North Carolina Correlations

NTSMX Fund

USD 10.41 0.00 0.00%

The current 90-days correlation between North Carolina Tax and North Carolina Tax Free is 0.7 (i.e., Poor diversification). The correlation of North Carolina 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.

North Carolina Correlation With Market

Average diversification

The correlation between North Carolina Tax Free and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding North Carolina Tax Free and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in North Carolina Tax Free. 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 population.

Moving together with North Mutual Fund

0.91	NTFIX	North Carolina Tax	Pair Corr
0.93	KYSMX	Kentucky Tax Free	Pair Corr
0.92	KYTFX	Kentucky Tax Free	Pair Corr
0.89	TNTIX	Tennessee Tax Free	Pair Corr
0.89	DUALX	Alabama Tax Free	Pair Corr
0.92	DUMSX	Mississippi Tax Free	Pair Corr
0.61	DUTMX	Taxable Municipal Bond	Pair Corr
0.94	TTSMX	Tennessee Tax Free	Pair Corr
0.86	ANIYX	New York Municipal	Pair Corr
0.86	SNNYX	New York Municipal	Pair Corr
0.78	LTBYX	Opnhmr Rchstr	Pair Corr
0.73	IORMX	Aim Taxexempt Funds	Pair Corr
0.79	LTNCX	Oppenheimer Rochester	Pair Corr
0.79	LTNYX	Opnhmr Rchstr	Pair Corr
0.86	ANMCX	New York Municipal	Pair Corr
0.85	ANIAX	New York Municipal	Pair Corr
0.85	SNCAX	California Municipal	Pair Corr
0.86	AICYX	California Municipal	Pair Corr

Moving against North Mutual Fund

0.43	SMPSX	Semiconductor Ultrasector	Pair Corr
0.43	SMPIX	Semiconductor Ultrasector	Pair Corr
0.4	FCWRX	Templeton China World	Pair Corr
0.34	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.34	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.34	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.33	LSHEX	Kinetics Spin Off Steady Growth	Pair Corr
0.33	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.32	AMEIX	Equity Growth	Pair Corr
0.32	FSRFX	Transportation Portfolio	Pair Corr

Related Correlations Analysis

	NTFIX	KYSMX	KYTFX	DPIGX	TNTIX	DUALX	DUMSX	DUTMX	TTSMX
NTFIX		0.9	0.99	0.44	0.99	0.98	0.99	0.6	0.85	NTFIX
KYSMX	0.9		0.91	0.52	0.86	0.87	0.92	0.56	0.88	KYSMX
KYTFX	0.99	0.91		0.47	0.99	0.99	0.99	0.61	0.87	KYTFX
DPIGX	0.44	0.52	0.47		0.4	0.37	0.47	0.08	0.68	DPIGX
TNTIX	0.99	0.86	0.99	0.4		0.99	0.98	0.6	0.84	TNTIX
DUALX	0.98	0.87	0.99	0.37	0.99		0.98	0.66	0.83	DUALX
DUMSX	0.99	0.92	0.99	0.47	0.98	0.98		0.6	0.86	DUMSX
DUTMX	0.6	0.56	0.61	0.08	0.6	0.66	0.6		0.44	DUTMX
TTSMX	0.85	0.88	0.87	0.68	0.84	0.83	0.86	0.44		TTSMX
	NTFIX	KYSMX	KYTFX	DPIGX	TNTIX	DUALX	DUMSX	DUTMX	TTSMX

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Risk-Adjusted Indicators

There is a big difference between North Mutual Fund performing well and North Carolina 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 North Carolina'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
NTFIX	0.12	0.00	(0.32)	0.00	0.16	(0.21)	0.28	(0.28)	1.12
KYSMX	0.06	(0.01)	(0.44)	(0.32)	0.05	(0.19)	0.19	(0.19)	0.58
KYTFX	0.13	0.00	(0.27)	0.12	0.16	(0.24)	0.28	(0.41)	1.25
DPIGX	0.05	0.00	(0.98)	0.00	0.00	(0.14)	0.21	(0.11)	0.42
TNTIX	0.15	0.00	(0.27)	0.11	0.22	(0.24)	0.38	(0.38)	1.43
DUALX	0.17	0.00	(0.24)	0.11	0.24	(0.29)	0.35	(0.44)	1.49
DUMSX	0.12	0.00	(0.32)	(0.01)	0.17	(0.21)	0.27	(0.36)	1.18
DUTMX	0.32	0.01	(0.27)	0.03	0.42	(0.35)	0.54	(0.81)	1.75
TTSMX	0.03	(0.01)	(0.88)	2.92	0.00	(0.12)	0.10	(0.10)	0.39

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