Gmo Us Correlations

GCAVX Fund

USD 22.33 0.35 1.59%

The current 90-days correlation between Gmo Small Cap and Ab Centrated Growth is 0.62 (i.e., Poor diversification). The correlation of Gmo Us 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 Us Correlation With Market

Very poor diversification

The correlation between Gmo Small Cap and DJI is 0.84 (i.e., Very 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

0.8	GUSOX	Gmo Trust	Pair Corr
0.82	GMAWX	Gmo Small Cap	Pair Corr
0.82	GMAYX	Gmo Small Cap	Pair Corr
0.64	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.68	GMAOX	Gmo Trust	Pair Corr
0.84	GMCQX	Gmo Equity Allocation	Pair Corr
0.84	GMUEX	Gmo Equity Allocation	Pair Corr

Moving against Gmo Mutual Fund

0.62	GUGAX	Gmo E Plus	Pair Corr
0.5	GMAHX	Gmo Usonian Japan	Pair Corr
0.5	GMAKX	Gmo Usonian Japan	Pair Corr
0.42	GIOTX	Gmo International	Pair Corr
0.42	GMAQX	Gmo Emerging Markets	Pair Corr
0.42	GMAUX	Gmo Emerging Markets	Pair Corr
0.4	GMCFX	Gmo International Equity	Pair Corr
0.39	GIMFX	Gmo Implementation	Pair Corr
0.37	GMAZX	Gmo International	Pair Corr
0.34	IOVFX	Gmo International	Pair Corr
0.34	GIEAX	Gmo International Equity	Pair Corr
0.61	GPBFX	Gmo E Plus	Pair Corr
0.42	GMOIX	Gmo International Equity	Pair Corr
0.42	GMOUX	Gmo International Equity	Pair Corr
0.37	GAAGX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	WPASX	TEGAX	EIPIX	RGWCX	HSUAX	PGRTX
WPASX		0.77	0.71	0.84	0.8	0.85	WPASX
TEGAX	0.77		0.94	0.92	0.95	0.9	TEGAX
EIPIX	0.71	0.94		0.87	0.89	0.86	EIPIX
RGWCX	0.84	0.92	0.87		0.93	0.94	RGWCX
HSUAX	0.8	0.95	0.89	0.93		0.88	HSUAX
PGRTX	0.85	0.9	0.86	0.94	0.88		PGRTX
	WPASX	TEGAX	EIPIX	RGWCX	HSUAX	PGRTX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Us 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 Us' 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
WPASX	0.58	(0.02)	(0.05)	0.07	0.72	(0.62)	1.27	(1.15)	4.06
TEGAX	0.80	0.21	0.12	3.29	0.66	(0.92)	1.98	(1.17)	4.78
EIPIX	0.58	0.15	0.14	0.40	0.39	(0.70)	1.26	(0.98)	2.67
RGWCX	0.82	(0.01)	(0.01)	0.09	1.20	(0.76)	1.84	(2.35)	5.55
HSUAX	0.72	0.15	0.04	(1.02)	0.72	(0.84)	1.43	(1.41)	4.58
PGRTX	0.89	(0.02)	0.02	0.09	1.04	(0.97)	1.96	(1.84)	6.75

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