Gmo Core Correlations

GPBFX Fund

USD 17.43 0.02 0.11%

The current 90-days correlation between Gmo E Plus and Doubleline Global Bond is 0.76 (i.e., Poor diversification). The correlation of Gmo Core 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 Core Correlation With Market

Average diversification

The correlation between Gmo E Plus and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus 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 E Plus. 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 census.

Moving together with GMO Mutual Fund

0.92	MWTNX	Metropolitan West Total	Pair Corr
0.99	MWTSX	Metropolitan West Total	Pair Corr
0.93	PTTPX	Pimco Total Return	Pair Corr
0.93	PTRRX	Total Return	Pair Corr
0.93	PTRAX	Total Return	Pair Corr
1.0	PTTRX	Total Return	Pair Corr
0.93	FIWGX	Strategic Advisers	Pair Corr
1.0	DODIX	Dodge Income	Pair Corr
0.92	MWTIX	Metropolitan West Total	Pair Corr
0.99	MWTRX	Metropolitan West Total	Pair Corr
0.88	VGTSX	Vanguard Total Inter	Pair Corr
0.88	VTIAX	Vanguard Total Inter	Pair Corr
0.85	JSEAX	Jpmorgan International	Pair Corr
0.81	VZ	Verizon Communications Aggressive Push	Pair Corr
0.69	TRV	The Travelers Companies	Pair Corr
0.69	MCD	McDonalds	Pair Corr

Moving against GMO Mutual Fund

0.55	VSMPX	Vanguard Total Stock	Pair Corr
0.55	VSTSX	Vanguard Total Stock	Pair Corr
0.55	VITSX	Vanguard Total Stock	Pair Corr
0.51	VTSAX	Vanguard Total Stock	Pair Corr
0.51	VTSMX	Vanguard Total Stock	Pair Corr
0.51	VFFSX	Vanguard 500 Index	Pair Corr
0.47	VFIAX	Vanguard 500 Index	Pair Corr
0.47	VFINX	Vanguard 500 Index	Pair Corr
0.68	CAT	Caterpillar	Pair Corr
0.55	AXP	American Express	Pair Corr
0.51	AA	Alcoa Corp	Pair Corr
0.48	DIS	Walt Disney	Pair Corr
0.42	BA	Boeing Buyout Trend	Pair Corr
0.41	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	DLGBX	PRSAX	GGIJX	SGMAX	MFIRX	DBLGX	RGHYX
DLGBX		0.88	0.66	0.81	0.91	1.0	0.72	DLGBX
PRSAX	0.88		0.72	0.94	0.94	0.88	0.82	PRSAX
GGIJX	0.66	0.72		0.75	0.62	0.67	0.5	GGIJX
SGMAX	0.81	0.94	0.75		0.9	0.81	0.87	SGMAX
MFIRX	0.91	0.94	0.62	0.9		0.92	0.9	MFIRX
DBLGX	1.0	0.88	0.67	0.81	0.92		0.72	DBLGX
RGHYX	0.72	0.82	0.5	0.87	0.9	0.72		RGHYX
	DLGBX	PRSAX	GGIJX	SGMAX	MFIRX	DBLGX	RGHYX

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Risk-Adjusted Indicators

There is a big difference between GMO Mutual Fund performing well and Gmo Core 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 Core'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
DLGBX	0.22	0.04	0.37	0.59	0.10	(0.28)	0.74	(0.37)	1.23
PRSAX	0.15	0.02	0.60	1.82	0.00	(0.24)	0.40	(0.20)	0.81
GGIJX	0.56	0.11	0.21	(0.94)	0.64	(0.62)	1.44	(1.24)	3.84
SGMAX	0.42	0.10	0.33	3.68	0.33	(0.51)	0.95	(0.72)	2.73
MFIRX	0.11	0.02	0.31	0.75	0.00	(0.21)	0.19	(0.38)	0.77
DBLGX	0.22	0.04	0.39	0.61	0.05	(0.30)	0.62	(0.36)	1.21
RGHYX	0.12	0.02	0.41	0.10	0.00	(0.16)	0.21	(0.30)	1.13

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