Gmo-usonian Japan Correlations

GMAKX Fund

USD 21.52 0.14 0.65%

The current 90-days correlation between Gmo Usonian Japan and Large Cap Fund is 0.34 (i.e., Weak diversification). The correlation of Gmo-usonian Japan 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-usonian Japan Correlation With Market

Very weak diversification

The correlation between Gmo Usonian Japan Value and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Usonian Japan Value 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 Usonian Japan Value. 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 industry.

Moving together with Gmo-usonian Mutual Fund

0.63	GEMEX	Gmo Emerging Markets	Pair Corr
0.85	GEMMX	Gmo Emerging Markets	Pair Corr
0.64	GEMNX	Gmo Emerging Markets	Pair Corr
0.92	IOVFX	Gmo International	Pair Corr
0.91	GIOTX	Gmo International	Pair Corr
0.92	GMAZX	Gmo International	Pair Corr
1.0	GMAHX	Gmo Usonian Japan	Pair Corr
0.74	GMCDX	Gmo Emerging Ntry	Pair Corr
0.89	GMCFX	Gmo International Equity	Pair Corr
0.65	GMEMX	Gmo Emerging Markets	Pair Corr
0.65	GMIIX	Gmo Usonian Japan	Pair Corr
0.65	GMOEX	Gmo Emerging Markets	Pair Corr
0.84	GMOHX	Gmo Opportunistic Income	Pair Corr
0.89	GMOIX	Gmo International Equity	Pair Corr
0.85	GMOLX	Gmo Opportunistic Income	Pair Corr
0.84	GMOOX	Gmo Global Asset	Pair Corr
0.74	GMOQX	Gmo Emerging Country	Pair Corr

Moving against Gmo-usonian Mutual Fund

0.81	GMAYX	Gmo Small Cap	Pair Corr
0.7	GEACX	Gmo Trust	Pair Corr
0.52	GMAWX	Gmo Small Cap	Pair Corr
0.38	GUSOX	Gmo Trust	Pair Corr
0.54	GMCQX	Gmo Equity Allocation	Pair Corr
0.63	GMOYX	Gmo Trust	Pair Corr
0.62	GMOWX	Gmo Resources	Pair Corr
0.6	GOFIX	Gmo Resources	Pair Corr
0.6	GOVIX	Gmo Resources	Pair Corr

Related Correlations Analysis

	FMIQX	CMIFX	AMFFX	JDVNX	TALCX	CBLSX	LTFOX
FMIQX		-0.25	0.43	0.92	0.46	0.25	0.4	FMIQX
CMIFX	-0.25		0.38	-0.35	-0.01	0.32	0.04	CMIFX
AMFFX	0.43	0.38		0.51	0.74	0.79	0.87	AMFFX
JDVNX	0.92	-0.35	0.51		0.69	0.44	0.62	JDVNX
TALCX	0.46	-0.01	0.74	0.69		0.91	0.89	TALCX
CBLSX	0.25	0.32	0.79	0.44	0.91		0.84	CBLSX
LTFOX	0.4	0.04	0.87	0.62	0.89	0.84		LTFOX
	FMIQX	CMIFX	AMFFX	JDVNX	TALCX	CBLSX	LTFOX

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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

JDVNX	+ 0.92	FMIQX
CBLSX	+ 0.91	TALCX
LTFOX	+ 0.89	TALCX
LTFOX	+ 0.87	AMFFX
LTFOX	+ 0.84	CBLSX
CBLSX	+ 0.79	AMFFX

High negative correlations

JDVNX	- 0.35	CMIFX
CMIFX	- 0.25	FMIQX
TALCX	- 0.01	CMIFX

Risk-Adjusted Indicators

There is a big difference between Gmo-usonian Mutual Fund performing well and Gmo-usonian Japan 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-usonian Japan'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
FMIQX	0.86	(0.20)	0.00	(0.26)	0.00	0.00	1.20	(1.51)	10.22
CMIFX	0.07	0.01	0.04	(0.44)	0.00	(0.12)	0.10	(0.10)	0.41
AMFFX	0.64	(0.06)	0.00	0.30	0.00	0.00	1.09	(1.46)	4.69
JDVNX	0.86	(0.19)	0.00	(0.23)	0.00	0.00	1.24	(1.95)	10.15
TALCX	0.66	(0.03)	0.00	(0.04)	0.00	0.00	1.36	(1.38)	3.68
CBLSX	0.64	0.01	0.01	0.01	0.81	(0.66)	1.25	(1.25)	3.20
LTFOX	0.71	(0.02)	0.00	0.12	0.00	0.00	1.49	(1.60)	3.58

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