Gmo International Correlations

GIEAX Fund

USD 30.06 0.28 0.94%

The current 90-days correlation between Gmo International Equity and Tiaa Cref Real Estate is 0.5 (i.e., Very weak diversification). The correlation of Gmo International 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 International Correlation With Market

Weak diversification

The correlation between Gmo International Equity and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Equity 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 International Equity. 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 nation.

Moving together with Gmo Mutual Fund

0.88	GUSTX	Gmo Treasury	Pair Corr
0.9	GWOAX	Gmo Global Developed	Pair Corr
0.87	GHVIX	Gmo High Yield	Pair Corr
0.95	GIMFX	Gmo Implementation	Pair Corr
0.96	GIOTX	Gmo International	Pair Corr
0.85	GMADX	Gmo Global Equity	Pair Corr
0.62	GMAHX	Gmo Usonian Japan	Pair Corr
0.62	GMAKX	Gmo Usonian Japan	Pair Corr
0.94	GMDFX	Gmo Emerging Country	Pair Corr
0.94	GMCDX	Gmo Emerging Ntry	Pair Corr
0.97	GMCFX	Gmo International Equity	Pair Corr
0.63	GMIIX	Gmo Usonian Japan	Pair Corr
0.93	GMODX	Gmo Opportunistic Income	Pair Corr
0.93	GMOHX	Gmo Opportunistic Income	Pair Corr
0.97	GMOIX	Gmo International Equity	Pair Corr
0.93	GMOLX	Gmo Opportunistic Income	Pair Corr
0.85	GMOOX	Gmo Global Asset	Pair Corr
0.94	GMOQX	Gmo Emerging Country	Pair Corr
0.97	GMOUX	Gmo International Equity	Pair Corr

Moving against Gmo Mutual Fund

0.56	GMAWX	Gmo Small Cap	Pair Corr
0.56	GMAYX	Gmo Small Cap	Pair Corr
0.42	GEACX	Gmo Trust	Pair Corr
0.48	GMAQX	Gmo Emerging Markets	Pair Corr
0.48	GMAUX	Gmo Emerging Markets	Pair Corr
0.44	GMOYX	Gmo Trust	Pair Corr
0.42	GOFIX	Gmo Resources	Pair Corr
0.38	GMOWX	Gmo Resources	Pair Corr

Related Correlations Analysis

	TIREX	REPIX	VGSIX	NMMRF	FORFX	VUVAF
TIREX		1.0	1.0	0.0	-0.41	0.0	TIREX
REPIX	1.0		1.0	0.0	-0.42	0.0	REPIX
VGSIX	1.0	1.0		0.0	-0.39	0.0	VGSIX
NMMRF	0.0	0.0	0.0		0.0	1.0	NMMRF
FORFX	-0.41	-0.42	-0.39	0.0		0.0	FORFX
VUVAF	0.0	0.0	0.0	1.0	0.0		VUVAF
	TIREX	REPIX	VGSIX	NMMRF	FORFX	VUVAF

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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

REPIX	+ 1.0	TIREX
VGSIX	+ 1.0	TIREX
VGSIX	+ 1.0	REPIX
VUVAF	+ 1.0	NMMRF
NMMRF	+ 0.0	TIREX
VUVAF	+ 0.0	TIREX

High negative correlations

FORFX	- 0.42	REPIX
FORFX	- 0.41	TIREX
FORFX	- 0.39	VGSIX
VUVAF	- 0.0	FORFX
FORFX	- 0.0	NMMRF
VUVAF	- 0.0	VGSIX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo International 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 International'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
TIREX	0.77	(0.02)	(0.03)	1.49	(1.52)	4.93
REPIX	1.21	(0.03)	(0.03)	2.36	(2.56)	7.82
VGSIX	0.80	(0.01)	(0.02)	1.43	(1.60)	5.41
NMMRF	0.00	0.00	0.00	0.00	0.00	0.00
FORFX	0.06	0.03	3.03	0.11	0.00	0.31
VUVAF	0.00	0.00	0.00	0.00	0.00	0.00

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