Gabelli Utility Correlations

GUT Fund

USD 5.35 0.05 0.93%

The current 90-days correlation between Gabelli Utility Closed and GAMCO Natural Resources is 0.38 (i.e., Weak diversification). The correlation of Gabelli Utility 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.

Gabelli Utility Correlation With Market

Average diversification

The correlation between Gabelli Utility Closed 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 Gabelli Utility Closed and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Gabelli Utility Closed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with Gabelli Fund

0.81	VVR	Invesco Senior Income	Pair Corr
0.78	VISTX	Vanguard Institutional	Pair Corr
0.72	ADAEX	Alliancebernstein Potential Growth	Pair Corr
0.74	NLSIX	Neuberger Berman Long	Pair Corr
0.65	DAAIX	Dunham Appreciation	Pair Corr
0.66	PHYRX	High Yield Fund	Pair Corr
0.73	LUBYX	Lord Abbett Ultra	Pair Corr
0.7	TAHYX	Pioneer High Yield	Pair Corr

Moving against Gabelli Fund

0.5

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Pair Corr

Related Correlations Analysis

	GCV	GAB	GRX	GNT	IHTA	GGZ	IHIT	JHS	GGT
GCV		0.8	0.4	0.58	0.0	0.52	0.0	0.36	0.72	GCV
GAB	0.8		0.7	0.73	0.0	0.78	0.0	0.48	0.77	GAB
GRX	0.4	0.7		0.71	0.0	0.75	0.0	0.32	0.59	GRX
GNT	0.58	0.73	0.71		0.0	0.63	0.0	0.16	0.7	GNT
IHTA	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	IHTA
GGZ	0.52	0.78	0.75	0.63	0.0		0.0	0.74	0.49	GGZ
IHIT	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	IHIT
JHS	0.36	0.48	0.32	0.16	0.0	0.74	0.0		0.18	JHS
GGT	0.72	0.77	0.59	0.7	0.0	0.49	0.0	0.18		GGT
	GCV	GAB	GRX	GNT	IHTA	GGZ	IHIT	JHS	GGT

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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

GAB	+ 0.8	GCV
GGZ	+ 0.78	GAB
GGT	+ 0.77	GAB
GGZ	+ 0.75	GRX
JHS	+ 0.74	GGZ
GNT	+ 0.73	GAB

High negative correlations

GGT	- 0.0	IHIT
JHS	- 0.0	IHIT
IHIT	- 0.0	GGZ
GGT	- 0.0	IHTA
JHS	- 0.0	IHTA
IHIT	- 0.0	IHTA

Risk-Adjusted Indicators

There is a big difference between Gabelli Fund performing well and Gabelli Utility 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 Gabelli Utility'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
GCV	0.97	0.07	0.05	0.12	1.16	(1.02)	1.89	(1.55)	5.96
GAB	0.61	0.03	0.02	0.09	0.81	(0.75)	1.28	(1.47)	4.53
GRX	0.65	(0.07)	0.00	(0.11)	0.00	0.00	1.33	(2.07)	3.80
GNT	0.81	0.04	0.03	0.09	1.21	(0.79)	1.45	(1.73)	5.32
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GGZ	0.68	(0.01)	0.00	(0.02)	0.00	0.00	1.47	(1.52)	5.06
IHIT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JHS	0.38	(0.02)	0.00	(0.09)	0.00	0.00	0.64	(0.90)	2.14
GGT	0.73	0.06	0.05	0.15	0.99	(0.84)	1.66	(1.84)	7.01

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