Deutsche Massachusetts Correlations

SCMAX Fund

USD 13.31 0.02 0.15%

The current 90-days correlation between Deutsche Massachusetts and Morningstar Municipal Bond is 0.9 (i.e., Almost no diversification). The correlation of Deutsche Massachusetts 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.

Deutsche Massachusetts Correlation With Market

Very good diversification

The correlation between Deutsche Massachusetts Tax Fre and DJI is -0.27 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Massachusetts Tax Fre 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 Deutsche Massachusetts 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 nation.

Moving together with Deutsche Mutual Fund

0.66	GCGGX	Deutsche Gnma	Pair Corr
0.89	SRMAX	Deutsche Short Term	Pair Corr
0.96	SRMCX	Deutsche Short Term	Pair Corr
0.91	SRMSX	Deutsche Short Term	Pair Corr
0.98	NOTCX	Deutsche Strategic High	Pair Corr
0.98	NOTAX	Deutsche Strategic High	Pair Corr
0.97	NOTIX	Deutsche Strategic High	Pair Corr
0.96	KCTCX	Deutsche California Tax	Pair Corr
0.97	KCTAX	Deutsche California Tax	Pair Corr
0.99	SCMBX	Deutsche Managed Mun	Pair Corr
0.98	SCMTX	Deutsche Intermediate	Pair Corr
0.69	SCSBX	Deutsche E Plus	Pair Corr

Moving against Deutsche Mutual Fund

0.33	KTCCX	Deutsche Science And	Pair Corr
0.33	KTCAX	Deutsche Science And	Pair Corr
0.33	KTCIX	Deutsche Science And	Pair Corr
0.33	KTCSX	Deutsche Science And	Pair Corr
0.31	SCQGX	Deutsche Large Cap	Pair Corr

Related Correlations Analysis

	MSTPX	MDMTX	ABIMX	FYMNX	FHYVX	PRFHX	IMLXX
MSTPX		0.82	0.97	0.96	0.93	0.95	-0.17	MSTPX
MDMTX	0.82		0.89	0.78	0.67	0.78	-0.53	MDMTX
ABIMX	0.97	0.89		0.95	0.89	0.95	-0.28	ABIMX
FYMNX	0.96	0.78	0.95		0.97	0.94	-0.06	FYMNX
FHYVX	0.93	0.67	0.89	0.97		0.92	0.13	FHYVX
PRFHX	0.95	0.78	0.95	0.94	0.92		-0.08	PRFHX
IMLXX	-0.17	-0.53	-0.28	-0.06	0.13	-0.08		IMLXX
	MSTPX	MDMTX	ABIMX	FYMNX	FHYVX	PRFHX	IMLXX

Click cells to compare fundamentals

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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

ABIMX	+ 0.97	MSTPX
FHYVX	+ 0.97	FYMNX
FYMNX	+ 0.96	MSTPX
PRFHX	+ 0.95	MSTPX
FYMNX	+ 0.95	ABIMX
PRFHX	+ 0.95	ABIMX

High negative correlations

IMLXX	- 0.53	MDMTX
IMLXX	- 0.28	ABIMX
IMLXX	- 0.17	MSTPX
IMLXX	- 0.08	PRFHX
IMLXX	- 0.06	FYMNX

Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Massachusetts 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 Deutsche Massachusetts' 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
MSTPX	0.11	0.01	(0.32)	(0.09)	0.14	(0.18)	0.30	(0.30)	1.10
MDMTX	0.17	0.01	(0.31)	0.01	0.24	(0.23)	0.38	(0.56)	1.33
ABIMX	0.19	0.03	(0.23)	(0.14)	0.26	(0.24)	0.40	(0.50)	1.73
FYMNX	0.14	0.03	(0.30)	(0.17)	0.14	(0.21)	0.37	(0.28)	1.40
FHYVX	0.17	0.04	(0.21)	(0.20)	0.19	(0.26)	0.44	(0.44)	1.88
PRFHX	0.16	0.03	(0.25)	(0.14)	0.20	(0.23)	0.44	(0.44)	1.61
IMLXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01

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