Gmo Asset Correlations

GABFX Fund

USD 18.77 0.07 0.37%

The current 90-days correlation between Gmo Asset Allocation and Gmo E Plus is -0.17 (i.e., Good diversification). The correlation of Gmo Asset 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.

Gmo Asset Correlation With Market

Average diversification

The correlation between Gmo Asset Allocation 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 Gmo Asset Allocation 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 Gmo Asset Allocation. 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 census.

Moving together with Gmo Mutual Fund

0.78

GUGAX

Gmo E Plus

Pair Corr

Moving against Gmo Mutual Fund

0.66	GUSOX	Gmo Trust	Pair Corr
0.61	GIOTX	Gmo International	Pair Corr
0.59	GIEAX	Gmo International Equity	Pair Corr
0.57	GWOAX	Gmo Global Developed	Pair Corr
0.56	GMADX	Gmo Global Equity	Pair Corr
0.46	GEACX	Gmo Trust	Pair Corr
0.39	GUSTX	Gmo Treasury	Pair Corr
0.31	GMAWX	Gmo Small Cap	Pair Corr
0.66	PPADX	Gmo Trust	Pair Corr
0.63	GMCQX	Gmo Equity Allocation	Pair Corr
0.56	GMGEX	Gmo Global Equity	Pair Corr
0.53	GMOOX	Gmo Global Asset	Pair Corr
0.45	GMDFX	Gmo Emerging Country	Pair Corr
0.38	GMCDX	Gmo Emerging Ntry	Pair Corr
0.37	GMCFX	Gmo International Equity	Pair Corr
0.37	GMOIX	Gmo International Equity	Pair Corr
0.67	PPAJX	Gmo Opportunistic Value	Pair Corr
0.66	PPAEX	Gmo Trust	Pair Corr
0.66	GMUEX	Gmo Equity Allocation	Pair Corr
0.66	UUOAX	Gmo Trust	Pair Corr

Related Correlations Analysis

	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX
GUGAX		-0.51	-0.19	-0.17	0.41	0.42	0.32	-0.37	0.68	0.9	GUGAX
GUSOX	-0.51		0.64	0.7	0.07	0.06	0.14	0.95	-0.37	-0.41	GUSOX
GUSTX	-0.19	0.64		0.8	0.27	0.27	0.32	0.76	-0.04	-0.18	GUSTX
GEACX	-0.17	0.7	0.8		0.4	0.4	0.57	0.83	0.1	-0.06	GEACX
GEMEX	0.41	0.07	0.27	0.4		1.0	0.77	0.26	0.45	0.36	GEMEX
GEMMX	0.42	0.06	0.27	0.4	1.0		0.77	0.25	0.45	0.38	GEMMX
GEMNX	0.32	0.14	0.32	0.57	0.77	0.77		0.35	0.4	0.35	GEMNX
GWOAX	-0.37	0.95	0.76	0.83	0.26	0.25	0.35		-0.21	-0.31	GWOAX
IOVFX	0.68	-0.37	-0.04	0.1	0.45	0.45	0.4	-0.21		0.71	IOVFX
GHVIX	0.9	-0.41	-0.18	-0.06	0.36	0.38	0.35	-0.31	0.71		GHVIX
	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX

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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

GEMMX	+ 1.0	GEMEX
GWOAX	+ 0.95	GUSOX
GHVIX	+ 0.9	GUGAX
GWOAX	+ 0.83	GEACX
GEACX	+ 0.8	GUSTX
GEMNX	+ 0.77	GEMEX

High negative correlations

GUSOX	- 0.51	GUGAX
GHVIX	- 0.41	GUSOX
IOVFX	- 0.37	GUSOX
GWOAX	- 0.37	GUGAX
GHVIX	- 0.31	GWOAX
IOVFX	- 0.21	GWOAX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Asset 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 Gmo Asset'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
GUGAX	0.19	(0.04)	0.00	(0.49)	0.00	0.00	0.28	(0.28)	3.02
GUSOX	0.60	0.05	0.05	0.13	0.56	(0.72)	1.58	(1.04)	3.08
GUSTX	0.03	0.00	0.00	1.19	0.00	0.00	0.00	0.00	0.40
GEACX	1.00	(0.01)	0.00	0.07	1.30	(1.02)	2.05	(2.38)	6.32
GEMEX	0.68	(0.01)	(0.06)	(0.05)	1.13	(0.69)	1.25	(1.11)	6.54
GEMMX	0.68	(0.01)	(0.06)	(0.10)	1.16	(0.69)	1.26	(1.12)	6.75
GEMNX	0.69	(0.07)	0.00	(0.02)	0.00	0.00	1.28	(1.10)	6.62
GWOAX	0.58	0.05	0.05	0.13	0.63	(0.61)	1.39	(1.12)	3.22
IOVFX	0.81	(0.16)	0.00	(0.08)	0.00	0.00	1.01	(1.26)	17.75
GHVIX	0.22	(0.09)	0.00	(0.28)	0.00	0.00	0.28	(0.28)	5.85

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