Gamco Global Correlations

GGN Fund

USD 5.25 0.09 1.74%

The current 90-days correlation between Gamco Global and Brookfield Real Assets is 0.06 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Gamco Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Gamco Global moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Gamco Global Correlation With Market

Weak diversification

The correlation between Gamco Global and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gamco Global 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 Gamco Global. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Gamco Fund

0.76	PHK	Pimco High Income	Pair Corr
0.61	CEE	Central Europe Russia	Pair Corr
0.66	FEQIX	Fidelity Equity Income	Pair Corr
0.65	JPVZX	Jpmorgan International	Pair Corr
0.64	VSTCX	Vanguard Strategic	Pair Corr
0.66	AOD	Aberdeen Total Dynamic	Pair Corr
0.66	JAVTX	Janus Venture	Pair Corr
0.65	RITHX	American High Income	Pair Corr
0.65	OSVCX	Jpmorgan Small Cap	Pair Corr
0.62	DMA	Destra Multi Alternative	Pair Corr
0.7	RYTFX	Royce Total Return	Pair Corr
0.63	FODJX	Oklahoma College Savings	Pair Corr
0.61	PJGCX	Prudential Jennison	Pair Corr

Moving against Gamco Fund

0.34

JMUNX

Johnson Municipal Income

Pair Corr

Related Correlations Analysis

	RA	EMO	BCX	GGT	PFN	GOLDX	GLDIX	FFC	EKWDX	BAQAX
RA		0.03	0.06	0.09	0.32	-0.14	-0.14	0.34	-0.3	-0.03	RA
EMO	0.03		0.74	0.69	0.3	0.58	0.58	0.13	0.78	0.31	EMO
BCX	0.06	0.74		0.91	0.52	0.73	0.73	0.45	0.79	0.55	BCX
GGT	0.09	0.69	0.91		0.42	0.7	0.7	0.41	0.72	0.36	GGT
PFN	0.32	0.3	0.52	0.42		0.21	0.21	0.43	0.24	0.37	PFN
GOLDX	-0.14	0.58	0.73	0.7	0.21		1.0	0.07	0.68	0.15	GOLDX
GLDIX	-0.14	0.58	0.73	0.7	0.21	1.0		0.07	0.68	0.16	GLDIX
FFC	0.34	0.13	0.45	0.41	0.43	0.07	0.07		0.28	0.61	FFC
EKWDX	-0.3	0.78	0.79	0.72	0.24	0.68	0.68	0.28		0.47	EKWDX
BAQAX	-0.03	0.31	0.55	0.36	0.37	0.15	0.16	0.61	0.47		BAQAX
	RA	EMO	BCX	GGT	PFN	GOLDX	GLDIX	FFC	EKWDX	BAQAX

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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

GLDIX	+ 1.0	GOLDX
GGT	+ 0.91	BCX
EKWDX	+ 0.79	BCX
EKWDX	+ 0.78	EMO
BCX	+ 0.74	EMO
GOLDX	+ 0.73	BCX

High negative correlations

EKWDX	- 0.3	RA
GLDIX	- 0.14	RA
GOLDX	- 0.14	RA
BAQAX	- 0.03	RA

Risk-Adjusted Indicators

There is a big difference between Gamco Fund performing well and Gamco Global 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 Gamco Global'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
RA	0.35	(0.02)	0.00	(0.35)	0.00	0.00	0.62	(0.83)	2.15
EMO	0.76	(0.01)	(0.05)	0.06	0.97	(0.79)	1.93	(1.84)	4.45
BCX	0.88	0.11	0.09	0.22	0.81	(1.03)	2.06	(1.57)	4.96
GGT	0.87	0.04	(0.03)	1.29	0.97	(1.12)	2.04	(1.91)	5.40
PFN	0.39	(0.01)	(0.10)	0.01	0.55	(0.40)	0.96	(0.94)	2.85
GOLDX	1.98	0.07	0.01	0.21	4.06	(1.74)	3.75	(4.12)	22.20
GLDIX	1.98	0.07	0.01	0.22	3.99	(1.78)	3.74	(4.10)	22.16
FFC	0.36	(0.03)	(0.14)	(0.02)	0.49	(0.39)	0.74	(0.78)	3.21
EKWDX	1.03	0.41	0.28	9.23	0.48	(1.71)	2.77	(1.31)	7.30
BAQAX	0.72	0.04	0.03	0.13	0.83	(0.80)	1.56	(1.18)	4.39

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