Gamco Global Correlations

GGN Fund

USD 4.09 0.02 0.49%

The current 90-days correlation between Gamco Global and Gabelli Global Small is 0.53 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Gamco Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Gamco Global moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Gamco Global Correlation With Market

Weak diversification

The correlation between Gamco Global 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 Gamco Global 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 Gamco Global. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Gamco Fund

0.69	LSHEX	Kinetics Spin Off Steady Growth	Pair Corr
0.68	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.68	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.66	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.72	KNPYX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.69	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.66	PYUSX	Payden Government	Pair Corr
0.61	SHYSX	Guggenheim High Yield	Pair Corr
0.79	BKMBX	Blackrock Systematic	Pair Corr
0.84	CYBAX	Calvert High Yield	Pair Corr
0.86	STEYX	International Strategic	Pair Corr
0.79	PIMIX	Pimco Income	Pair Corr
0.73	MIAKX	Mfs Inflation Adjusted	Pair Corr
0.75	EMBYX	Unconstrained Emerging	Pair Corr
0.73	RPIFX	T Rowe Price	Pair Corr
0.7	DFXIX	Dfa Diversified Fixed	Pair Corr
0.85	TIIEX	Tiaa Cref International	Pair Corr
0.86	VPMAX	Vanguard Primecap	Pair Corr
0.79	RWDNX	Redwood Managed Vola	Pair Corr
0.72	USIAX	Ubs Ultra Short	Pair Corr
0.73	LIFAX	Lord Abbett Inflation	Pair Corr
0.84	CDHAX	Calvert Developed Market	Pair Corr
0.86	RNOTX	Rivernorthoaktree High	Pair Corr
0.75	SDGFX	Sdit Short Duration	Pair Corr
0.7	FFALX	Franklin Founding Funds	Pair Corr
0.83	TMACX	Touchstone Arbitrage	Pair Corr
0.84	NUW	Nuveen Amt Free	Pair Corr
0.81	VFSUX	Vanguard Short Term	Pair Corr
0.94	RBNCX	Robinson Opportunistic	Pair Corr
0.71	NCMFX	Virtus Multi Sector	Pair Corr
0.76	NLSAX	Neuberger Berman Long	Pair Corr
0.75	GHVIX	Gmo High Yield	Pair Corr

Moving against Gamco Fund

0.47	SMPSX	Semiconductor Ultrasector	Pair Corr
0.45	SMPIX	Semiconductor Ultrasector	Pair Corr

Related Correlations Analysis

	GGZ	GCV	CXH	CBH	EOT	GGT	GAB	GRX	GDV	EHI
GGZ		0.77	0.78	0.0	0.86	0.7	0.87	0.77	0.76	0.33	GGZ
GCV	0.77		0.54	0.0	0.63	0.63	0.83	0.73	0.81	0.51	GCV
CXH	0.78	0.54		0.0	0.86	0.52	0.71	0.66	0.65	0.45	CXH
CBH	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	CBH
EOT	0.86	0.63	0.86	0.0		0.53	0.76	0.62	0.66	0.36	EOT
GGT	0.7	0.63	0.52	0.0	0.53		0.78	0.82	0.76	0.66	GGT
GAB	0.87	0.83	0.71	0.0	0.76	0.78		0.86	0.9	0.62	GAB
GRX	0.77	0.73	0.66	0.0	0.62	0.82	0.86		0.89	0.71	GRX
GDV	0.76	0.81	0.65	0.0	0.66	0.76	0.9	0.89		0.79	GDV
EHI	0.33	0.51	0.45	0.0	0.36	0.66	0.62	0.71	0.79		EHI
	GGZ	GCV	CXH	CBH	EOT	GGT	GAB	GRX	GDV	EHI

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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

GDV	+ 0.9	GAB
GDV	+ 0.89	GRX
GAB	+ 0.87	GGZ
EOT	+ 0.86	GGZ
EOT	+ 0.86	CXH
GRX	+ 0.86	GAB

High negative correlations

EHI	- 0.0	CBH
GDV	- 0.0	CBH
GRX	- 0.0	CBH
GAB	- 0.0	CBH
GGT	- 0.0	CBH
EOT	- 0.0	CBH

Risk-Adjusted Indicators

There is a big difference between Gamco Fund performing well and Gamco Global 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 Gamco Global'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
GGZ	0.68	(0.06)	0.00	(0.11)	0.00	0.00	1.37	(1.52)	3.57
GCV	0.94	(0.03)	0.00	(0.07)	0.00	0.00	1.83	(1.55)	5.96
CXH	0.43	0.00	0.03	0.01	0.68	(0.40)	0.76	(1.01)	3.44
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EOT	0.47	(0.01)	0.00	(0.10)	0.00	0.00	1.01	(1.01)	2.87
GGT	0.67	(0.02)	0.00	(0.08)	0.00	0.00	1.29	(1.84)	7.01
GAB	0.65	(0.02)	0.00	(0.06)	0.00	0.00	1.49	(1.47)	4.21
GRX	0.58	(0.06)	0.00	(0.12)	0.00	0.00	1.04	(1.24)	2.58
GDV	0.63	(0.02)	0.00	(0.05)	0.00	0.00	1.38	(1.04)	3.16
EHI	0.49	0.05	0.11	0.13	0.50	(0.58)	1.08	(0.91)	3.66

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