Gmo International Correlations

IOVFX Fund

15.80 0.12 0.75%

The current 90-days correlation between Gmo International and T Rowe Price is 0.7 (i.e., Poor diversification). The correlation of Gmo International 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 International Correlation With Market

Good diversification

The correlation between Gmo International Opportunisti and DJI is -0.2 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Opportunisti 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 International Opportunistic. 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

0.94	GUGAX	Gmo E Plus	Pair Corr
0.92	GUSTX	Gmo Treasury	Pair Corr
0.74	GWOAX	Gmo Global Developed	Pair Corr
0.81	GHVIX	Gmo High Yield	Pair Corr
0.97	GIEAX	Gmo International Equity	Pair Corr
0.68	GMADX	Gmo Global Equity	Pair Corr
0.94	GPBFX	Gmo E Plus	Pair Corr
0.89	GAAKX	Gmo Alternative Allo	Pair Corr
0.88	GABFX	Gmo Asset Allocation	Pair Corr
0.99	GTMIX	Gmo Tax Managed	Pair Corr
0.97	DOXFX	Dodge Cox International	Pair Corr
0.95	OANIX	Oakmark International	Pair Corr
0.99	DODFX	Dodge International Stock	Pair Corr
0.97	OAKIX	Oakmark International	Pair Corr
0.95	OAYIX	Oakmark International	Pair Corr
0.95	OAZIX	Oakmark International	Pair Corr
0.98	FINVX	Fidelity Series Inte	Pair Corr
0.96	VTRIX	Vanguard International	Pair Corr
0.98	RRIGX	T Rowe Price	Pair Corr
0.83	BRUFX	Bruce Fund Bruce	Pair Corr
0.82	KF	Korea Closed	Pair Corr
0.88	SGDLX	Sprott Gold Equity Steady Growth	Pair Corr
0.89	GIOIX	Guggenheim Macro Opp	Pair Corr

Moving against Gmo Mutual Fund

0.88	GMAWX	Gmo Small Cap	Pair Corr
0.88	GSBGX	Gmo Small Cap	Pair Corr
0.67	GMOWX	Gmo Resources	Pair Corr
0.67	GOFIX	Gmo Resources	Pair Corr
0.36	GMAQX	Gmo Emerging Markets	Pair Corr
0.35	GMAUX	Gmo Emerging Markets	Pair Corr
0.7	SPGSX	State Street Premier	Pair Corr

Related Correlations Analysis

	RPBAX	ABVCX	FBJYGX	FLAKQX	RTIUX	FTUFOX
RPBAX		0.9	0.36	0.84	0.57	0.23	RPBAX
ABVCX	0.9		0.0	0.8	0.24	-0.05	ABVCX
FBJYGX	0.36	0.0		0.2	0.82	0.78	FBJYGX
FLAKQX	0.84	0.8	0.2		0.28	0.18	FLAKQX
RTIUX	0.57	0.24	0.82	0.28		0.65	RTIUX
FTUFOX	0.23	-0.05	0.78	0.18	0.65		FTUFOX
	RPBAX	ABVCX	FBJYGX	FLAKQX	RTIUX	FTUFOX

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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

ABVCX	+ 0.9	RPBAX
FLAKQX	+ 0.84	RPBAX
RTIUX	+ 0.82	FBJYGX
FLAKQX	+ 0.8	ABVCX
FTUFOX	+ 0.78	FBJYGX
FTUFOX	+ 0.65	RTIUX

High negative correlations

FTUFOX	- 0.05	ABVCX
FBJYGX	- 0.0	ABVCX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo International 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 International'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
RPBAX	0.47	0.01	0.11	(0.21)	0.58	(0.46)	0.93	(0.99)	2.71
ABVCX	0.64	0.02	0.09	(0.31)	0.82	(0.66)	1.38	(1.38)	3.68
FBJYGX	0.71	0.11	0.17	(0.59)	0.80	(0.72)	1.76	(1.30)	5.64
FLAKQX	0.83	0.01	0.05	0.12	1.09	(0.94)	1.74	(1.84)	4.80
RTIUX	0.60	0.13	0.18	0.17	0.67	(0.65)	1.47	(1.41)	5.02
FTUFOX	0.10	0.00	0.47	0.29	0.00	(0.10)	0.20	(0.19)	0.60

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