Gabelli Utility Correlations

GUT Fund

USD 5.37 0.08 1.51%

The current 90-days correlation between Gabelli Utility Closed and GAMCO Natural Resources is 0.48 (i.e., Very 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

Modest diversification

The correlation between Gabelli Utility Closed and DJI is 0.27 (i.e., Modest 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

0.77	RYMEX	Commodities Strategy	Pair Corr
0.76	RYMJX	Commodities Strategy	Pair Corr
0.8	RYMBX	Commodities Strategy	Pair Corr
0.65	KF	Korea Closed	Pair Corr
0.79	PGLSX	Global Multi Strategy	Pair Corr
0.77	HWACX	Hotchkis Wiley Value	Pair Corr
0.64	DBIWX	Dws Global Macro	Pair Corr
0.62	HTD	John Hancock Tax	Pair Corr

Moving against Gabelli Fund

0.43	SPGSX	State Street Premier	Pair Corr
0.38	NOVA	Sunnova Energy Inter	Pair Corr

Related Correlations Analysis

	GCV	GAB	GRX	GNT	IHTA	GGZ	IHIT	JHS	GGT
GCV		0.64	0.61	0.54	0.0	0.69	0.0	-0.02	0.52	GCV
GAB	0.64		0.77	0.75	0.0	0.79	0.0	0.31	0.76	GAB
GRX	0.61	0.77		0.74	0.0	0.75	0.0	0.08	0.77	GRX
GNT	0.54	0.75	0.74		0.0	0.72	0.0	0.3	0.8	GNT
IHTA	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	IHTA
GGZ	0.69	0.79	0.75	0.72	0.0		0.0	0.39	0.7	GGZ
IHIT	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	IHIT
JHS	-0.02	0.31	0.08	0.3	0.0	0.39	0.0		0.24	JHS
GGT	0.52	0.76	0.77	0.8	0.0	0.7	0.0	0.24		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

GGT	+ 0.8	GNT
GGZ	+ 0.79	GAB
GRX	+ 0.77	GAB
GGT	+ 0.77	GRX
GGT	+ 0.76	GAB
GNT	+ 0.75	GAB

High negative correlations

JHS	- 0.02	GCV
GGT	- 0.0	IHIT
JHS	- 0.0	IHIT
IHIT	- 0.0	GGZ
GGT	- 0.0	IHTA
JHS	- 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	0.91	0.03	0.04	0.03	1.20	(0.99)	2.17	(2.14)	6.16
GAB	0.75	0.10	0.11	0.18	0.88	(0.95)	1.88	(1.51)	5.26
GRX	0.62	0.04	0.07	0.04	0.75	(0.71)	1.35	(1.12)	2.74
GNT	0.73	0.09	0.09	0.18	1.14	(0.72)	1.54	(1.66)	3.93
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GGZ	0.69	0.00	0.00	(0.04)	0.00	0.00	1.49	(1.39)	3.15
IHIT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JHS	0.38	(0.01)	0.00	(0.12)	0.00	0.00	0.64	(0.91)	2.23
GGT	0.66	0.11	0.12	0.34	0.84	(0.86)	1.63	(1.92)	7.12

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