Gmo High Correlations

GHVIX Fund

USD 17.25 0.01 0.06%

The current 90-days correlation between Gmo High Yield and T Rowe Price is 0.18 (i.e., Average diversification). The correlation of Gmo High 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 High Correlation With Market

Modest diversification

The correlation between Gmo High Yield and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield 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 High Yield. 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 gross domestic product.

Moving together with Gmo Mutual Fund

0.93	GUSOX	Gmo Trust	Pair Corr
0.65	GUSTX	Gmo Treasury	Pair Corr
0.7	GEACX	Gmo Trust	Pair Corr
0.71	GEMNX	Gmo Emerging Markets	Pair Corr
0.8	GWOAX	Gmo Global Developed	Pair Corr
0.7	GIEAX	Gmo International Equity	Pair Corr
0.73	GIMFX	Gmo Implementation	Pair Corr
0.74	GIOTX	Gmo International	Pair Corr
0.8	GMAWX	Gmo Small Cap	Pair Corr
0.82	GMADX	Gmo Global Equity	Pair Corr
0.82	GMDFX	Gmo Emerging Country	Pair Corr
0.74	GMCDX	Gmo Emerging Ntry	Pair Corr
0.74	GMCFX	Gmo International Equity	Pair Corr
0.92	GMCQX	Gmo Equity Allocation	Pair Corr
0.75	GMGEX	Gmo Global Equity	Pair Corr
0.66	GMODX	Gmo Opportunistic Income	Pair Corr
0.72	GMOHX	Gmo Opportunistic Income	Pair Corr
0.74	GMOIX	Gmo International Equity	Pair Corr
0.68	GMOLX	Gmo Opportunistic Income	Pair Corr
0.71	GMOOX	Gmo Global Asset	Pair Corr
0.76	PPADX	Gmo Trust	Pair Corr
0.93	PPAEX	Gmo Trust	Pair Corr
0.75	PPAJX	Gmo Opportunistic Value	Pair Corr
0.74	GMOQX	Gmo Emerging Country	Pair Corr
0.66	GMOUX	Gmo International Equity	Pair Corr

Moving against Gmo Mutual Fund

0.33	IOVFX	Gmo International	Pair Corr
0.31	GMAZX	Gmo International	Pair Corr
0.31	GMBCX	Gmo International	Pair Corr
0.39	GMOZX	Gmo High Yield	Pair Corr
0.33	GQESX	Gmo Quality Fund	Pair Corr

Related Correlations Analysis

	PATFX	PRINX	ABIMX	FCSCX	SMAAX	PCMNX	CFNLX	PRFHX
PATFX		0.99	0.96	0.41	0.84	0.89	0.89	0.99	PATFX
PRINX	0.99		0.96	0.4	0.84	0.88	0.88	0.99	PRINX
ABIMX	0.96	0.96		0.47	0.88	0.91	0.89	0.96	ABIMX
FCSCX	0.41	0.4	0.47		0.74	0.69	0.76	0.42	FCSCX
SMAAX	0.84	0.84	0.88	0.74		0.97	0.96	0.83	SMAAX
PCMNX	0.89	0.88	0.91	0.69	0.97		0.97	0.89	PCMNX
CFNLX	0.89	0.88	0.89	0.76	0.96	0.97		0.89	CFNLX
PRFHX	0.99	0.99	0.96	0.42	0.83	0.89	0.89		PRFHX
	PATFX	PRINX	ABIMX	FCSCX	SMAAX	PCMNX	CFNLX	PRFHX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo High 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 High'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
PATFX	0.09	0.01	(0.44)	(1.00)	(0.12)	0.18	(0.18)	0.72
PRINX	0.07	0.01	(0.41)	(2.02)	(0.13)	0.18	(0.09)	0.71
ABIMX	0.09	0.01	(0.31)	(2.37)	(0.16)	0.31	(0.10)	0.93
FCSCX	0.04	0.00	0.00	(0.13)	0.00	0.13	(0.13)	0.53
SMAAX	0.06	0.01	(0.66)	0.76	(0.12)	0.19	(0.10)	0.29
PCMNX	0.05	0.02	(0.47)	2.30	(0.09)	0.16	(0.08)	0.33
CFNLX	0.06	0.01	(0.68)	3.13	(0.09)	0.11	(0.05)	0.48
PRFHX	0.09	0.01	(0.36)	10.05	(0.14)	0.18	(0.09)	0.81

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