Gmo Equity Correlations

GMCQX Fund

USD 13.86 0.03 0.22%

The current 90-days correlation between Gmo Equity Allocation and Gmo Trust is -0.14 (i.e., Good diversification). The correlation of Gmo Equity 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 Equity Correlation With Market

Very poor diversification

The correlation between Gmo Equity Allocation and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Equity 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 Equity 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 employment.

Moving together with Gmo Mutual Fund

0.89	GUGAX	Gmo E Plus	Pair Corr
0.93	GUSOX	Gmo Trust	Pair Corr
0.9	GUSTX	Gmo Treasury	Pair Corr
0.9	GEACX	Gmo Trust	Pair Corr
0.96	GEMEX	Gmo Emerging Markets	Pair Corr
0.96	GEMMX	Gmo Emerging Markets	Pair Corr
0.98	GEMNX	Gmo Emerging Markets	Pair Corr
0.96	GWOAX	Gmo Global Developed	Pair Corr
0.91	IOVFX	Gmo International	Pair Corr
0.97	GHVIX	Gmo High Yield	Pair Corr
0.95	GIEAX	Gmo International Equity	Pair Corr
0.97	GIMFX	Gmo Implementation	Pair Corr
0.92	GIOTX	Gmo International	Pair Corr
0.91	GMAWX	Gmo Small Cap	Pair Corr
0.91	GMAYX	Gmo Small Cap	Pair Corr
0.91	GMAZX	Gmo International	Pair Corr
0.93	GMBCX	Gmo International	Pair Corr
0.98	GMADX	Gmo Global Equity	Pair Corr
0.86	GMAHX	Gmo Usonian Japan	Pair Corr
0.86	GMAKX	Gmo Usonian Japan	Pair Corr
0.91	GMAQX	Gmo Emerging Markets	Pair Corr
0.92	GMAUX	Gmo Emerging Markets	Pair Corr
0.97	GMDFX	Gmo Emerging Country	Pair Corr
0.97	GMCDX	Gmo Emerging Ntry	Pair Corr
0.91	GMCFX	Gmo International Equity	Pair Corr
0.96	GMEMX	Gmo Emerging Markets	Pair Corr
0.98	GMGEX	Gmo Global Equity	Pair Corr
0.86	GMIIX	Gmo Usonian Japan	Pair Corr
0.94	GMODX	Gmo Opportunistic Income	Pair Corr
0.96	GMOEX	Gmo Emerging Markets	Pair Corr
0.92	GMOHX	Gmo Opportunistic Income	Pair Corr
0.91	GMOIX	Gmo International Equity	Pair Corr
0.94	GMOLX	Gmo Opportunistic Income	Pair Corr
0.98	GMOOX	Gmo Global Asset	Pair Corr
0.97	PPADX	Gmo Trust	Pair Corr
0.97	PPAEX	Gmo Trust	Pair Corr
0.97	PPAJX	Gmo Opportunistic Value	Pair Corr

Related Correlations Analysis

	GUSOX	GMAYX	GMAZX	GMBCX	GMAEX	GMAHX	GMAKX	GMAOX	GMAUX
GUSOX		0.88	0.91	0.87	0.0	0.76	0.76	0.0	0.88	GUSOX
GMAYX	0.88		0.78	0.81	0.0	0.67	0.67	0.0	0.87	GMAYX
GMAZX	0.91	0.78		0.96	0.0	0.9	0.9	0.0	0.78	GMAZX
GMBCX	0.87	0.81	0.96		0.0	0.95	0.95	0.0	0.79	GMBCX
GMAEX	0.0	0.0	0.0	0.0		0.0	0.0	1.0	0.0	GMAEX
GMAHX	0.76	0.67	0.9	0.95	0.0		1.0	0.0	0.72	GMAHX
GMAKX	0.76	0.67	0.9	0.95	0.0	1.0		0.0	0.71	GMAKX
GMAOX	0.0	0.0	0.0	0.0	1.0	0.0	0.0		0.0	GMAOX
GMAUX	0.88	0.87	0.78	0.79	0.0	0.72	0.71	0.0		GMAUX
	GUSOX	GMAYX	GMAZX	GMBCX	GMAEX	GMAHX	GMAKX	GMAOX	GMAUX

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

GMAOX	+ 1.0	GMAEX
GMAKX	+ 1.0	GMAHX
GMBCX	+ 0.96	GMAZX
GMAHX	+ 0.95	GMBCX
GMAKX	+ 0.95	GMBCX
GMAZX	+ 0.91	GUSOX

High negative correlations

GMAUX	- 0.0	GMAOX
GMAOX	- 0.0	GMAKX
GMAOX	- 0.0	GMAHX
GMAUX	- 0.0	GMAEX
GMAKX	- 0.0	GMAEX
GMAHX	- 0.0	GMAEX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Equity 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 Equity'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
GUSOX	0.63	0.13	0.01	(0.95)	0.58	(0.70)	1.60	(1.05)	3.31
GMAYX	0.80	(0.05)	(0.03)	0.07	0.72	(1.04)	2.10	(1.54)	4.18
GMAZX	0.59	0.15	0.05	28.64	0.50	(0.62)	1.30	(1.31)	4.04
GMBCX	0.61	0.05	0.03	0.18	0.57	(0.63)	1.30	(1.34)	4.05
GMAEX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GMAHX	0.72	0.08	0.05	0.22	0.63	(0.85)	1.63	(1.16)	4.85
GMAKX	0.71	0.08	0.05	0.23	0.63	(0.85)	1.59	(1.12)	4.85
GMAOX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GMAUX	0.55	0.04	(0.02)	0.18	0.56	(0.61)	1.31	(1.22)	4.06

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