Gmo Alternative Correlations

GAAGX Fund

USD 17.44 0.04 0.23%

The current 90-days correlation between Gmo Alternative Allo and Gmo Trust is 0.37 (i.e., Weak diversification). The correlation of Gmo Alternative 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 Alternative Correlation With Market

Modest diversification

The correlation between Gmo Alternative Allocation and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Alternative 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 Alternative 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 price.

Moving together with Gmo Mutual Fund

0.69	GEACX	Gmo Trust	Pair Corr
0.64	GEMEX	Gmo Emerging Markets	Pair Corr
0.62	GEMMX	Gmo Emerging Markets	Pair Corr
0.64	GEMNX	Gmo Emerging Markets	Pair Corr
0.84	IOVFX	Gmo International	Pair Corr
0.82	GIEAX	Gmo International Equity	Pair Corr
0.83	GIOTX	Gmo International	Pair Corr
0.84	GMAZX	Gmo International	Pair Corr
0.77	GMAHX	Gmo Usonian Japan	Pair Corr
0.77	GMAKX	Gmo Usonian Japan	Pair Corr
0.81	GMAQX	Gmo Emerging Markets	Pair Corr
0.81	GMAUX	Gmo Emerging Markets	Pair Corr
0.82	GMCFX	Gmo International Equity	Pair Corr
0.63	GMEMX	Gmo Emerging Markets	Pair Corr
0.77	GMIIX	Gmo Usonian Japan	Pair Corr
0.63	GMOEX	Gmo Emerging Markets	Pair Corr
0.82	GMOIX	Gmo International Equity	Pair Corr
0.75	GMOOX	Gmo Global Asset	Pair Corr
0.82	GMOUX	Gmo International Equity	Pair Corr
0.73	GMOWX	Gmo Resources	Pair Corr
0.69	GMOYX	Gmo Trust	Pair Corr

Moving against Gmo Mutual Fund

0.46	GHVIX	Gmo High Yield	Pair Corr
0.44	GUSOX	Gmo Trust	Pair Corr
0.38	GMAWX	Gmo Small Cap	Pair Corr
0.38	GMAYX	Gmo Small Cap	Pair Corr
0.52	GMCQX	Gmo Equity Allocation	Pair Corr
0.52	GMUEX	Gmo Equity Allocation	Pair Corr
0.44	GMOZX	Gmo High Yield	Pair Corr

Related Correlations Analysis

	GUSOX	GUSTX	GEACX	GEMEX	GEMNX	IOVFX	GHVIX	GIEAX	GIMFX	GMAWX
GUSOX		0.0	0.07	0.05	0.05	-0.37	0.74	-0.3	-0.28	0.89	GUSOX
GUSTX	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	GUSTX
GEACX	0.07	0.0		0.79	0.79	0.74	0.06	0.76	0.57	0.03	GEACX
GEMEX	0.05	0.0	0.79		1.0	0.8	0.2	0.85	0.74	0.05	GEMEX
GEMNX	0.05	0.0	0.79	1.0		0.8	0.2	0.85	0.74	0.05	GEMNX
IOVFX	-0.37	0.0	0.74	0.8	0.8		-0.12	0.99	0.88	-0.32	IOVFX
GHVIX	0.74	0.0	0.06	0.2	0.2	-0.12		-0.04	0.04	0.73	GHVIX
GIEAX	-0.3	0.0	0.76	0.85	0.85	0.99	-0.04		0.9	-0.24	GIEAX
GIMFX	-0.28	0.0	0.57	0.74	0.74	0.88	0.04	0.9		-0.25	GIMFX
GMAWX	0.89	0.0	0.03	0.05	0.05	-0.32	0.73	-0.24	-0.25		GMAWX
	GUSOX	GUSTX	GEACX	GEMEX	GEMNX	IOVFX	GHVIX	GIEAX	GIMFX	GMAWX

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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

GEMNX	+ 1.0	GEMEX
GIEAX	+ 0.99	IOVFX
GIMFX	+ 0.9	GIEAX
GMAWX	+ 0.89	GUSOX
GIMFX	+ 0.88	IOVFX
GIEAX	+ 0.85	GEMEX

High negative correlations

IOVFX	- 0.37	GUSOX
GMAWX	- 0.32	IOVFX
GIEAX	- 0.3	GUSOX
GIMFX	- 0.28	GUSOX
GMAWX	- 0.25	GIMFX
GMAWX	- 0.24	GIEAX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Alternative 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 Alternative'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	0.65	(0.04)	(0.05)	0.08	0.54	(0.80)	1.25	(1.26)	4.84
GUSTX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GEACX	1.07	(0.14)	0.00	(0.18)	0.00	0.00	1.80	(2.74)	5.47
GEMEX	0.64	(0.09)	0.00	(0.22)	0.00	0.00	1.24	(1.50)	4.49
GEMNX	0.64	(0.09)	0.00	(0.22)	0.00	0.00	1.23	(1.50)	4.52
IOVFX	0.62	(0.12)	0.00	(0.27)	0.00	0.00	0.90	(1.60)	3.54
GHVIX	0.13	0.01	(0.49)	0.18	0.00	(0.17)	0.23	(0.28)	0.72
GIEAX	0.62	(0.12)	0.00	(0.20)	0.00	0.00	1.18	(1.50)	3.74
GIMFX	0.37	(0.10)	0.00	(0.27)	0.00	0.00	0.69	(0.96)	2.26
GMAWX	0.80	0.06	(0.03)	0.47	0.90	(0.87)	1.76	(1.58)	6.60

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