Gmo Usonian Correlations

GMIIX Fund

USD 20.47 0.13 0.64%

The current 90-days correlation between Gmo Usonian Japan and Morgan Stanley Institutional is 0.28 (i.e., Modest 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

Very weak diversification

The correlation between Gmo Usonian Japan Value and DJI is 0.41 (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 gross domestic product.

Moving together with Gmo Mutual Fund

0.83	GUGAX	Gmo E Plus	Pair Corr
0.73	GEMEX	Gmo Emerging Markets	Pair Corr
0.73	GEMMX	Gmo Emerging Markets	Pair Corr
0.73	GEMNX	Gmo Emerging Markets	Pair Corr
0.74	GWOAX	Gmo Global Developed	Pair Corr
0.67	IOVFX	Gmo International	Pair Corr
0.73	GHVIX	Gmo High Yield	Pair Corr
0.63	GIEAX	Gmo International Equity	Pair Corr
0.67	GMAZX	Gmo International	Pair Corr
0.74	GMADX	Gmo Global Equity	Pair Corr
0.97	GMAHX	Gmo Usonian Japan	Pair Corr
0.98	GMAKX	Gmo Usonian Japan	Pair Corr
0.65	GMDFX	Gmo Emerging Country	Pair Corr
0.65	GMCDX	Gmo Emerging Ntry	Pair Corr
0.72	GMEMX	Gmo Emerging Markets	Pair Corr
0.77	GMGEX	Gmo Global Equity	Pair Corr
0.72	GMOEX	Gmo Emerging Markets	Pair Corr
0.82	GMOOX	Gmo Global Asset	Pair Corr
0.65	GMOQX	Gmo Emerging Country	Pair Corr

Related Correlations Analysis

	MGHRX	LANIX	TEGRX	LGLSX	LWLAX	CIGYX
MGHRX		0.2	0.43	0.88	0.68	0.75	MGHRX
LANIX	0.2		0.67	0.12	0.62	0.49	LANIX
TEGRX	0.43	0.67		0.38	0.92	0.77	TEGRX
LGLSX	0.88	0.12	0.38		0.58	0.63	LGLSX
LWLAX	0.68	0.62	0.92	0.58		0.92	LWLAX
CIGYX	0.75	0.49	0.77	0.63	0.92		CIGYX
	MGHRX	LANIX	TEGRX	LGLSX	LWLAX	CIGYX

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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
MGHRX	1.40	0.10	0.05	0.16	1.84	(1.43)	2.88	(2.70)	9.19
LANIX	0.60	(0.03)	0.00	0.68	0.00	0.00	0.94	(1.43)	5.07
TEGRX	0.53	(0.02)	0.00	(0.03)	0.00	0.00	0.92	(1.45)	3.24
LGLSX	1.25	0.00	0.00	0.00	1.86	(1.19)	2.38	(2.67)	8.44
LWLAX	0.29	0.01	0.00	0.03	0.39	(0.30)	0.54	(0.53)	2.06
CIGYX	0.61	0.05	0.06	0.13	0.71	(0.68)	1.29	(1.25)	3.56

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Gmo Usonian Correlations

Gmo Usonian Correlation With Market

Very weak diversification

Moving together with Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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