Gamco Natural Correlations

XGNTX Fund

USD 6.32 0.02 0.32%

The current 90-days correlation between Gamco Natural Resources and Aqr Sustainable Long Short is 0.21 (i.e., Modest diversification). The correlation of Gamco Natural 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.

Gamco Natural Correlation With Market

Average diversification

The correlation between Gamco Natural Resources and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gamco Natural Resources and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Gamco Natural Resources. 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 estimate.

Moving together with Gamco Mutual Fund

0.84	VGTSX	Vanguard Total Inter	Pair Corr
0.84	VTIAX	Vanguard Total Inter	Pair Corr
0.84	BRUFX	Bruce Fund Bruce	Pair Corr
0.85	KF	Korea Closed	Pair Corr

Moving against Gamco Mutual Fund

0.39	XGEIX	Guggenheim Energy Income	Pair Corr
0.35	VFIAX	Vanguard 500 Index	Pair Corr
0.35	VFINX	Vanguard 500 Index	Pair Corr
0.33	RYMEX	Commodities Strategy	Pair Corr
0.32	VTSAX	Vanguard Total Stock	Pair Corr
0.32	VTSMX	Vanguard Total Stock	Pair Corr
0.32	VSTSX	Vanguard Total Stock	Pair Corr
0.32	VSMPX	Vanguard Total Stock	Pair Corr
0.32	RYMJX	Commodities Strategy	Pair Corr
0.31	VFFSX	Vanguard 500 Index	Pair Corr
0.78	DHEIX	Diamond Hill Short	Pair Corr
0.74	ATGCX	Aquila Three Peaks	Pair Corr
0.71	FOCPX	Fidelity Otc Portfolio	Pair Corr
0.65	MIGPX	Global Advantage Por	Pair Corr
0.59	NLSIX	Neuberger Berman Long	Pair Corr
0.56	QSPRX	Aqr Style Premia	Pair Corr
0.55	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.45	GLPCX	Goldman Sachs Mlp	Pair Corr
0.43	WEICX	Teton Vertible Securities	Pair Corr
0.43	LACCX	Lord Abbett Vertible	Pair Corr
0.42	IMLPX	Maingate Mlp	Pair Corr
0.35	FNILX	Fidelity Zero Large	Pair Corr
0.32	FSHGX	Fidelity Sai High	Pair Corr
0.31	NHFIX	Northern High Yield	Pair Corr
0.87	UXPIX	Ultrashort International	Pair Corr
0.76	RUSIX	Rbc Ultra Short	Pair Corr
0.69	MSSLX	Small Pany Growth	Pair Corr
0.69	PPNSX	Smallcap Growth	Pair Corr
0.66	BURGX	Vest Large Cap Downward Rally	Pair Corr
0.65	FMNDX	Fidelity Servative Income	Pair Corr

Related Correlations Analysis

	QNZIX	FEMDX	LIGFX	BXECX	IGIEX	DBIRX	USMIX
QNZIX		0.64	0.16	-0.37	0.07	-0.29	-0.36	QNZIX
FEMDX	0.64		0.65	0.23	0.6	0.31	0.34	FEMDX
LIGFX	0.16	0.65		0.54	0.67	0.64	0.76	LIGFX
BXECX	-0.37	0.23	0.54		0.72	0.89	0.71	BXECX
IGIEX	0.07	0.6	0.67	0.72		0.84	0.63	IGIEX
DBIRX	-0.29	0.31	0.64	0.89	0.84		0.72	DBIRX
USMIX	-0.36	0.34	0.76	0.71	0.63	0.72		USMIX
	QNZIX	FEMDX	LIGFX	BXECX	IGIEX	DBIRX	USMIX

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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

DBIRX	+ 0.89	BXECX
DBIRX	+ 0.84	IGIEX
USMIX	+ 0.76	LIGFX
IGIEX	+ 0.72	BXECX
USMIX	+ 0.72	DBIRX
USMIX	+ 0.71	BXECX

High negative correlations

BXECX	- 0.37	QNZIX
USMIX	- 0.36	QNZIX
DBIRX	- 0.29	QNZIX

Risk-Adjusted Indicators

There is a big difference between Gamco Mutual Fund performing well and Gamco Natural 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 Gamco Natural'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
QNZIX	0.54	0.08	0.08	1.18	0.63	(0.55)	0.99	(1.01)	3.78
FEMDX	0.17	0.00	(0.06)	0.12	0.14	(0.22)	0.35	(0.35)	1.29
LIGFX	0.29	(0.01)	(0.06)	(0.04)	0.41	(0.28)	0.50	(0.50)	2.04
BXECX	0.20	(0.04)	0.00	(1.37)	0.00	0.00	0.54	(0.40)	1.46
IGIEX	0.28	(0.03)	0.00	(0.28)	0.00	0.00	0.60	(0.60)	2.17
DBIRX	0.24	(0.04)	0.00	(1.12)	0.00	0.00	0.67	(0.57)	1.57
USMIX	0.96	(0.14)	0.00	(0.15)	0.00	0.00	1.61	(1.48)	15.54

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