Gmo Small Correlations

GMAWX Fund

24.08 0.37 1.51%

The current 90-days correlation between Gmo Small Cap and Aqr Small Cap is 0.8 (i.e., Very poor diversification). The correlation of Gmo Small 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 Small Correlation With Market

Poor diversification

The correlation between Gmo Small Cap and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Small Cap 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 Small Cap. 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 housing.

Moving together with Gmo Mutual Fund

0.74	GWOAX	Gmo Global Developed	Pair Corr
0.81	GHVIX	Gmo High Yield	Pair Corr
0.73	GIEAX	Gmo International Equity	Pair Corr
0.71	GIOTX	Gmo International	Pair Corr
0.79	GMAYX	Gmo Small Cap	Pair Corr
0.82	GMADX	Gmo Global Equity	Pair Corr
0.7	GMCFX	Gmo International Equity	Pair Corr
0.75	GMGEX	Gmo Global Equity	Pair Corr
0.7	GMOIX	Gmo International Equity	Pair Corr
0.7	GMOUX	Gmo International Equity	Pair Corr

Related Correlations Analysis

	QSERX	LMBMX	GMAWX	UMBHX	HSCVX	PEVAX
QSERX		0.93	0.85	0.74	0.63	0.61	QSERX
LMBMX	0.93		0.91	0.8	0.79	0.64	LMBMX
GMAWX	0.85	0.91		0.73	0.84	0.65	GMAWX
UMBHX	0.74	0.8	0.73		0.52	0.22	UMBHX
HSCVX	0.63	0.79	0.84	0.52		0.7	HSCVX
PEVAX	0.61	0.64	0.65	0.22	0.7		PEVAX
	QSERX	LMBMX	GMAWX	UMBHX	HSCVX	PEVAX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Small 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 Small'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
QSERX	1.00	(0.03)	0.00	0.05	1.25	(1.08)	2.23	(2.18)	5.80
LMBMX	0.94	(0.02)	0.00	0.05	1.09	(1.01)	2.20	(1.89)	5.49
GMAWX	0.73	(0.03)	(0.04)	0.03	0.84	(0.77)	1.82	(1.51)	3.94
UMBHX	1.18	0.01	0.03	0.07	1.60	(1.18)	2.37	(2.36)	7.38
HSCVX	0.73	(0.03)	(0.03)	0.04	0.91	(0.80)	1.50	(1.46)	4.19
PEVAX	0.81	0.04	(0.02)	0.30	0.97	(0.89)	1.97	(1.29)	5.13

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Gmo Small Correlations

Gmo Small Correlation With Market

Poor diversification

Moving together with Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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