Consumer Staples Correlations

FDAGX Fund

USD 83.94 0.68 0.82%

The current 90-days correlation between Consumer Staples Por and Pace International Equity is 0.07 (i.e., Significant diversification). The correlation of Consumer Staples 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.

Consumer Staples Correlation With Market

Average diversification

The correlation between Consumer Staples Portfolio and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Consumer Staples Portfolio 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 Consumer Staples Portfolio. 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 price.

Moving together with Consumer Mutual Fund

0.62	FPTKX	Fidelity Freedom 2015	Pair Corr
0.61	FPUKX	Fidelity Puritan	Pair Corr
0.62	FPXTX	Fidelity Pennsylvania	Pair Corr
0.66	FRASX	Fidelity Income Repl	Pair Corr

Related Correlations Analysis

	PWITX	MSTFX	FREIX	TOIIX	EEIFX	EEQAX	QLENX	RYRCX	SMNIX
PWITX		0.69	0.6	-0.28	0.0	-0.23	-0.25	0.29	0.15	PWITX
MSTFX	0.69		0.8	-0.17	0.05	-0.16	-0.2	0.31	0.12	MSTFX
FREIX	0.6	0.8		0.06	0.28	0.06	0.11	0.36	0.27	FREIX
TOIIX	-0.28	-0.17	0.06		0.84	0.43	0.96	-0.03	0.33	TOIIX
EEIFX	0.0	0.05	0.28	0.84		0.3	0.84	0.12	0.35	EEIFX
EEQAX	-0.23	-0.16	0.06	0.43	0.3		0.3	0.54	-0.35	EEQAX
QLENX	-0.25	-0.2	0.11	0.96	0.84	0.3		-0.11	0.49	QLENX
RYRCX	0.29	0.31	0.36	-0.03	0.12	0.54	-0.11		-0.54	RYRCX
SMNIX	0.15	0.12	0.27	0.33	0.35	-0.35	0.49	-0.54		SMNIX
	PWITX	MSTFX	FREIX	TOIIX	EEIFX	EEQAX	QLENX	RYRCX	SMNIX

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

QLENX	+ 0.96	TOIIX
EEIFX	+ 0.84	TOIIX
QLENX	+ 0.84	EEIFX
FREIX	+ 0.8	MSTFX
MSTFX	+ 0.69	PWITX
FREIX	+ 0.6	PWITX

High negative correlations

SMNIX	- 0.54	RYRCX
SMNIX	- 0.35	EEQAX
TOIIX	- 0.28	PWITX
QLENX	- 0.25	PWITX
EEQAX	- 0.23	PWITX
QLENX	- 0.2	MSTFX

Risk-Adjusted Indicators

There is a big difference between Consumer Mutual Fund performing well and Consumer Staples 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 Consumer Staples' 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
PWITX	0.71	(0.14)	0.00	(0.08)	0.00	0.00	1.14	(1.21)	12.84
MSTFX	0.73	(0.14)	0.00	(0.14)	0.00	0.00	1.04	(1.12)	11.12
FREIX	0.57	(0.07)	0.00	12.75	0.00	0.00	1.00	(0.99)	8.12
TOIIX	0.62	0.14	0.16	0.23	0.53	(0.68)	1.33	(1.16)	5.81
EEIFX	0.60	0.04	0.02	0.12	0.89	(0.65)	1.30	(1.28)	4.89
EEQAX	0.43	0.00	(0.10)	0.30	0.54	(0.47)	0.91	(0.80)	2.30
QLENX	0.31	0.10	0.15	0.43	0.00	(0.39)	0.77	(0.39)	1.64
RYRCX	0.78	(0.09)	0.00	(0.87)	0.00	0.00	1.31	(1.87)	5.57
SMNIX	0.48	(0.01)	(0.09)	(0.05)	0.71	(0.49)	0.85	(0.75)	4.83

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