Gmo High Correlations

GHVIX Fund

USD 16.94 0.04 0.24%

The current 90-days correlation between Gmo High Yield and Fidelity Government Income is 0.56 (i.e., Very weak diversification). The correlation of Gmo High 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 High Correlation With Market

Very weak diversification

The correlation between Gmo High Yield and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield 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 High Yield. 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 gross domestic product.

Moving together with Gmo Mutual Fund

0.82	GUGAX	Gmo E Plus	Pair Corr
0.82	GUSTX	Gmo Treasury	Pair Corr
0.92	GWOAX	Gmo Global Developed	Pair Corr
0.82	GIEAX	Gmo International Equity	Pair Corr
0.83	GMADX	Gmo Global Equity	Pair Corr
0.96	GMDFX	Gmo Emerging Country	Pair Corr
0.82	GPBFX	Gmo E Plus	Pair Corr
0.71	GABFX	Gmo Asset Allocation	Pair Corr
0.82	GTMIX	Gmo Tax Managed	Pair Corr
0.82	VWEAX	Vanguard High Yield	Pair Corr
0.82	VWEHX	Vanguard High Yield	Pair Corr
0.86	BHYCX	Blackrock Hi Yld	Pair Corr
0.85	BHYIX	Blackrock High Yield	Pair Corr
0.95	BHYSX	Blackrock Hi Yld	Pair Corr
0.86	BHYAX	Blackrock High Yield	Pair Corr
0.83	FAHHX	American Funds American	Pair Corr
0.83	FTAHX	American Funds American	Pair Corr
0.83	AHTFX	American High Income	Pair Corr
0.97	AHTCX	American High Income	Pair Corr
0.65	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.65	SPMJX	Invesco Steelpath Mlp	Pair Corr

Moving against Gmo Mutual Fund

0.5	GMAWX	Gmo Small Cap	Pair Corr
0.5	GSBGX	Gmo Small Cap	Pair Corr
0.43	GCCLX	Gmo Climate Change	Pair Corr
0.38	GMAUX	Gmo Emerging Markets	Pair Corr
0.38	GMOWX	Gmo Resources	Pair Corr
0.38	GOFIX	Gmo Resources	Pair Corr
0.37	GMAQX	Gmo Emerging Markets	Pair Corr
0.63	SMPIX	Semiconductor Ultrasector	Pair Corr
0.5	SMPSX	Semiconductor Ultrasector	Pair Corr
0.5	RGNCX	Victory Global Natural	Pair Corr
0.49	RSNYX	Victory Global Natural	Pair Corr
0.49	RSNRX	Victory Global Natural	Pair Corr

Related Correlations Analysis

	FIKPX	TCSGX	UGSFX	BIGLX	TWACX
FIKPX		0.92	1.0	1.0	0.94	FIKPX
TCSGX	0.92		0.94	0.91	0.99	TCSGX
UGSFX	1.0	0.94		0.99	0.96	UGSFX
BIGLX	1.0	0.91	0.99		0.93	BIGLX
TWACX	0.94	0.99	0.96	0.93		TWACX
	FIKPX	TCSGX	UGSFX	BIGLX	TWACX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo High 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 High'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
FIKPX	0.23	0.02	0.26	1.29	0.19	(0.28)	0.56	(0.44)	1.34
TCSGX	0.08	0.01	0.61	2.21	0.00	(0.14)	0.20	(0.10)	0.59
UGSFX	0.24	0.03	0.27	0.67	0.21	(0.30)	0.60	(0.42)	1.55
BIGLX	0.25	0.03	0.24	0.46	0.24	(0.31)	0.56	(0.54)	1.58
TWACX	0.09	0.01	0.56	1.76	0.00	(0.14)	0.22	(0.11)	0.45

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