Gmo Us Correlations

GUSTX Fund

USD 5.01 0.00 0.00%

The current 90-days correlation between Gmo Treasury and Rems Real Estate is 0.03 (i.e., Significant diversification). The correlation of Gmo Us 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 Us Correlation With Market

Good diversification

The correlation between Gmo Treasury Fund and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Treasury 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 Treasury 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 manufacturing.

Moving together with Gmo Mutual Fund

0.8	GEACX	Gmo Trust	Pair Corr
0.64	GWOAX	Gmo Global Developed	Pair Corr
0.74	IOVFX	Gmo International	Pair Corr
0.64	GIEAX	Gmo International Equity	Pair Corr
0.82	GIMFX	Gmo Implementation	Pair Corr
0.64	GIOTX	Gmo International	Pair Corr
0.75	GMAZX	Gmo International	Pair Corr
0.74	GMBCX	Gmo International	Pair Corr
0.64	GMADX	Gmo Global Equity	Pair Corr
0.63	GMAQX	Gmo Emerging Markets	Pair Corr
0.88	GMDFX	Gmo Emerging Country	Pair Corr
0.88	GMCDX	Gmo Emerging Ntry	Pair Corr
0.62	GMCFX	Gmo International Equity	Pair Corr
0.73	GMCQX	Gmo Equity Allocation	Pair Corr
0.64	GMGEX	Gmo Global Equity	Pair Corr
0.89	GMODX	Gmo Opportunistic Income	Pair Corr
0.91	GMOHX	Gmo Opportunistic Income	Pair Corr
0.62	GMOIX	Gmo International Equity	Pair Corr
0.89	GMOLX	Gmo Opportunistic Income	Pair Corr
0.72	GMOOX	Gmo Global Asset	Pair Corr
0.89	GMOQX	Gmo Emerging Country	Pair Corr
0.62	GMOUX	Gmo International Equity	Pair Corr

Related Correlations Analysis

	HLPPX	RRRZX	FIKMX	NMMRF	FORFX	NRCFX	FREAX
HLPPX		0.48	0.42	0.0	-0.42	0.63	0.39	HLPPX
RRRZX	0.48		0.69	0.0	0.06	0.92	0.93	RRRZX
FIKMX	0.42	0.69		0.0	0.41	0.63	0.79	FIKMX
NMMRF	0.0	0.0	0.0		0.0	0.0	0.0	NMMRF
FORFX	-0.42	0.06	0.41	0.0		-0.06	0.36	FORFX
NRCFX	0.63	0.92	0.63	0.0	-0.06		0.87	NRCFX
FREAX	0.39	0.93	0.79	0.0	0.36	0.87		FREAX
	HLPPX	RRRZX	FIKMX	NMMRF	FORFX	NRCFX	FREAX

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

FREAX	+ 0.93	RRRZX
NRCFX	+ 0.92	RRRZX
FREAX	+ 0.87	NRCFX
FREAX	+ 0.79	FIKMX
FIKMX	+ 0.69	RRRZX
NRCFX	+ 0.63	HLPPX

High negative correlations

FORFX	- 0.42	HLPPX
NRCFX	- 0.06	FORFX
FREAX	- 0.0	NMMRF
NRCFX	- 0.0	NMMRF
FORFX	- 0.0	NMMRF
NMMRF	- 0.0	FIKMX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Us 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 Us' 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
HLPPX	0.64	(0.03)	(0.07)	0.01	0.78	(0.67)	1.12	(1.33)	3.10
RRRZX	0.56	0.00	(0.08)	0.05	0.72	(0.62)	1.23	(1.15)	3.67
FIKMX	0.16	0.00	(0.23)	0.05	0.15	(0.22)	0.41	(0.33)	1.23
NMMRF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FORFX	0.05	0.02	0.00	2.04	0.00	0.00	0.10	0.00	0.21
NRCFX	0.52	0.00	(0.07)	0.09	0.68	(0.51)	1.09	(1.06)	3.42
FREAX	0.59	0.02	(0.05)	0.18	0.73	(0.65)	1.37	(1.18)	3.83

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