Fidelity Momentum Correlations

FDMO Etf

USD 86.78 1.10 1.28%

The current 90-days correlation between Fidelity Momentum Factor and JPMorgan Value Factor is 0.08 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Fidelity Momentum moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fidelity Momentum Factor moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Fidelity Momentum Correlation With Market

Poor diversification

The correlation between Fidelity Momentum Factor and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fidelity Momentum Factor and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Fidelity Etf

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Fidelity Momentum Factor. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Fidelity Etf

0.88	VUG	Vanguard Growth Index	Pair Corr
0.84	IWF	iShares Russell 1000	Pair Corr
0.76	IVW	iShares SP 500	Pair Corr
0.76	SPYG	SPDR Portfolio SP	Pair Corr
0.78	IUSG	iShares Core SP	Pair Corr
0.85	VONG	Vanguard Russell 1000	Pair Corr
0.87	MGK	Vanguard Mega Cap	Pair Corr
0.83	VRGWX	Vanguard Russell 1000	Pair Corr
0.92	QQQM	Invesco NASDAQ 100	Pair Corr
0.8	ITWO	Proshares Russell 2000 Low Volatility	Pair Corr
0.68	BAC	Bank of America Earnings Call This Week	Pair Corr
0.65	AA	Alcoa Corp	Pair Corr

Moving against Fidelity Etf

0.55	T	ATT Inc	Pair Corr
0.51	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	JVAL	EBI	ZALT	NUKZ	LGH	PPH	FYC	XSVM	ONEV	IMFL
JVAL		0.9	0.92	-0.14	0.78	0.63	0.95	0.85	0.8	0.88	JVAL
EBI	0.9		0.9	-0.25	0.85	0.79	0.82	0.88	0.87	0.95	EBI
ZALT	0.92	0.9		-0.3	0.79	0.75	0.83	0.73	0.7	0.89	ZALT
NUKZ	-0.14	-0.25	-0.3		0.13	-0.69	0.04	-0.26	-0.26	-0.21	NUKZ
LGH	0.78	0.85	0.79	0.13		0.45	0.75	0.63	0.64	0.78	LGH
PPH	0.63	0.79	0.75	-0.69	0.45		0.47	0.67	0.7	0.77	PPH
FYC	0.95	0.82	0.83	0.04	0.75	0.47		0.82	0.76	0.82	FYC
XSVM	0.85	0.88	0.73	-0.26	0.63	0.67	0.82		0.94	0.81	XSVM
ONEV	0.8	0.87	0.7	-0.26	0.64	0.7	0.76	0.94		0.82	ONEV
IMFL	0.88	0.95	0.89	-0.21	0.78	0.77	0.82	0.81	0.82		IMFL
	JVAL	EBI	ZALT	NUKZ	LGH	PPH	FYC	XSVM	ONEV	IMFL

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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

FYC	+ 0.95	JVAL
IMFL	+ 0.95	EBI
ONEV	+ 0.94	XSVM
ZALT	+ 0.92	JVAL
EBI	+ 0.9	JVAL
ZALT	+ 0.9	EBI

High negative correlations

PPH	- 0.69	NUKZ
NUKZ	- 0.3	ZALT
ONEV	- 0.26	NUKZ
XSVM	- 0.26	NUKZ
NUKZ	- 0.25	EBI
IMFL	- 0.21	NUKZ

Fidelity Momentum Constituents Risk-Adjusted Indicators

There is a big difference between Fidelity Etf performing well and Fidelity Momentum ETF 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 Momentum'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
JVAL	0.75	0.06	(0.01)	0.53	0.96	(0.77)	1.55	(1.48)	3.71
EBI	0.65	0.02	0.02	0.10	0.79	(0.68)	1.40	(1.35)	3.23
ZALT	0.26	0.02	(0.15)	0.58	0.30	(0.26)	0.50	(0.59)	1.60
NUKZ	1.51	(0.10)	(0.03)	0.02	1.91	(1.51)	2.97	(3.25)	9.20
LGH	0.82	(0.04)	(0.02)	0.05	1.18	(0.78)	1.79	(1.68)	4.62
PPH	0.68	0.13	0.14	0.33	0.39	(0.81)	1.87	(1.13)	4.20
FYC	1.21	0.11	0.03	0.52	1.32	(1.39)	2.34	(2.27)	6.10
XSVM	0.81	0.01	0.02	0.09	0.96	(0.92)	2.32	(1.90)	5.64
ONEV	0.56	(0.02)	(0.05)	0.06	0.62	(0.55)	1.23	(1.08)	3.13
IMFL	0.63	0.08	0.06	0.19	0.71	(0.67)	1.17	(1.41)	2.79

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