Gmo Asset Correlations

GABFX Fund

USD 17.84 0.13 0.73%

The current 90-days correlation between Gmo Asset Allocation and Ultraemerging Markets Profund is 0.15 (i.e., Average 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

Significant diversification

The correlation between Gmo Asset Allocation and DJI is 0.05 (i.e., Significant 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 census.

Moving together with Gmo Mutual Fund

0.86	GUGAX	Gmo E Plus	Pair Corr
0.69	GUSOX	Gmo Trust	Pair Corr
0.61	GEACX	Gmo Trust	Pair Corr
0.75	GEMEX	Gmo Emerging Markets	Pair Corr
0.79	GEMMX	Gmo Emerging Markets	Pair Corr
0.79	GEMNX	Gmo Emerging Markets	Pair Corr
0.81	IOVFX	Gmo International	Pair Corr
0.65	GMAWX	Gmo Small Cap	Pair Corr
0.82	GMAYX	Gmo Small Cap Potential Growth	Pair Corr
0.82	GMAZX	Gmo International	Pair Corr
0.87	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.88	GMAOX	Gmo Trust	Pair Corr
0.84	GMAUX	Gmo Emerging Markets	Pair Corr
0.61	GMCQX	Gmo Equity Allocation	Pair Corr
0.79	GMEMX	Gmo Emerging Markets	Pair Corr
0.79	GMOEX	Gmo Emerging Markets	Pair Corr
0.64	GMOOX	Gmo Global Asset	Pair Corr
0.69	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.69	GUSTX	Gmo Treasury	Pair Corr
0.33	GIMFX	Gmo Implementation	Pair Corr
0.46	GMCFX	Gmo International Equity	Pair Corr
0.45	GMOIX	Gmo International Equity	Pair Corr
0.38	GMOHX	Gmo Opportunistic Income	Pair Corr
0.37	GMODX	Gmo Opportunistic Income	Pair Corr
0.37	GMOLX	Gmo Opportunistic Income	Pair Corr
0.45	GMOUX	Gmo International Equity	Pair Corr
0.36	GAAAX	Gmo Opportunistic Income	Pair Corr

Related Correlations Analysis

	UUPIX	LIGFX	RYWWX	FEMDX	CDHIX	FGWMX	LOTCX
UUPIX		0.31	-0.99	0.17	0.79	0.4	-0.52	UUPIX
LIGFX	0.31		-0.29	0.32	0.49	0.44	-0.12	LIGFX
RYWWX	-0.99	-0.29		-0.29	-0.83	-0.46	0.43	RYWWX
FEMDX	0.17	0.32	-0.29		0.62	0.78	0.37	FEMDX
CDHIX	0.79	0.49	-0.83	0.62		0.73	-0.27	CDHIX
FGWMX	0.4	0.44	-0.46	0.78	0.73		0.19	FGWMX
LOTCX	-0.52	-0.12	0.43	0.37	-0.27	0.19		LOTCX
	UUPIX	LIGFX	RYWWX	FEMDX	CDHIX	FGWMX	LOTCX

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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

CDHIX	+ 0.79	UUPIX
FGWMX	+ 0.78	FEMDX
FGWMX	+ 0.73	CDHIX
CDHIX	+ 0.62	FEMDX
CDHIX	+ 0.49	LIGFX
FGWMX	+ 0.44	LIGFX

High negative correlations

RYWWX	- 0.99	UUPIX
CDHIX	- 0.83	RYWWX
LOTCX	- 0.52	UUPIX
FGWMX	- 0.46	RYWWX
FEMDX	- 0.29	RYWWX
RYWWX	- 0.29	LIGFX

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
UUPIX	1.70	(0.05)	0.00	(0.12)	0.00	0.00	4.62	(4.84)	11.15
LIGFX	0.28	0.00	(0.15)	0.10	0.37	(0.29)	0.62	(0.50)	2.04
RYWWX	1.72	0.06	(0.03)	(0.06)	2.20	(1.91)	4.83	(4.70)	10.82
FEMDX	0.17	0.02	(0.26)	0.69	0.00	(0.23)	0.43	(0.35)	1.29
CDHIX	0.56	0.02	(0.08)	2.74	0.77	(0.58)	1.23	(1.35)	3.77
FGWMX	0.24	0.01	(0.22)	0.53	0.25	(0.27)	0.63	(0.48)	1.97
LOTCX	0.48	0.06	(0.05)	(2.26)	0.51	(0.56)	0.79	(0.98)	3.77

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