Utilities Portfolio Correlations

FSUTX Fund

USD 131.09 0.09 0.07%

The current 90-days correlation between Utilities Portfolio and Baron Real Estate is 0.38 (i.e., Weak diversification). The correlation of Utilities 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.

Utilities Portfolio Correlation With Market

Excellent diversification

The correlation between Utilities Portfolio Utilities and DJI is -0.59 (i.e., Excellent diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Utilities Portfolio Utilities 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 Utilities Portfolio Utilities. 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 poverty.

Moving against Utilities Mutual Fund

0.53	FPURX	Fidelity Puritan	Pair Corr
0.53	FRBKX	Fidelity Advisor Freedom	Pair Corr
0.52	FQITX	Fidelity Salem Street	Pair Corr
0.44	FQIFX	Fidelity Freedom Index	Pair Corr
0.42	FPXTX	Fidelity Pennsylvania	Pair Corr
0.37	FPUKX	Fidelity Puritan	Pair Corr
0.34	FQIPX	Fidelity Freedom Index	Pair Corr
0.33	FQLSX	Fidelity Flex Freedom	Pair Corr
0.53	FRCQX	Fidelity Sustainable	Pair Corr
0.52	FRCFX	Fidelity Freedom Blend	Pair Corr
0.51	FRBWX	Fidelity Freedom Index	Pair Corr
0.49	FRAGX	Aggressive Growth	Pair Corr
0.47	FRASX	Fidelity Income Repl	Pair Corr
0.52	FRDDX	Fidelity Sustainable	Pair Corr
0.51	FRDEX	Fidelity Sustainable	Pair Corr
0.49	FRGAX	Growth Allocation Index	Pair Corr
0.47	FRIMX	Fidelity Income Repl	Pair Corr
0.44	FRIOX	Fidelity Real Estate	Pair Corr

Related Correlations Analysis

	SWMCX	IALAX	TWVLX	TSEMX	FSRPX	PGEOX	FSENX	FTANX	DUSQX	BREIX
SWMCX		-0.22	0.87	0.59	0.97	-0.65	0.69	0.79	0.93	0.94	SWMCX
IALAX	-0.22		-0.4	-0.09	-0.18	0.39	-0.68	-0.09	-0.08	-0.18	IALAX
TWVLX	0.87	-0.4		0.47	0.85	-0.81	0.67	0.69	0.79	0.86	TWVLX
TSEMX	0.59	-0.09	0.47		0.65	-0.49	0.64	0.83	0.59	0.41	TSEMX
FSRPX	0.97	-0.18	0.85	0.65		-0.63	0.67	0.81	0.9	0.91	FSRPX
PGEOX	-0.65	0.39	-0.81	-0.49	-0.63		-0.57	-0.6	-0.59	-0.66	PGEOX
FSENX	0.69	-0.68	0.67	0.64	0.67	-0.57		0.63	0.59	0.52	FSENX
FTANX	0.79	-0.09	0.69	0.83	0.81	-0.6	0.63		0.81	0.67	FTANX
DUSQX	0.93	-0.08	0.79	0.59	0.9	-0.59	0.59	0.81		0.87	DUSQX
BREIX	0.94	-0.18	0.86	0.41	0.91	-0.66	0.52	0.67	0.87		BREIX
	SWMCX	IALAX	TWVLX	TSEMX	FSRPX	PGEOX	FSENX	FTANX	DUSQX	BREIX

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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

FSRPX	+ 0.97	SWMCX
BREIX	+ 0.94	SWMCX
DUSQX	+ 0.93	SWMCX
BREIX	+ 0.91	FSRPX
DUSQX	+ 0.9	FSRPX
TWVLX	+ 0.87	SWMCX

High negative correlations

PGEOX	- 0.81	TWVLX
FSENX	- 0.68	IALAX
BREIX	- 0.66	PGEOX
PGEOX	- 0.65	SWMCX
PGEOX	- 0.63	FSRPX
FTANX	- 0.6	PGEOX

Risk-Adjusted Indicators

There is a big difference between Utilities Mutual Fund performing well and Utilities 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 Utilities 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
SWMCX	0.64	0.02	0.02	0.06	0.77	(0.66)	1.46	(1.44)	3.50
IALAX	1.40	(0.32)	0.00	(2.14)	0.00	0.00	2.65	(3.38)	7.94
TWVLX	0.64	0.26	0.45	0.53	0.00	(0.92)	1.39	(0.84)	9.10
TSEMX	0.67	0.06	0.04	0.29	0.70	(0.72)	1.55	(1.22)	4.34
FSRPX	0.74	0.04	0.05	0.08	0.83	(0.80)	2.05	(1.69)	4.91
PGEOX	0.46	(0.09)	0.00	(1.63)	0.00	0.00	0.67	(0.90)	7.10
FSENX	0.96	0.26	0.20	1.02	0.81	(1.07)	2.42	(1.42)	4.69
FTANX	0.23	0.02	(0.02)	0.10	0.20	(0.26)	0.48	(0.48)	1.25
DUSQX	0.54	(0.02)	(0.04)	0.01	0.79	(0.49)	1.12	(1.19)	3.42
BREIX	0.70	0.03	0.02	0.06	0.92	(0.71)	1.59	(1.62)	5.20

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