Gmo Equity Correlations

GMUEX Fund

USD 13.04 0.25 1.95%

The current 90-days correlation between Gmo Equity Allocation and Gmo High Yield is -0.2 (i.e., Good diversification). The correlation of Gmo Equity 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 Equity Correlation With Market

Poor diversification

The correlation between Gmo Equity Allocation and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Equity Allocation 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 Equity Allocation. 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 income.

Moving together with Gmo Mutual Fund

0.75	GUSOX	Gmo Trust	Pair Corr
0.76	GEACX	Gmo Trust	Pair Corr
0.83	GMAWX	Gmo Small Cap	Pair Corr
0.83	GMAYX	Gmo Small Cap	Pair Corr
0.66	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.67	GMAOX	Gmo Trust	Pair Corr
1.0	GMCQX	Gmo Equity Allocation	Pair Corr
0.75	PPADX	Gmo Trust	Pair Corr
0.76	PPAEX	Gmo Trust	Pair Corr
0.75	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.56	GUGAX	Gmo E Plus	Pair Corr
0.55	IOVFX	Gmo International	Pair Corr
0.55	GIMFX	Gmo Implementation	Pair Corr
0.55	GMAZX	Gmo International	Pair Corr
0.48	GUSTX	Gmo Treasury	Pair Corr
0.48	GIOTX	Gmo International	Pair Corr
0.47	GIEAX	Gmo International Equity	Pair Corr
0.32	GEMEX	Gmo Emerging Markets	Pair Corr
0.64	GMAKX	Gmo Usonian Japan	Pair Corr
0.63	GMOLX	Gmo Opportunistic Income	Pair Corr
0.62	GMAHX	Gmo Usonian Japan	Pair Corr
0.6	GMIIX	Gmo Usonian Japan	Pair Corr
0.6	GMODX	Gmo Opportunistic Income	Pair Corr
0.6	GMOHX	Gmo Opportunistic Income	Pair Corr
0.45	GMCFX	Gmo International Equity	Pair Corr
0.45	GMOIX	Gmo International Equity	Pair Corr
0.56	GPBFX	Gmo E Plus	Pair Corr
0.45	GMOUX	Gmo International Equity	Pair Corr

Related Correlations Analysis

	GHVIX	DLTNX	PRVBX	UIITX	TTRBX	RULFX	PBNAX
GHVIX		0.82	0.88	0.84	0.87	0.84	0.85	GHVIX
DLTNX	0.82		0.96	0.99	0.98	0.86	0.99	DLTNX
PRVBX	0.88	0.96		0.95	0.97	0.92	0.95	PRVBX
UIITX	0.84	0.99	0.95		0.99	0.85	0.99	UIITX
TTRBX	0.87	0.98	0.97	0.99		0.89	0.98	TTRBX
RULFX	0.84	0.86	0.92	0.85	0.89		0.83	RULFX
PBNAX	0.85	0.99	0.95	0.99	0.98	0.83		PBNAX
	GHVIX	DLTNX	PRVBX	UIITX	TTRBX	RULFX	PBNAX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Equity 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 Equity'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
GHVIX	0.16	0.00	0.18	(0.11)	0.16	(0.17)	0.30	(0.35)	1.01
DLTNX	0.23	0.02	0.19	0.84	0.16	(0.31)	0.57	(0.34)	1.40
PRVBX	0.10	0.01	0.41	0.26	0.00	(0.13)	0.23	(0.17)	0.53
UIITX	0.23	0.01	0.16	0.51	0.21	(0.29)	0.55	(0.43)	1.45
TTRBX	0.16	0.01	0.22	1.13	0.10	(0.19)	0.40	(0.30)	0.82
RULFX	0.05	0.01	0.00	(0.67)	0.00	0.00	0.10	(0.10)	0.60
PBNAX	0.22	0.01	0.15	0.20	0.21	(0.27)	0.43	(0.43)	1.22

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