Gmo Usonian Correlations

GMAKX Fund

USD 20.53 0.14 0.69%

The current 90-days correlation between Gmo Usonian Japan and Calvert Large Cap is -0.17 (i.e., Good diversification). The correlation of Gmo Usonian 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 Correlation With Market

Weak diversification

The correlation between Gmo Usonian Japan Value and DJI is 0.37 (i.e., 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 Mutual Fund

0.8	GUGAX	Gmo E Plus	Pair Corr
0.67	GEMEX	Gmo Emerging Markets	Pair Corr
0.67	GEMMX	Gmo Emerging Markets	Pair Corr
0.67	GEMNX	Gmo Emerging Markets	Pair Corr
0.72	GWOAX	Gmo Global Developed	Pair Corr
0.65	IOVFX	Gmo International	Pair Corr
0.72	GHVIX	Gmo High Yield	Pair Corr
0.62	GIEAX	Gmo International Equity	Pair Corr
0.65	GMAZX	Gmo International	Pair Corr
0.72	GMADX	Gmo Global Equity	Pair Corr
1.0	GMAHX	Gmo Usonian Japan	Pair Corr
0.65	GMDFX	Gmo Emerging Country	Pair Corr
0.65	GMCDX	Gmo Emerging Ntry	Pair Corr
0.67	GMEMX	Gmo Emerging Markets	Pair Corr
0.74	GMGEX	Gmo Global Equity	Pair Corr
0.98	GMIIX	Gmo Usonian Japan	Pair Corr
0.67	GMOEX	Gmo Emerging Markets	Pair Corr
0.61	GMOHX	Gmo Opportunistic Income	Pair Corr
0.61	GMOLX	Gmo Opportunistic Income	Pair Corr
0.79	GMOOX	Gmo Global Asset	Pair Corr
0.65	GMOQX	Gmo Emerging Country	Pair Corr

Related Correlations Analysis

	CMIFX	MKFOX	DOXGX	FCLKX	MTCGX	OLGCX	LTFOX
CMIFX		0.43	0.42	0.39	-0.56	0.33	0.0	CMIFX
MKFOX	0.43		0.18	0.41	0.16	0.69	0.04	MKFOX
DOXGX	0.42	0.18		0.89	0.02	0.48	0.83	DOXGX
FCLKX	0.39	0.41	0.89		0.17	0.76	0.71	FCLKX
MTCGX	-0.56	0.16	0.02	0.17		0.41	0.28	MTCGX
OLGCX	0.33	0.69	0.48	0.76	0.41		0.28	OLGCX
LTFOX	0.0	0.04	0.83	0.71	0.28	0.28		LTFOX
	CMIFX	MKFOX	DOXGX	FCLKX	MTCGX	OLGCX	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

FCLKX	+ 0.89	DOXGX
LTFOX	+ 0.83	DOXGX
OLGCX	+ 0.76	FCLKX
LTFOX	+ 0.71	FCLKX
OLGCX	+ 0.69	MKFOX
OLGCX	+ 0.48	DOXGX

High negative correlations

MTCGX	- 0.56	CMIFX
LTFOX	- 0.0	CMIFX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Usonian 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'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
CMIFX	0.06	0.01	0.04	(0.60)	0.00	(0.11)	0.10	(0.10)	0.42
MKFOX	0.94	0.01	0.00	(0.04)	1.31	(0.98)	1.78	(2.21)	6.69
DOXGX	0.49	0.01	0.01	0.02	0.74	(0.46)	1.16	(1.04)	3.27
FCLKX	0.58	(0.01)	0.00	(0.02)	0.00	0.00	1.12	(1.21)	4.31
MTCGX	1.13	(0.14)	0.00	(0.17)	0.00	0.00	1.83	(2.57)	11.56
OLGCX	0.85	(0.01)	(0.01)	(0.01)	1.22	(0.83)	1.64	(1.99)	5.32
LTFOX	0.59	(0.06)	0.00	1.00	0.00	0.00	1.08	(1.37)	5.09

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