Gmo High Correlations

GMOZX Fund

16.90 0.04 0.24%

The current 90-days correlation between Gmo High Yield and Kirr Marbach Partners is 0.48 (i.e., Very weak diversification). The correlation of Gmo High 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 High Correlation With Market

Very weak diversification

The correlation between Gmo High Yield and DJI is 0.42 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield 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 High Yield. 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 nation.

Moving together with Gmo Mutual Fund

0.82	GUGAX	Gmo E Plus	Pair Corr
0.8	GUSTX	Gmo Treasury	Pair Corr
0.61	GEMEX	Gmo Emerging Markets	Pair Corr
0.65	GEMMX	Gmo Emerging Markets	Pair Corr
0.65	GEMNX	Gmo Emerging Markets	Pair Corr
0.9	GWOAX	Gmo Global Developed	Pair Corr
0.81	IOVFX	Gmo International	Pair Corr
0.96	GHVIX	Gmo High Yield	Pair Corr
0.82	GIEAX	Gmo International Equity	Pair Corr
0.78	GIMFX	Gmo Implementation	Pair Corr
0.83	GIOTX	Gmo International	Pair Corr
0.81	GMAZX	Gmo International	Pair Corr
0.83	GMADX	Gmo Global Equity	Pair Corr
0.61	GMAHX	Gmo Usonian Japan	Pair Corr
0.64	GMAKX	Gmo Usonian Japan	Pair Corr
0.93	GMDFX	Gmo Emerging Country	Pair Corr
0.95	GMCDX	Gmo Emerging Ntry	Pair Corr
0.83	GMCFX	Gmo International Equity	Pair Corr
0.65	GMEMX	Gmo Emerging Markets	Pair Corr
0.91	GMGEX	Gmo Global Equity	Pair Corr
0.62	GMIIX	Gmo Usonian Japan	Pair Corr
0.82	GMODX	Gmo Opportunistic Income	Pair Corr
0.65	GMOEX	Gmo Emerging Markets	Pair Corr
0.81	GMOHX	Gmo Opportunistic Income	Pair Corr
0.8	GMOIX	Gmo International Equity	Pair Corr
0.8	GMOLX	Gmo Opportunistic Income	Pair Corr
0.92	GMOOX	Gmo Global Asset	Pair Corr
0.95	GMOQX	Gmo Emerging Country	Pair Corr

Moving against Gmo Mutual Fund

0.46	GMAWX	Gmo Small Cap	Pair Corr
0.46	GMAYX	Gmo Small Cap	Pair Corr
0.37	GEACX	Gmo Trust	Pair Corr
0.41	GMAQX	Gmo Emerging Markets	Pair Corr
0.41	GMAUX	Gmo Emerging Markets	Pair Corr
0.37	GOFIX	Gmo Resources	Pair Corr
0.37	GOVIX	Gmo Resources	Pair Corr
0.36	GMOYX	Gmo Trust	Pair Corr
0.33	GMOWX	Gmo Resources	Pair Corr

Related Correlations Analysis

	KMVAX	XHYIX	ARTQX	VFFVX	SISEX	OPTCX	LOGBX
KMVAX		0.53	0.68	0.65	-0.42	-0.3	0.07	KMVAX
XHYIX	0.53		0.62	0.53	-0.19	-0.21	0.3	XHYIX
ARTQX	0.68	0.62		0.89	0.08	0.02	0.62	ARTQX
VFFVX	0.65	0.53	0.89		0.31	0.18	0.7	VFFVX
SISEX	-0.42	-0.19	0.08	0.31		0.73	0.74	SISEX
OPTCX	-0.3	-0.21	0.02	0.18	0.73		0.58	OPTCX
LOGBX	0.07	0.3	0.62	0.7	0.74	0.58		LOGBX
	KMVAX	XHYIX	ARTQX	VFFVX	SISEX	OPTCX	LOGBX

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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

VFFVX	+ 0.89	ARTQX
LOGBX	+ 0.74	SISEX
OPTCX	+ 0.73	SISEX
LOGBX	+ 0.7	VFFVX
ARTQX	+ 0.68	KMVAX
VFFVX	+ 0.65	KMVAX

High negative correlations

SISEX	- 0.42	KMVAX
OPTCX	- 0.3	KMVAX
OPTCX	- 0.21	XHYIX
SISEX	- 0.19	XHYIX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo High 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 High'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
KMVAX	1.14	(0.01)	0.00	(0.08)	0.00	0.00	1.72	(2.51)	9.45
XHYIX	0.16	(0.04)	0.00	1.15	0.00	0.00	0.25	(0.49)	1.31
ARTQX	0.74	(0.03)	0.00	(0.11)	0.00	0.00	1.39	(1.55)	3.11
VFFVX	0.63	0.01	0.00	(0.05)	0.00	0.00	1.12	(1.31)	3.75
SISEX	0.60	0.11	0.19	0.22	0.72	(0.64)	1.64	(1.55)	4.04
OPTCX	0.07	(0.01)	0.27	1.48	0.09	(0.17)	0.21	(0.21)	0.93
LOGBX	0.51	0.01	0.00	(0.06)	0.00	0.00	0.83	(1.17)	4.19

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