Health Care Correlations

FSPHX Fund

USD 31.57 0.05 0.16%

The current 90-days correlation between Health Care Portfolio and Biotechnology Portfolio Biotechnology is 0.78 (i.e., Poor diversification). The correlation of Health Care 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.

Health Care Correlation With Market

Poor diversification

The correlation between Health Care Portfolio and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Health Care Portfolio 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 Health Care Portfolio. 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 rate.

Moving together with Health Mutual Fund

0.61	FPTKX	Fidelity Freedom 2015	Pair Corr
0.65	FRASX	Fidelity Income Repl	Pair Corr
0.66	FRQKX	Fidelity Managed Ret	Pair Corr
0.66	FRQAX	Fidelity Income Repl	Pair Corr
0.66	FACFX	Fidelity Advisor Freedom	Pair Corr
0.63	FADIX	Fidelity Advisor Div	Pair Corr
0.66	FAIDX	Fidelity International	Pair Corr

Moving against Health Mutual Fund

0.32	FAFSX	Fidelity Advisor Fin	Pair Corr
0.32	FAFCX	Fidelity Advisor Fin	Pair Corr
0.31	FACVX	Fidelity Vertible	Pair Corr
0.43	FSAWX	Fidelity Sai Convertible	Pair Corr

Related Correlations Analysis

	FBIOX	FSPTX	FSCSX	FSMEX	FSELX
FBIOX		-0.01	-0.24	0.25	0.27	FBIOX
FSPTX	-0.01		0.88	0.4	0.88	FSPTX
FSCSX	-0.24	0.88		0.54	0.58	FSCSX
FSMEX	0.25	0.4	0.54		0.27	FSMEX
FSELX	0.27	0.88	0.58	0.27		FSELX
	FBIOX	FSPTX	FSCSX	FSMEX	FSELX

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

FSCSX	+ 0.88	FSPTX
FSELX	+ 0.88	FSPTX
FSELX	+ 0.58	FSCSX
FSMEX	+ 0.54	FSCSX
FSMEX	+ 0.4	FSPTX
FSELX	+ 0.27	FBIOX

High negative correlations

FSCSX	- 0.24	FBIOX
FSPTX	- 0.01	FBIOX

Risk-Adjusted Indicators

There is a big difference between Health Mutual Fund performing well and Health Care 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 Health Care'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
FBIOX	0.91	(0.16)	0.00	(0.03)	0.00	0.00	2.09	(2.07)	7.20
FSPTX	1.00	0.01	0.01	0.13	1.50	(0.93)	1.85	(2.58)	6.77
FSCSX	0.78	0.08	0.07	0.21	0.84	(0.86)	1.69	(1.77)	5.90
FSMEX	0.65	(0.02)	(0.08)	0.10	0.76	(0.62)	1.28	(1.10)	3.89
FSELX	1.59	(0.13)	(0.03)	0.04	2.41	(1.58)	3.39	(4.38)	9.85

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