Gmo Quality Correlations

GQLOX Fund

USD 32.66 0.03 0.09%

The current 90-days correlation between Gmo Quality Fund and Gmo E Plus is 0.14 (i.e., Average diversification). The correlation of Gmo Quality 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 Quality Correlation With Market

Poor diversification

The correlation between Gmo Quality Fund and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Quality Fund 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 Quality Fund. 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 persons.

Moving together with Gmo Mutual Fund

0.88	GUSOX	Gmo Trust	Pair Corr
1.0	GQESX	Gmo Quality Fund	Pair Corr
1.0	GQETX	Gmo Quality Fund	Pair Corr
1.0	GQEFX	Gmo Quality Fund	Pair Corr
1.0	GQLIX	Gmo Quality Fund	Pair Corr
0.63	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.63	VTSMX	Vanguard Total Stock	Pair Corr
0.63	VITSX	Vanguard Total Stock	Pair Corr
0.63	VSMPX	Vanguard Total Stock	Pair Corr
0.63	VSTSX	Vanguard Total Stock	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr
0.65	VFFSX	Vanguard 500 Index	Pair Corr
0.63	VINIX	Vanguard Institutional	Pair Corr
0.63	VIIIX	Vanguard Institutional	Pair Corr
0.62	ERH	Allspring Utilities And	Pair Corr
0.83	PGLSX	Global Multi Strategy	Pair Corr

Moving against Gmo Mutual Fund

0.64

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	GUGAX	GQESX	GQETX	GQEFX	GUSOX	GUSTX	GQLIX	GQLOX	GMAWX
GUGAX		0.12	0.12	0.12	0.0	0.84	0.11	0.12	-0.8	GUGAX
GQESX	0.12		1.0	1.0	0.88	0.16	1.0	1.0	0.27	GQESX
GQETX	0.12	1.0		1.0	0.88	0.16	1.0	1.0	0.27	GQETX
GQEFX	0.12	1.0	1.0		0.88	0.17	1.0	1.0	0.26	GQEFX
GUSOX	0.0	0.88	0.88	0.88		0.11	0.88	0.88	0.4	GUSOX
GUSTX	0.84	0.16	0.16	0.17	0.11		0.16	0.17	-0.8	GUSTX
GQLIX	0.11	1.0	1.0	1.0	0.88	0.16		1.0	0.27	GQLIX
GQLOX	0.12	1.0	1.0	1.0	0.88	0.17	1.0		0.26	GQLOX
GMAWX	-0.8	0.27	0.27	0.26	0.4	-0.8	0.27	0.26		GMAWX
	GUGAX	GQESX	GQETX	GQEFX	GUSOX	GUSTX	GQLIX	GQLOX	GMAWX

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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

GQETX	+ 1.0	GQESX
GQEFX	+ 1.0	GQESX
GQLIX	+ 1.0	GQESX
GQLOX	+ 1.0	GQESX
GQEFX	+ 1.0	GQETX
GQLIX	+ 1.0	GQETX

High negative correlations

GMAWX	- 0.8	GUSTX
GMAWX	- 0.8	GUGAX
GUSOX	- 0.0	GUGAX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Quality 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 Quality'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
GUGAX	0.22	0.03	0.31	0.90	0.17	(0.27)	0.47	(0.41)	1.42
GQESX	0.62	0.00	0.00	(0.06)	0.00	0.00	1.23	(1.56)	3.87
GQETX	0.62	0.00	0.00	(0.06)	0.00	0.00	1.23	(1.59)	3.89
GQEFX	0.62	0.00	0.00	(0.06)	0.00	0.00	1.21	(1.58)	3.91
GUSOX	0.67	0.00	0.00	(0.06)	0.00	0.00	1.18	(1.35)	3.34
GUSTX	0.03	0.01	0.00	0.54	0.00	0.00	0.20	0.00	0.40
GQLIX	0.62	0.00	0.00	(0.06)	0.00	0.00	1.22	(1.56)	3.88
GQLOX	0.61	0.00	0.00	(0.06)	0.00	0.00	1.22	(1.56)	3.89
GMAWX	0.84	(0.19)	0.00	(0.29)	0.00	0.00	1.33	(2.11)	4.51

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