Gold Portfolio Correlations
| FGDCX Fund | USD 22.45 0.10 0.44% |
The current 90-days correlation between Gold Portfolio Fidelity and Origin Emerging Markets is 0.33 (i.e., Weak diversification). The correlation of Gold Portfolio 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.
Gold Portfolio Correlation With Market
Average diversification
The correlation between Gold Portfolio Fidelity and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gold Portfolio Fidelity and DJI in the same portfolio, assuming nothing else is changed.
Gold |
Moving together with Gold Mutual Fund
| 0.75 | FQITX | Fidelity Salem Street | PairCorr |
| 0.7 | FRESX | Fidelity Real Estate | PairCorr |
| 0.7 | FRIFX | Fidelity Real Estate | PairCorr |
| 0.71 | FRINX | Fidelity Real Estate | PairCorr |
| 0.7 | FRIQX | Fidelity Real Estate | PairCorr |
| 0.7 | FRIRX | Fidelity Real Estate | PairCorr |
| 0.76 | FRPDX | Fidelity Sai Alternative | PairCorr |
| 0.64 | FACTX | Fidelity Advisor Health | PairCorr |
Moving against Gold Mutual Fund
| 0.58 | FRPCX | Fidelity Sai Alternative | PairCorr |
| 0.59 | FACGX | Fidelity Advisor Growth | PairCorr |
| 0.54 | FACPX | Fidelity Advisor Sumer | PairCorr |
Related Correlations Analysis
| -0.4 | -0.3 | -0.35 | 0.06 | -0.33 | POEIX | ||
| -0.4 | 0.69 | 0.37 | 0.06 | -0.18 | SUSAX | ||
| -0.3 | 0.69 | 0.51 | -0.22 | -0.11 | OPTCX | ||
| -0.35 | 0.37 | 0.51 | 0.41 | 0.62 | RTSSX | ||
| 0.06 | 0.06 | -0.22 | 0.41 | 0.21 | PATFX | ||
| -0.33 | -0.18 | -0.11 | 0.62 | 0.21 | SPMIX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Gold Mutual Fund performing well and Gold Portfolio 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 Gold Portfolio'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| POEIX | 0.54 | (0.07) | 0.00 | (0.56) | 0.00 | 1.24 | 3.36 | |||
| SUSAX | 0.05 | 0.00 | (0.15) | (0.57) | 0.00 | 0.10 | 0.50 | |||
| OPTCX | 0.15 | 0.02 | 0.06 | 0.62 | 0.00 | 0.32 | 1.35 | |||
| RTSSX | 0.79 | (0.01) | (0.02) | (0.02) | 1.11 | 1.69 | 9.56 | |||
| PATFX | 0.19 | (0.05) | 0.00 | (1.19) | 0.00 | 0.36 | 1.69 | |||
| SPMIX | 0.83 | (0.12) | 0.00 | (0.30) | 0.00 | 1.63 | 12.44 |