Gmo Quality Correlations

GMAEX Fund

USD 22.39 0.16 0.72%

The correlation of Gmo Quality 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 Quality Correlation With Market

Modest diversification

The correlation between Gmo Quality Cyclicals and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Quality Cyclicals 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 Quality Cyclicals. 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 income.

Moving together with Gmo Mutual Fund

0.68	GUGAX	Gmo E Plus	Pair Corr
0.86	GUSOX	Gmo Trust	Pair Corr
0.78	GEACX	Gmo Trust	Pair Corr
0.62	GEMEX	Gmo Emerging Markets	Pair Corr
0.73	GEMMX	Gmo Emerging Markets	Pair Corr
0.63	GEMNX	Gmo Emerging Markets	Pair Corr
0.63	GWOAX	Gmo Global Developed	Pair Corr
0.89	IOVFX	Gmo International	Pair Corr
0.94	GMAWX	Gmo Small Cap	Pair Corr
0.81	GMAYX	Gmo Small Cap	Pair Corr
0.89	GMAZX	Gmo International	Pair Corr
1.0	GMAOX	Gmo Trust	Pair Corr
0.87	GMAQX	Gmo Emerging Markets	Pair Corr
0.69	GMAUX	Gmo Emerging Markets	Pair Corr
0.85	GMCQX	Gmo Equity Allocation	Pair Corr
0.73	GMEMX	Gmo Emerging Markets	Pair Corr
0.69	GMGEX	Gmo Global Equity	Pair Corr
0.73	GMOEX	Gmo Emerging Markets	Pair Corr
0.77	GMOOX	Gmo Global Asset	Pair Corr
0.73	PPADX	Gmo Trust	Pair Corr
0.86	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.51	GUSTX	Gmo Treasury	Pair Corr
0.48	GMCFX	Gmo International Equity	Pair Corr
0.45	GMOIX	Gmo International Equity	Pair Corr
0.43	GMOHX	Gmo Opportunistic Income	Pair Corr
0.47	GMOUX	Gmo International Equity	Pair Corr

Related Correlations Analysis

	VSLXX	JNMXX	STSEX	TUGXX	GVMXX	HUCXX	IVMXX
VSLXX		0.0	0.0	0.0	0.0	0.0	0.0	VSLXX
JNMXX	0.0		0.0	0.0	0.0	0.0	0.0	JNMXX
STSEX	0.0	0.0		0.0	-0.07	0.0	0.0	STSEX
TUGXX	0.0	0.0	0.0		0.0	0.0	0.0	TUGXX
GVMXX	0.0	0.0	-0.07	0.0		0.0	0.0	GVMXX
HUCXX	0.0	0.0	0.0	0.0	0.0		0.0	HUCXX
IVMXX	0.0	0.0	0.0	0.0	0.0	0.0		IVMXX
	VSLXX	JNMXX	STSEX	TUGXX	GVMXX	HUCXX	IVMXX

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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

JNMXX	+ 0.0	VSLXX
STSEX	+ 0.0	VSLXX
TUGXX	+ 0.0	VSLXX
GVMXX	+ 0.0	VSLXX
HUCXX	+ 0.0	VSLXX
IVMXX	+ 0.0	VSLXX

High negative correlations

GVMXX	- 0.07	STSEX
IVMXX	- 0.0	HUCXX
IVMXX	- 0.0	GVMXX
HUCXX	- 0.0	GVMXX
IVMXX	- 0.0	TUGXX
HUCXX	- 0.0	TUGXX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Quality 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 Quality'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
VSLXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JNMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
STSEX	0.50	0.00	(0.02)	0.02	0.87	(0.47)	0.88	(1.24)	5.72
TUGXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GVMXX	0.03	0.01	0.00	(0.96)	0.00	0.00	0.00	0.00	1.01
HUCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IVMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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