Gmo Small Correlations

GCAVX Fund

USD 21.37 0.10 0.47%

The current 90-days correlation between Gmo Small Cap and Leader Short Term Bond is 0.04 (i.e., Significant diversification). The correlation of Gmo Small 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 Small Correlation With Market

Poor diversification

The correlation between Gmo Small Cap and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Small Cap 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 Small Cap. 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 real.

Moving together with Gmo Mutual Fund

0.93	VSIIX	Vanguard Small Cap	Pair Corr
0.93	VISVX	Vanguard Small Cap	Pair Corr
0.93	DFSVX	Us Small Cap	Pair Corr
0.92	DFFVX	Us Targeted Value	Pair Corr
0.88	UBVCX	Undiscovered Managers	Pair Corr
0.88	UBVAX	Undiscovered Managers	Pair Corr
0.89	UBVSX	Undiscovered Managers	Pair Corr
0.82	AVFIX	American Beacon Small	Pair Corr
0.77	WRHIX	Ivy High Income	Pair Corr
0.74	WHIAX	Ivy High Income	Pair Corr
0.77	IHIFX	Ivy High Income	Pair Corr
0.77	IVHIX	Ivy High Income	Pair Corr
0.75	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.76	AA	Alcoa Corp	Pair Corr
0.61	BAC	Bank of America	Pair Corr

Moving against Gmo Mutual Fund

0.54

PFE

Pfizer Inc Fiscal Year End 4th of February 2025

Pair Corr

Related Correlations Analysis

	LCCMX	AOUNX	RSHFX	TASTX	RSDIX	VMSSX
LCCMX		0.93	0.78	0.84	0.79	0.83	LCCMX
AOUNX	0.93		0.91	0.93	0.92	0.91	AOUNX
RSHFX	0.78	0.91		0.98	0.99	0.97	RSHFX
TASTX	0.84	0.93	0.98		0.98	0.96	TASTX
RSDIX	0.79	0.92	0.99	0.98		0.97	RSDIX
VMSSX	0.83	0.91	0.97	0.96	0.97		VMSSX
	LCCMX	AOUNX	RSHFX	TASTX	RSDIX	VMSSX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Small 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 Small'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LCCMX	0.11	0.04	0.00	1.73	0.00	0.25	0.00	1.84
AOUNX	0.05	0.01	(0.10)	1.70	(0.24)	0.10	(0.10)	0.62
RSHFX	0.09	0.00	(0.13)	0.24	(0.17)	0.21	(0.10)	0.72
TASTX	0.08	0.00	(0.14)	0.05	(0.18)	0.21	(0.10)	0.62
RSDIX	0.09	0.00	(0.14)	0.32	(0.17)	0.21	(0.10)	0.72
VMSSX	0.08	0.01	(0.05)	0.38	(0.29)	0.22	(0.22)	0.89

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