NCIDX	LCFYX	PBXIX
CCD		0.69	0.91	0.93	0.9	0.32	CCD
ARBOX	0.69		0.78	0.81	0.88	-0.02	ARBOX
GCV	0.91	0.78		0.96	0.94	0.19	GCV
NCIDX	0.93	0.81	0.96		0.98	0.27	NCIDX
LCFYX	0.9	0.88	0.94	0.98		0.24	LCFYX
PBXIX	0.32	-0.02	0.19	0.27	0.24		PBXIX
	CCD	ARBOX	GCV	NCIDX	LCFYX	PBXIX

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

LCFYX	+ 0.98	NCIDX
NCIDX	+ 0.96	GCV
LCFYX	+ 0.94	GCV
NCIDX	+ 0.93	CCD
GCV	+ 0.91	CCD
LCFYX	+ 0.9	CCD

High negative correlations

PBXIX

- 0.02

ARBOX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CCD	0.82	0.04	0.03	0.10	1.10	(0.82)	1.75	(2.09)	4.71
ARBOX	0.06	0.02	(0.38)	0.51	0.00	(0.10)	0.17	(0.08)	0.34
GCV	0.79	0.08	0.03	0.27	0.92	(0.85)	1.49	(1.71)	4.54
NCIDX	0.69	0.05	0.04	0.12	0.90	(0.68)	1.32	(1.79)	4.80
LCFYX	0.72	0.06	0.05	0.13	0.82	(0.82)	1.31	(1.69)	4.63
PBXIX	0.37	(0.03)	(0.12)	0.00	0.49	(0.37)	0.64	(0.73)	2.25

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