Gmo Quality Correlations
| GQLOX Fund | USD 34.05 0.09 0.26% |
The current 90-days correlation between Gmo Quality Fund and Doubleline Emerging Markets is 0.28 (i.e., Modest 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
Good diversification
The correlation between Gmo Quality Fund and DJI is -0.01 (i.e., Good 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.
Gmo |
Moving together with Gmo Mutual Fund
| 0.84 | GUGAX | Gmo E Plus | PairCorr |
| 0.65 | GUSOX | Gmo Trust | PairCorr |
| 0.77 | GEMEX | Gmo Emerging Markets | PairCorr |
| 0.76 | GEMMX | Gmo Emerging Markets | PairCorr |
| 0.78 | GEMNX | Gmo Emerging Markets | PairCorr |
| 0.78 | GWOAX | Gmo Global Developed | PairCorr |
| 0.88 | IOVFX | Gmo International | PairCorr |
| 0.65 | GHVIX | Gmo High Yield | PairCorr |
| 0.82 | GMAZX | Gmo International | PairCorr |
| 0.73 | GMADX | Gmo Global Equity | PairCorr |
| 0.89 | GMAEX | Gmo Quality Cyclicals | PairCorr |
| 0.8 | GMAHX | Gmo Usonian Japan | PairCorr |
| 0.81 | GMAKX | Gmo Usonian Japan | PairCorr |
| 0.85 | GMAOX | Gmo Trust | PairCorr |
| 0.73 | GMCQX | Gmo Equity Allocation | PairCorr |
| 0.78 | GMEMX | Gmo Emerging Markets | PairCorr |
| 0.73 | GMGEX | Gmo Global Equity | PairCorr |
| 0.83 | GMIIX | Gmo Usonian Japan | PairCorr |
| 0.78 | GMOEX | Gmo Emerging Markets | PairCorr |
| 0.84 | GMOOX | Gmo Global Asset | PairCorr |
| 0.64 | PPADX | Gmo Trust | PairCorr |
| 0.65 | PPAJX | Gmo Opportunistic Value | PairCorr |
Related Correlations Analysis
| 0.55 | 0.48 | 0.45 | 0.77 | 0.54 | 0.61 | DLENX | ||
| 0.55 | 0.84 | 0.97 | 0.84 | 0.9 | 0.89 | TEDMX | ||
| 0.48 | 0.84 | 0.8 | 0.72 | 0.72 | 0.87 | IGIEX | ||
| 0.45 | 0.97 | 0.8 | 0.81 | 0.92 | 0.85 | TEOJX | ||
| 0.77 | 0.84 | 0.72 | 0.81 | 0.83 | 0.79 | EMSLX | ||
| 0.54 | 0.9 | 0.72 | 0.92 | 0.83 | 0.85 | ZEMIX | ||
| 0.61 | 0.89 | 0.87 | 0.85 | 0.79 | 0.85 | CDHIX | ||
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DLENX | 0.11 | 0.02 | 0.18 | (4.62) | 0.00 | 0.22 | 0.67 | |||
| TEDMX | 0.68 | 0.08 | 0.10 | (2.78) | 0.77 | 1.47 | 3.66 | |||
| IGIEX | 0.27 | 0.02 | 0.07 | 0.29 | 0.26 | 0.73 | 1.47 | |||
| TEOJX | 0.64 | 0.10 | 0.13 | (55.50) | 0.65 | 1.38 | 3.16 | |||
| EMSLX | 0.62 | 0.03 | 0.04 | 0.18 | 0.86 | 1.25 | 3.47 | |||
| ZEMIX | 0.66 | 0.10 | 0.10 | (0.98) | 0.71 | 1.61 | 4.37 | |||
| CDHIX | 0.57 | 0.06 | 0.08 | (1.37) | 0.67 | 1.20 | 3.17 |