Gmo Implementation Correlations

GIMFX Fund

USD 15.63 0.01 0.06%

The current 90-days correlation between Gmo Implementation and Astor Star Fund is 0.77 (i.e., Poor diversification). The correlation of Gmo Implementation 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 Implementation Correlation With Market

Poor diversification

The correlation between Gmo Implementation Fund and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Implementation Fund 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 Implementation Fund. 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

0.95	GUSOX	Gmo Trust	Pair Corr
0.82	GUSTX	Gmo Treasury	Pair Corr
0.81	GEACX	Gmo Trust	Pair Corr
0.78	GEMNX	Gmo Emerging Markets	Pair Corr
0.84	GWOAX	Gmo Global Developed	Pair Corr
0.96	GHVIX	Gmo High Yield	Pair Corr
0.75	GIEAX	Gmo International Equity	Pair Corr
0.66	GIOTX	Gmo International	Pair Corr
0.83	GMAWX	Gmo Small Cap	Pair Corr
0.84	GMAYX	Gmo Small Cap	Pair Corr
0.83	GMADX	Gmo Global Equity	Pair Corr
0.93	GMDFX	Gmo Emerging Country	Pair Corr
0.93	GMCDX	Gmo Emerging Ntry	Pair Corr
0.97	GMCFX	Gmo International Equity	Pair Corr
0.95	GMCQX	Gmo Equity Allocation	Pair Corr
0.83	GMGEX	Gmo Global Equity	Pair Corr
0.92	GMODX	Gmo Opportunistic Income	Pair Corr
0.72	GMOHX	Gmo Opportunistic Income	Pair Corr
0.97	GMOIX	Gmo International Equity	Pair Corr
0.67	GMOOX	Gmo Global Asset	Pair Corr
0.95	PPADX	Gmo Trust	Pair Corr
0.96	PPAEX	Gmo Trust	Pair Corr
0.94	PPAJX	Gmo Opportunistic Value	Pair Corr
0.93	GMOQX	Gmo Emerging Country	Pair Corr
0.82	GMOUX	Gmo International Equity	Pair Corr
0.76	GMOWX	Gmo Resources	Pair Corr

Moving against Gmo Mutual Fund

0.49	IOVFX	Gmo International	Pair Corr
0.49	GMAZX	Gmo International	Pair Corr
0.49	GMBCX	Gmo International	Pair Corr
0.64	GMOZX	Gmo High Yield	Pair Corr
0.39	GQESX	Gmo Quality Fund	Pair Corr

Related Correlations Analysis

	STARX	BOSVX	EICVX	CIPMX	FLDFX	USCAX	PARCX	SCYVX
STARX		0.82	0.81	0.72	0.85	0.84	0.88	0.85	STARX
BOSVX	0.82		0.93	0.94	0.93	0.97	0.9	0.95	BOSVX
EICVX	0.81	0.93		0.81	0.89	0.94	0.81	0.91	EICVX
CIPMX	0.72	0.94	0.81		0.89	0.9	0.89	0.87	CIPMX
FLDFX	0.85	0.93	0.89	0.89		0.95	0.92	0.92	FLDFX
USCAX	0.84	0.97	0.94	0.9	0.95		0.88	0.99	USCAX
PARCX	0.88	0.9	0.81	0.89	0.92	0.88		0.87	PARCX
SCYVX	0.85	0.95	0.91	0.87	0.92	0.99	0.87		SCYVX
	STARX	BOSVX	EICVX	CIPMX	FLDFX	USCAX	PARCX	SCYVX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Implementation 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 Implementation'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
STARX	0.41	(0.02)	(0.08)	0.05	0.56	(0.40)	0.79	(0.85)	2.08
BOSVX	0.99	0.22	0.19	0.30	0.70	(1.17)	2.20	(1.44)	8.85
EICVX	0.69	0.17	0.13	1.42	0.41	(0.84)	1.36	(0.87)	8.80
CIPMX	1.02	0.31	0.31	0.76	0.37	(1.40)	1.68	(1.22)	22.87
FLDFX	0.47	0.08	0.00	1.15	0.45	(0.54)	0.93	(0.96)	3.75
USCAX	0.93	0.12	0.11	0.20	0.91	(1.04)	2.03	(1.93)	6.91
PARCX	0.41	0.06	0.04	0.19	0.28	(0.46)	0.82	(0.73)	4.41
SCYVX	0.81	0.06	0.05	0.14	0.94	(0.90)	2.27	(1.91)	4.47

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