Gamco Global Correlations

GGN Fund

USD 5.49 0.14 2.49%

The current 90-days correlation between Gamco Global and Brookfield Real Assets is 0.1 (i.e., Average 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

Very poor diversification

The correlation between Gamco Global and DJI is 0.87 (i.e., Very poor 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 census.

Moving together with Gamco Fund

0.73	RYMEX	Commodities Strategy	Pair Corr
0.8	RYMJX	Commodities Strategy	Pair Corr
0.73	RYMBX	Commodities Strategy	Pair Corr
0.9	BRUFX	Bruce Fund Bruce	Pair Corr
0.72	SPGSX	State Street Premier	Pair Corr
0.88	KF	Korea Closed	Pair Corr
0.89	APITX	Api Growth Fund	Pair Corr
0.76	SSMMX	Western Asset Managed	Pair Corr
0.92	MACVX	Mfs Servative Allocation	Pair Corr
0.85	SACAX	Strategic Asset Mana	Pair Corr
0.85	IRSNX	Voya Target Retirement	Pair Corr
0.76	RMQAX	Monthly Rebalance	Pair Corr
0.87	FTCCX	Franklin Conservative	Pair Corr
0.77	RGIVX	Rare Global Infrastr	Pair Corr
0.71	SUHAX	Deutsche Health And	Pair Corr
0.9	PACYX	Putnam Dynamic Asset	Pair Corr
0.81	STSRX	American Beacon Stephens	Pair Corr
0.62	RCBCX	American Funds Porate	Pair Corr
0.86	EPIBX	Europac International	Pair Corr
0.89	CUBIX	Calvert Unconstrained	Pair Corr
0.75	QCBMPX	Cref Core Bond	Pair Corr
0.92	QCSCPX	Cref Social Choice	Pair Corr
0.95	FMFEX	Materials Portfolio	Pair Corr
0.92	CWGFX	Capital World Growth	Pair Corr
0.7	PFRZX	Putnam Floating Rate	Pair Corr
0.76	QCBMIX	Cref Bond Market	Pair Corr
0.93	TIHIX	Transamerica International	Pair Corr
0.73	FNIIX	Franklin New Jersey	Pair Corr
0.93	AVDVX	Avantis International	Pair Corr
0.81	OFVIX	Oshaughnessy Market	Pair Corr
0.88	PAHUX	Prudential Investment	Pair Corr
0.83	JVARX	Jpmorgan Value Advantage	Pair Corr
0.92	FHREX	Fidelity Freedom Blend	Pair Corr
0.91	FSTAX	Fidelity Advisor Str	Pair Corr
0.91	GEMYX	Emerging Markets Equity	Pair Corr
0.88	SBTIX	Salient Tactical Plus	Pair Corr
0.84	VSGAX	Vanguard Small Cap	Pair Corr
0.8	JSHNX	Janus Short Term	Pair Corr
0.92	NAPIX	Voya Multi Manager	Pair Corr

Related Correlations Analysis

	RA	EMO	BCX	GGT	PFN	GOLDX	GLDIX	FFC	EKWDX	BAQAX
RA		0.88	0.81	0.59	0.64	0.68	0.68	0.89	0.65	0.83	RA
EMO	0.88		0.91	0.68	0.7	0.83	0.83	0.87	0.8	0.91	EMO
BCX	0.81	0.91		0.86	0.81	0.95	0.95	0.89	0.93	0.97	BCX
GGT	0.59	0.68	0.86		0.76	0.86	0.86	0.75	0.88	0.78	GGT
PFN	0.64	0.7	0.81	0.76		0.75	0.76	0.71	0.83	0.83	PFN
GOLDX	0.68	0.83	0.95	0.86	0.75		1.0	0.78	0.91	0.89	GOLDX
GLDIX	0.68	0.83	0.95	0.86	0.76	1.0		0.78	0.91	0.89	GLDIX
FFC	0.89	0.87	0.89	0.75	0.71	0.78	0.78		0.76	0.87	FFC
EKWDX	0.65	0.8	0.93	0.88	0.83	0.91	0.91	0.76		0.92	EKWDX
BAQAX	0.83	0.91	0.97	0.78	0.83	0.89	0.89	0.87	0.92		BAQAX
	RA	EMO	BCX	GGT	PFN	GOLDX	GLDIX	FFC	EKWDX	BAQAX

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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	0.29	0.06	0.05	4.53	0.23	(0.35)	0.63	(0.48)	1.65
EMO	0.72	0.29	0.32	6.32	0.37	(0.89)	2.16	(1.08)	3.97
BCX	1.11	0.34	0.21	0.60	1.19	(1.20)	2.25	(2.66)	7.34
GGT	0.89	0.04	0.01	0.15	1.02	(1.08)	1.74	(1.75)	6.16
PFN	0.38	0.00	(0.06)	0.05	0.48	(0.42)	0.82	(0.83)	3.18
GOLDX	2.08	0.60	0.16	(1.40)	2.76	(2.24)	4.66	(4.65)	18.06
GLDIX	2.08	0.60	0.16	(1.40)	2.76	(2.24)	4.63	(4.64)	18.06
FFC	0.33	0.02	(0.03)	0.21	0.34	(0.38)	0.75	(0.67)	2.00
EKWDX	1.03	0.41	0.30	3.16	0.48	(1.71)	2.77	(1.31)	7.30
BAQAX	0.59	0.16	0.23	0.34	0.22	(0.72)	1.54	(0.90)	3.58

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Gamco Global Correlations

Gamco Global Correlation With Market

Very poor diversification

Moving together with Gamco Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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