Fidelity Government Correlations

FGOVX Fund

USD 9.35 0.03 0.32%

The current 90-days correlation between Fidelity Government and T Rowe Price is -0.02 (i.e., Good diversification). The correlation of Fidelity Government 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 Government Correlation With Market

Very weak diversification

The correlation between Fidelity Government Income and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fidelity Government Income 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 Government Income. 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 manufacturing.

Moving together with Fidelity Mutual Fund

0.64	FPTKX	Fidelity Freedom 2015	Pair Corr
0.75	FPXTX	Fidelity Pennsylvania	Pair Corr
0.65	FQIFX	Fidelity Freedom Index	Pair Corr
0.71	FRAMX	Fidelity Income Repl	Pair Corr
0.69	FRASX	Fidelity Income Repl	Pair Corr

Related Correlations Analysis

	FGMNX	FDMMX	NAC	ETG	RQI	DRGTX	OBSOX	QFVOX	FCTFX	PRCOX
FGMNX		0.93	0.54	0.78	0.89	0.07	0.73	0.9	0.92	0.59	FGMNX
FDMMX	0.93		0.66	0.82	0.89	0.07	0.67	0.94	0.99	0.56	FDMMX
NAC	0.54	0.66		0.63	0.66	0.28	0.46	0.65	0.68	0.53	NAC
ETG	0.78	0.82	0.63		0.65	0.55	0.87	0.87	0.76	0.88	ETG
RQI	0.89	0.89	0.66	0.65		-0.09	0.56	0.87	0.92	0.44	RQI
DRGTX	0.07	0.07	0.28	0.55	-0.09		0.56	0.15	-0.03	0.71	DRGTX
OBSOX	0.73	0.67	0.46	0.87	0.56	0.56		0.73	0.6	0.9	OBSOX
QFVOX	0.9	0.94	0.65	0.87	0.87	0.15	0.73		0.93	0.65	QFVOX
FCTFX	0.92	0.99	0.68	0.76	0.92	-0.03	0.6	0.93		0.5	FCTFX
PRCOX	0.59	0.56	0.53	0.88	0.44	0.71	0.9	0.65	0.5		PRCOX
	FGMNX	FDMMX	NAC	ETG	RQI	DRGTX	OBSOX	QFVOX	FCTFX	PRCOX

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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

FCTFX	+ 0.99	FDMMX
QFVOX	+ 0.94	FDMMX
FDMMX	+ 0.93	FGMNX
FCTFX	+ 0.93	QFVOX
FCTFX	+ 0.92	FGMNX
FCTFX	+ 0.92	RQI

High negative correlations

DRGTX	- 0.09	RQI
FCTFX	- 0.03	DRGTX

Risk-Adjusted Indicators

There is a big difference between Fidelity Mutual Fund performing well and Fidelity Government 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 Fidelity Government'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
FGMNX	0.13	0.02	(0.20)	0.60	0.00	(0.19)	0.29	(0.19)	0.68
FDMMX	0.07	0.02	(0.24)	1.08	0.00	(0.12)	0.17	(0.09)	0.61
NAC	0.31	(0.01)	(0.13)	0.01	0.42	(0.30)	0.52	(0.69)	1.53
ETG	0.70	0.04	0.03	0.11	0.78	(0.72)	1.37	(1.42)	3.76
RQI	0.76	0.15	0.13	0.32	0.70	(0.87)	1.77	(1.48)	3.42
DRGTX	1.10	(0.14)	0.00	(0.10)	0.00	0.00	1.97	(2.86)	6.96
OBSOX	1.06	0.03	0.03	0.09	1.25	(1.18)	2.04	(1.94)	6.38
QFVOX	0.52	0.24	0.22	0.90	0.29	(0.59)	1.23	(1.33)	3.55
FCTFX	0.08	0.02	(0.24)	2.48	0.00	(0.12)	0.24	(0.08)	0.57
PRCOX	0.60	(0.03)	(0.06)	0.01	0.84	(0.57)	1.26	(1.50)	3.70

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