Gmo Asset Correlations

GABFX Fund

USD 18.75 0.10 0.53%

The current 90-days correlation between Gmo Asset Allocation and Gmo High Yield is 0.08 (i.e., Significant diversification). The correlation of Gmo Asset 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 Asset Correlation With Market

Very good diversification

The correlation between Gmo Asset Allocation and DJI is -0.48 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Asset 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 Asset 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 price.

Moving against Gmo Mutual Fund

0.58	GMBCX	Gmo International	Pair Corr
0.57	GUSTX	Gmo Treasury	Pair Corr
0.56	GUSOX	Gmo Trust	Pair Corr
0.56	IOVFX	Gmo International	Pair Corr
0.56	GMAZX	Gmo International	Pair Corr
0.55	GMAWX	Gmo Small Cap	Pair Corr
0.53	GEMEX	Gmo Emerging Markets	Pair Corr
0.53	GEMNX	Gmo Emerging Markets	Pair Corr
0.53	GHVIX	Gmo High Yield	Pair Corr
0.52	GIEAX	Gmo International Equity	Pair Corr
0.52	GMADX	Gmo Global Equity	Pair Corr
0.51	GEACX	Gmo Trust	Pair Corr
0.51	GEMMX	Gmo Emerging Markets	Pair Corr
0.51	GWOAX	Gmo Global Developed	Pair Corr
0.51	GIOTX	Gmo International	Pair Corr
0.5	GIMFX	Gmo Implementation	Pair Corr
0.5	GMAYX	Gmo Small Cap	Pair Corr
0.63	GMCQX	Gmo Equity Allocation	Pair Corr
0.55	PPADX	Gmo Trust	Pair Corr
0.52	GMAQX	Gmo Emerging Markets	Pair Corr
0.52	GMAUX	Gmo Emerging Markets	Pair Corr
0.52	GMGEX	Gmo Global Equity	Pair Corr
0.51	GMCFX	Gmo International Equity	Pair Corr
0.51	GMEMX	Gmo Emerging Markets	Pair Corr
0.51	GMOEX	Gmo Emerging Markets	Pair Corr
0.51	GMOIX	Gmo International Equity	Pair Corr
0.5	GMDFX	Gmo Emerging Country	Pair Corr
0.49	GMCDX	Gmo Emerging Ntry	Pair Corr
0.49	GMOOX	Gmo Global Asset	Pair Corr
0.46	GMAKX	Gmo Usonian Japan	Pair Corr
0.46	GMIIX	Gmo Usonian Japan	Pair Corr
0.43	GMAHX	Gmo Usonian Japan	Pair Corr
0.34	GMODX	Gmo Opportunistic Income	Pair Corr
0.32	GMOLX	Gmo Opportunistic Income	Pair Corr
0.63	GMUEX	Gmo Equity Allocation	Pair Corr
0.58	PPAJX	Gmo Opportunistic Value	Pair Corr
0.56	UUOAX	Gmo Trust	Pair Corr
0.56	GQESX	Gmo Quality Fund	Pair Corr

Related Correlations Analysis

	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX
GUGAX		0.74	0.74	0.83	0.81	0.83	0.81	0.83	0.73	0.77	GUGAX
GUSOX	0.74		0.88	0.83	0.82	0.82	0.82	0.96	0.94	0.94	GUSOX
GUSTX	0.74	0.88		0.86	0.89	0.9	0.89	0.92	0.87	0.93	GUSTX
GEACX	0.83	0.83	0.86		0.98	0.98	0.98	0.93	0.82	0.85	GEACX
GEMEX	0.81	0.82	0.89	0.98		0.99	1.0	0.91	0.81	0.85	GEMEX
GEMMX	0.83	0.82	0.9	0.98	0.99		0.99	0.92	0.82	0.86	GEMMX
GEMNX	0.81	0.82	0.89	0.98	1.0	0.99		0.91	0.81	0.85	GEMNX
GWOAX	0.83	0.96	0.92	0.93	0.91	0.92	0.91		0.91	0.96	GWOAX
IOVFX	0.73	0.94	0.87	0.82	0.81	0.82	0.81	0.91		0.92	IOVFX
GHVIX	0.77	0.94	0.93	0.85	0.85	0.86	0.85	0.96	0.92		GHVIX
	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Asset 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 Asset'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	0.13	0.01	(0.46)	0.28	0.00	(0.16)	0.28	(0.23)	0.63
GUSOX	0.60	0.21	0.22	3.20	0.14	(0.78)	1.58	(0.90)	3.33
GUSTX	0.02	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.40
GEACX	1.03	0.29	0.20	0.45	1.04	(1.18)	2.51	(1.79)	7.20
GEMEX	0.63	0.20	0.16	1.76	0.47	(0.76)	1.34	(0.99)	4.11
GEMMX	0.62	0.18	0.16	0.47	0.45	(0.76)	1.35	(1.01)	4.12
GEMNX	0.62	0.21	0.16	1.88	0.49	(0.72)	1.30	(0.99)	4.16
GWOAX	0.58	0.15	0.17	0.27	0.40	(0.67)	1.51	(1.14)	3.42
IOVFX	0.87	0.56	0.62	(6.39)	0.00	(1.16)	1.76	(1.13)	18.18
GHVIX	0.09	0.02	(0.45)	1.07	0.00	(0.13)	0.23	(0.17)	0.70

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Gmo Asset Correlations

Gmo Asset Correlation With Market

Very good diversification

Moving against Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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