Gabelli Utilities Correlations

GAUAX Fund

USD 5.77 0.01 0.17%

The current 90-days correlation between Gabelli Utilities and Dominion Energy is 0.67 (i.e., Poor diversification). The correlation of Gabelli Utilities 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 Utilities Correlation With Market

Weak diversification

The correlation between The Gabelli Utilities and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Utilities 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 The Gabelli 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 nation.

Moving together with Gabelli Mutual Fund

0.61	NI	NiSource	Pair Corr
0.69	SR	Spire Inc	Pair Corr
0.7	EVRG	Evergy,	Pair Corr
0.69	AEE	Ameren Corp	Pair Corr
0.67	AGR	Avangrid	Pair Corr
0.61	ALE	Allete Inc	Pair Corr
0.7	ATO	Atmos Energy	Pair Corr
0.67	AWR	American States Water	Pair Corr
0.71	BIP	Brookfield Infrastructure	Pair Corr
0.75	BKH	Black Hills	Pair Corr
0.71	CMS	CMS Energy	Pair Corr
0.71	CNP	CenterPoint Energy Sell-off Trend	Pair Corr
0.72	CPK	Chesapeake Utilities	Pair Corr

Moving against Gabelli Mutual Fund

0.35

EBR

Centrais Electricas

Pair Corr

Related Correlations Analysis

	D	AY	ED	ES	FE	HE	NI	SO	SR	VGAS
D		0.2	0.48	0.19	0.15	-0.14	0.38	0.84	0.24	0.12	D
AY	0.2		-0.57	-0.74	-0.73	-0.38	0.83	-0.03	0.38	0.64	AY
ED	0.48	-0.57		0.85	0.83	0.05	-0.47	0.76	-0.09	-0.41	ED
ES	0.19	-0.74	0.85		0.91	0.27	-0.61	0.43	-0.06	-0.63	ES
FE	0.15	-0.73	0.83	0.91		0.27	-0.57	0.42	0.01	-0.59	FE
HE	-0.14	-0.38	0.05	0.27	0.27		-0.19	-0.28	0.12	-0.38	HE
NI	0.38	0.83	-0.47	-0.61	-0.57	-0.19		0.06	0.7	0.5	NI
SO	0.84	-0.03	0.76	0.43	0.42	-0.28	0.06		0.07	-0.04	SO
SR	0.24	0.38	-0.09	-0.06	0.01	0.12	0.7	0.07		0.14	SR
VGAS	0.12	0.64	-0.41	-0.63	-0.59	-0.38	0.5	-0.04	0.14		VGAS
	D	AY	ED	ES	FE	HE	NI	SO	SR	VGAS

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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

FE	+ 0.91	ES
ES	+ 0.85	ED
SO	+ 0.84	D
NI	+ 0.83	AY
FE	+ 0.83	ED
SO	+ 0.76	ED

High negative correlations

ES	- 0.74	AY
FE	- 0.73	AY
VGAS	- 0.63	ES
NI	- 0.61	ES
VGAS	- 0.59	FE
NI	- 0.57	FE

Risk-Adjusted Indicators

There is a big difference between Gabelli Mutual Fund performing well and Gabelli Utilities 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 Gabelli Utilities' 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
D	0.96	0.10	(0.02)	3.15	1.12	(1.04)	1.83	(1.96)	7.68
AY	0.10	0.00	(0.54)	0.11	0.18	(0.11)	0.23	(0.23)	0.59
ED	0.83	0.00	(0.11)	0.14	0.97	(0.85)	1.60	(1.66)	4.57
ES	0.85	(0.03)	0.00	0.39	0.00	0.00	1.74	(2.10)	5.63
FE	0.69	(0.05)	0.00	(0.29)	0.00	0.00	1.09	(1.48)	3.72
HE	2.33	0.02	0.00	0.08	0.00	0.00	5.35	(6.30)	17.19
NI	0.70	0.21	0.12	1.59	0.54	(0.83)	1.54	(1.23)	3.98
SO	0.81	0.08	(0.06)	(0.73)	0.93	(0.86)	1.73	(1.57)	5.63
SR	0.98	0.10	0.05	0.28	1.13	(1.09)	2.58	(1.85)	6.47
VGAS	2.62	0.22	0.06	0.37	2.82	(3.22)	7.07	(4.57)	25.46

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