Fidelity Govt Correlations

FDRXX Fund

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The current 90-days correlation between Fidelity Govt Cash and Aqr Diversified Arbitrage is 0.07 (i.e., Significant diversification). The correlation of Fidelity Govt 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.

Fidelity Govt Correlation With Market

Good diversification

The correlation between Fidelity Govt Cash and DJI is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fidelity Govt Cash and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Fidelity Govt Cash. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Fidelity Money Market Fund

0.68	FRSAX	Federated Floating Rate	Pair Corr
0.68	OOSYX	Oppenheimer Senior	Pair Corr
0.62	PYBLX	Payden Floating Rate	Pair Corr
0.69	USDIX	Ubs Ultra Short	Pair Corr
1.0	INVXX	Aim Investment Securities	Pair Corr
0.64	RYILX	Rydex Sers Fds	Pair Corr
0.62	RDPSX	Rising Dollar Profund	Pair Corr
0.71	PFICX	Putnam Floating Rate	Pair Corr

Moving against Fidelity Money Market Fund

0.44	VTIAX	Vanguard Total Inter	Pair Corr
0.42	VGTSX	Vanguard Total Inter	Pair Corr

Related Correlations Analysis

	QDARX	WDIAX	FARIX	DTICX	PQCNX
QDARX		0.43	-0.17	0.3	0.55	QDARX
WDIAX	0.43		0.69	0.07	0.17	WDIAX
FARIX	-0.17	0.69		0.04	0.0	FARIX
DTICX	0.3	0.07	0.04		0.88	DTICX
PQCNX	0.55	0.17	0.0	0.88		PQCNX
	QDARX	WDIAX	FARIX	DTICX	PQCNX

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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

PQCNX	+ 0.88	DTICX
FARIX	+ 0.69	WDIAX
PQCNX	+ 0.55	QDARX
WDIAX	+ 0.43	QDARX
DTICX	+ 0.3	QDARX
PQCNX	+ 0.17	WDIAX

High negative correlations

FARIX	- 0.17	QDARX
PQCNX	- 0.0	FARIX

Risk-Adjusted Indicators

There is a big difference between Fidelity Money Market Fund performing well and Fidelity Govt Money Market 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 Fidelity Govt'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
QDARX	0.13	(0.05)	(0.71)	0.16	(0.33)	1.72
WDIAX	0.52	(0.07)	(0.39)	1.09	(1.00)	5.38
FARIX	0.30	(0.02)	(0.08)	0.74	(0.62)	2.12
DTICX	0.07	(0.02)	(0.90)	0.13	(0.13)	0.51
PQCNX	0.25	(0.07)	(0.91)	0.35	(0.70)	1.64

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