Gmo Trust Correlations

GMOYX Fund

11.12 0.11 0.98%

The current 90-days correlation between Gmo Trust and Pgim Conservative Retirement is -0.01 (i.e., Good diversification). The correlation of Gmo Trust 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 Trust Correlation With Market

Weak diversification

The correlation between Gmo Trust and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Trust 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 Trust . 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 manufacturing.

Moving together with Gmo Mutual Fund

0.97	GEACX	Gmo Trust	Pair Corr
0.85	GMAWX	Gmo Small Cap	Pair Corr
0.85	GMAYX	Gmo Small Cap	Pair Corr
0.91	GMOWX	Gmo Resources	Pair Corr
0.77	GMUEX	Gmo Equity Allocation	Pair Corr
0.97	GOVIX	Gmo Resources	Pair Corr
0.97	GAAHX	Gmo Resources	Pair Corr

Moving against Gmo Mutual Fund

0.73	GMODX	Gmo Opportunistic Income	Pair Corr
0.67	GUGAX	Gmo E Plus	Pair Corr
0.65	GMOIX	Gmo International Equity	Pair Corr
0.63	GIMFX	Gmo Implementation	Pair Corr
0.6	GUSTX	Gmo Treasury	Pair Corr
0.58	GMAZX	Gmo International	Pair Corr
0.57	IOVFX	Gmo International	Pair Corr
0.53	GMAKX	Gmo Usonian Japan	Pair Corr
0.51	GMAHX	Gmo Usonian Japan	Pair Corr
0.51	GMOQX	Gmo Emerging Country	Pair Corr
0.48	GMDFX	Gmo Emerging Country	Pair Corr
0.41	GHVIX	Gmo High Yield	Pair Corr
0.39	GMOOX	Gmo Global Asset	Pair Corr
0.73	GAAGX	Gmo Alternative Allo	Pair Corr
0.72	GAAKX	Gmo Alternative Allo	Pair Corr
0.67	GPBFX	Gmo E Plus	Pair Corr
0.64	GABFX	Gmo Asset Allocation	Pair Corr
0.62	GAAWX	Gmo International	Pair Corr
0.62	GSXMX	Gmo International Equity	Pair Corr
0.59	GBFFX	Gmo Benchmark Free	Pair Corr
0.4	GBATX	Gmo Strategic Opport	Pair Corr

Related Correlations Analysis

	PGFCX	FUEMX	PDNIX	MCTAX	JTLRX
PGFCX		0.59	0.8	0.89	0.91	PGFCX
FUEMX	0.59		0.86	0.73	0.71	FUEMX
PDNIX	0.8	0.86		0.94	0.89	PDNIX
MCTAX	0.89	0.73	0.94		0.96	MCTAX
JTLRX	0.91	0.71	0.89	0.96		JTLRX
	PGFCX	FUEMX	PDNIX	MCTAX	JTLRX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Trust 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 Trust'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
PGFCX	0.30	(0.03)	0.00	0.17	0.00	0.00	0.67	(0.48)	1.75
FUEMX	0.04	0.00	0.00	(0.09)	0.00	0.00	0.10	(0.10)	0.40
PDNIX	0.18	0.01	0.29	0.07	0.17	(0.23)	0.42	(0.31)	1.16
MCTAX	0.23	0.01	0.16	(0.03)	0.32	(0.27)	0.45	(0.44)	1.46
JTLRX	0.20	0.01	0.22	(0.04)	0.25	(0.23)	0.42	(0.34)	1.11

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC