Gmo Emerging Correlations

GEMMX Fund

USD 23.71 0.01 0.04%

The current 90-days correlation between Gmo Emerging Markets and Tax Managed International Equity is 0.78 (i.e., Poor diversification). The correlation of Gmo Emerging 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 Emerging Correlation With Market

Weak diversification

The correlation between Gmo Emerging Markets and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Emerging Markets 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 Emerging Markets. 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 population.

Moving together with GMO Mutual Fund

0.78	GUGAX	Gmo E Plus	Pair Corr
1.0	GEMEX	Gmo Emerging Markets	Pair Corr
1.0	GEMNX	Gmo Emerging Markets	Pair Corr
0.68	GWOAX	Gmo Global Developed	Pair Corr
0.81	IOVFX	Gmo International	Pair Corr
0.61	GHVIX	Gmo High Yield	Pair Corr
0.81	GMAZX	Gmo International	Pair Corr
0.68	GMADX	Gmo Global Equity	Pair Corr
0.61	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.66	GMAHX	Gmo Usonian Japan	Pair Corr
0.67	GMAKX	Gmo Usonian Japan	Pair Corr
0.61	GMAOX	Gmo Trust	Pair Corr
1.0	GMEMX	Gmo Emerging Markets	Pair Corr
0.73	GMGEX	Gmo Global Equity	Pair Corr
0.73	GMIIX	Gmo Usonian Japan	Pair Corr
1.0	GMOEX	Gmo Emerging Markets	Pair Corr
0.79	GMOOX	Gmo Global Asset	Pair Corr

Related Correlations Analysis

	RTIUX	TISDX	BBHLX	REVAX	RNECX	DLENX	GMADX	MFIRX
RTIUX		0.9	0.95	0.91	0.76	0.91	0.89	0.81	RTIUX
TISDX	0.9		0.82	0.88	0.79	0.81	0.76	0.66	TISDX
BBHLX	0.95	0.82		0.79	0.82	0.93	0.91	0.91	BBHLX
REVAX	0.91	0.88	0.79		0.67	0.8	0.77	0.66	REVAX
RNECX	0.76	0.79	0.82	0.67		0.75	0.8	0.69	RNECX
DLENX	0.91	0.81	0.93	0.8	0.75		0.81	0.9	DLENX
GMADX	0.89	0.76	0.91	0.77	0.8	0.81		0.81	GMADX
MFIRX	0.81	0.66	0.91	0.66	0.69	0.9	0.81		MFIRX
	RTIUX	TISDX	BBHLX	REVAX	RNECX	DLENX	GMADX	MFIRX

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Risk-Adjusted Indicators

There is a big difference between GMO Mutual Fund performing well and Gmo Emerging 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 Emerging'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
RTIUX	0.50	0.06	0.08	0.18	0.63	(0.53)	1.17	(1.01)	3.02
TISDX	0.58	0.05	0.06	(0.66)	0.76	(0.59)	1.24	(1.03)	3.33
BBHLX	0.57	0.10	0.13	0.25	0.58	(0.63)	1.21	(0.96)	3.66
REVAX	0.64	0.06	0.06	0.16	0.75	(0.73)	1.28	(1.38)	3.31
RNECX	0.62	0.01	0.01	(0.19)	0.81	(0.67)	0.98	(1.25)	3.83
DLENX	0.11	0.02	0.08	(4.63)	0.00	(0.16)	0.22	(0.11)	0.67
GMADX	0.61	0.06	0.04	0.12	1.23	(0.61)	1.00	(1.03)	11.02
MFIRX	0.11	0.03	0.08	0.62	0.00	(0.21)	0.19	(0.19)	0.76

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Gmo Emerging Correlations

Gmo Emerging Correlation With Market

Weak diversification

Moving together with GMO Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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