Gmo E Correlations

GPBFX Fund

USD 17.56 0.02 0.11%

The current 90-days correlation between Gmo E Plus and Dreyfus Large Cap is -0.04 (i.e., Good diversification). The correlation of Gmo E 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 E Correlation With Market

Significant diversification

The correlation between Gmo E Plus and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus 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 E Plus. 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

1.0	GUGAX	Gmo E Plus	Pair Corr
0.62	GMODX	Gmo Opportunistic Income	Pair Corr
0.62	GMOLX	Gmo Opportunistic Income	Pair Corr

Related Correlations Analysis

	DLQIX	LMTIX	PTEZX	JDVNX	CBLSX	AMONX	NBPBX
DLQIX		0.88	0.88	0.89	0.98	0.99	0.9	DLQIX
LMTIX	0.88		0.91	0.9	0.88	0.83	0.93	LMTIX
PTEZX	0.88	0.91		0.87	0.9	0.85	0.95	PTEZX
JDVNX	0.89	0.9	0.87		0.9	0.87	0.88	JDVNX
CBLSX	0.98	0.88	0.9	0.9		0.97	0.92	CBLSX
AMONX	0.99	0.83	0.85	0.87	0.97		0.86	AMONX
NBPBX	0.9	0.93	0.95	0.88	0.92	0.86		NBPBX
	DLQIX	LMTIX	PTEZX	JDVNX	CBLSX	AMONX	NBPBX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo E 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 E'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
DLQIX	0.87	0.33	0.32	0.67	0.35	(1.05)	1.47	(1.30)	19.46
LMTIX	0.61	0.06	0.05	0.13	0.79	(0.61)	1.53	(1.37)	4.09
PTEZX	0.71	0.20	0.18	0.34	0.58	(0.81)	1.50	(1.19)	11.37
JDVNX	0.68	0.09	0.10	0.15	0.61	(0.79)	1.47	(1.28)	7.51
CBLSX	0.77	0.19	0.21	0.36	0.40	(0.98)	1.41	(1.00)	14.02
AMONX	1.22	0.48	0.36	1.10	0.47	(1.52)	1.76	(1.85)	31.63
NBPBX	0.62	0.18	0.18	2.40	0.43	(0.73)	1.20	(1.12)	6.38

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Gmo E Correlations

Gmo E Correlation With Market

Significant diversification

Moving together with Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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