Gamco Global Correlations

GGN Fund

USD 4.13 0.08 1.90%

The current 90-days correlation between Gamco Global and Blackrock International Growth 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

Average diversification

The correlation between Gamco Global and DJI is 0.19 (i.e., Average 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

0.65	PDI	Pimco Dynamic Income	Pair Corr
0.64	LLPFX	Longleaf Partners	Pair Corr
0.69	RIV	Rivernorth Opportunities	Pair Corr
0.7	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.61	HD	Home Depot	Pair Corr
0.66	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr

Moving against Gamco Fund

0.51	USPSX	Profunds Ultrashort Potential Growth	Pair Corr
0.51	USPIX	Profunds Ultrashort Potential Growth	Pair Corr
0.32	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	BGY	BME	CII	GBAB	BOE	ETY	BIGZ	BMEZ	ACV	ECAT
BGY		0.46	-0.08	0.38	0.02	-0.23	-0.12	0.09	-0.11	-0.02	BGY
BME	0.46		-0.42	0.78	-0.43	-0.59	-0.61	0.59	-0.47	-0.22	BME
CII	-0.08	-0.42		-0.81	0.85	0.92	0.9	0.08	0.85	0.77	CII
GBAB	0.38	0.78	-0.81		-0.71	-0.87	-0.85	0.27	-0.71	-0.59	GBAB
BOE	0.02	-0.43	0.85	-0.71		0.87	0.84	-0.09	0.64	0.69	BOE
ETY	-0.23	-0.59	0.92	-0.87	0.87		0.95	-0.04	0.82	0.79	ETY
BIGZ	-0.12	-0.61	0.9	-0.85	0.84	0.95		-0.04	0.85	0.75	BIGZ
BMEZ	0.09	0.59	0.08	0.27	-0.09	-0.04	-0.04		-0.01	0.16	BMEZ
ACV	-0.11	-0.47	0.85	-0.71	0.64	0.82	0.85	-0.01		0.68	ACV
ECAT	-0.02	-0.22	0.77	-0.59	0.69	0.79	0.75	0.16	0.68		ECAT
	BGY	BME	CII	GBAB	BOE	ETY	BIGZ	BMEZ	ACV	ECAT

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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

BIGZ	+ 0.95	ETY
ETY	+ 0.92	CII
BIGZ	+ 0.9	CII
ETY	+ 0.87	BOE
BOE	+ 0.85	CII
ACV	+ 0.85	CII

High negative correlations

ETY	- 0.87	GBAB
BIGZ	- 0.85	GBAB
GBAB	- 0.81	CII
ACV	- 0.71	GBAB
BOE	- 0.71	GBAB
BIGZ	- 0.61	BME

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
BGY	0.72	(0.03)	(0.08)	0.05	0.93	(0.76)	1.63	(1.80)	4.72
BME	0.55	(0.14)	0.00	(0.15)	0.00	0.00	0.81	(1.15)	4.45
CII	0.45	(0.01)	(0.09)	0.10	0.56	(0.43)	1.12	(0.97)	2.54
GBAB	0.65	(0.17)	0.00	(7.57)	0.00	0.00	1.16	(1.56)	4.19
BOE	0.51	0.01	(0.09)	0.15	0.56	(0.55)	1.01	(1.16)	2.53
ETY	0.60	0.03	(0.02)	0.16	0.57	(0.69)	1.60	(1.22)	3.51
BIGZ	0.84	0.05	0.04	0.17	1.01	(0.86)	1.75	(1.59)	5.15
BMEZ	0.59	(0.08)	0.00	(0.02)	0.00	0.00	1.11	(1.10)	3.56
ACV	0.62	0.04	0.01	0.17	0.68	(0.67)	1.46	(1.22)	4.20
ECAT	0.66	(0.06)	(0.11)	0.02	0.91	(0.61)	1.17	(1.48)	3.38

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