Gmo Small Correlations

GMAWX Fund

21.82 0.27 1.22%

The current 90-days correlation between Gmo Small Cap and Lord Abbett Convertible is 0.63 (i.e., Poor diversification). The correlation of Gmo Small 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 Small Correlation With Market

Poor diversification

The correlation between Gmo Small Cap and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Small Cap 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 Small Cap. 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 housing.

Moving together with Gmo Mutual Fund

0.62

GEACX

Gmo Trust

Pair Corr

Moving against Gmo Mutual Fund

0.48	GHVIX	Gmo High Yield	Pair Corr
0.44	IOVFX	Gmo International	Pair Corr
0.42	GUGAX	Gmo E Plus	Pair Corr
0.42	GUSTX	Gmo Treasury	Pair Corr
0.4	GMAZX	Gmo International	Pair Corr
0.39	GIOTX	Gmo International	Pair Corr
0.36	GIEAX	Gmo International Equity	Pair Corr
0.34	GIMFX	Gmo Implementation	Pair Corr
0.32	GMADX	Gmo Global Equity	Pair Corr
0.81	GMOIX	Gmo International Equity	Pair Corr
0.65	GMDFX	Gmo Emerging Country	Pair Corr
0.47	GMOLX	Gmo Opportunistic Income	Pair Corr
0.43	GMCFX	Gmo International Equity	Pair Corr
0.43	GMODX	Gmo Opportunistic Income	Pair Corr
0.43	GMOHX	Gmo Opportunistic Income	Pair Corr
0.34	GMCDX	Gmo Emerging Ntry	Pair Corr
0.47	GPBFX	Gmo E Plus	Pair Corr
0.4	GMOUX	Gmo International Equity	Pair Corr
0.33	GMOQX	Gmo Emerging Country	Pair Corr

Related Correlations Analysis

	LCFYX	FICVX	HNCVX	SBFMX	FISCX	CAGCX	VAADX
LCFYX		0.72	0.96	0.68	0.88	0.55	0.85	LCFYX
FICVX	0.72		0.85	0.8	0.91	0.07	0.86	FICVX
HNCVX	0.96	0.85		0.75	0.93	0.36	0.91	HNCVX
SBFMX	0.68	0.8	0.75		0.83	0.32	0.87	SBFMX
FISCX	0.88	0.91	0.93	0.83		0.35	0.91	FISCX
CAGCX	0.55	0.07	0.36	0.32	0.35		0.32	CAGCX
VAADX	0.85	0.86	0.91	0.87	0.91	0.32		VAADX
	LCFYX	FICVX	HNCVX	SBFMX	FISCX	CAGCX	VAADX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Small 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 Small'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
LCFYX	0.65	(0.01)	0.00	(0.10)	0.00	0.00	1.12	(1.42)	3.20
FICVX	0.76	(0.11)	0.00	(0.26)	0.00	0.00	1.26	(1.79)	5.13
HNCVX	0.62	(0.03)	0.00	(0.13)	0.00	0.00	1.06	(1.61)	3.34
SBFMX	0.36	(0.07)	0.00	1.00	0.00	0.00	0.64	(0.75)	1.87
FISCX	0.59	(0.07)	0.00	(0.22)	0.00	0.00	0.88	(1.55)	2.74
CAGCX	0.45	0.01	0.13	(0.41)	0.54	(0.52)	0.82	(0.72)	2.90
VAADX	0.66	(0.10)	0.00	1.97	0.00	0.00	1.13	(1.60)	3.27

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