Gmo High Correlations

GHVIX Fund

USD 18.00 0.01 0.06%

The current 90-days correlation between Gmo High Yield and Prudential High Yield is 0.51 (i.e., Very weak 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

Very weak diversification

The correlation between Gmo High Yield and DJI is 0.52 (i.e., Very weak 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

0.66	GUSOX	Gmo Trust	Pair Corr
0.67	GMAWX	Gmo Small Cap	Pair Corr
0.67	GMAYX	Gmo Small Cap	Pair Corr
0.9	GMDFX	Gmo Emerging Country	Pair Corr
0.84	GMCDX	Gmo Emerging Ntry	Pair Corr
0.66	GMCQX	Gmo Equity Allocation	Pair Corr
0.63	GMOHX	Gmo Opportunistic Income	Pair Corr
0.9	GMOQX	Gmo Emerging Country	Pair Corr
1.0	GMOZX	Gmo High Yield	Pair Corr
0.66	GMUEX	Gmo Equity Allocation	Pair Corr
0.77	GQESX	Gmo Quality Fund	Pair Corr
0.77	GQETX	Gmo Quality Fund	Pair Corr
0.77	GQEFX	Gmo Quality Fund	Pair Corr
0.77	GQLIX	Gmo Quality Fund	Pair Corr
0.77	GQLOX	Gmo Quality Fund	Pair Corr
0.63	GAAAX	Gmo Opportunistic Income	Pair Corr

Moving against Gmo Mutual Fund

0.45	GAAKX	Gmo Alternative Allo	Pair Corr
0.44	GAAGX	Gmo Alternative Allo	Pair Corr
0.43	GAAVX	Gmo Alternative Allo	Pair Corr
0.36	GABFX	Gmo Asset Allocation	Pair Corr

Related Correlations Analysis

	PHYZX	EAPCX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP
PHYZX		0.68	-0.63	0.0	-0.47	0.73	0.54	0.97	-0.21	0.13	PHYZX
EAPCX	0.68		-0.53	0.0	-0.59	0.82	0.38	0.61	-0.05	-0.05	EAPCX
444859BR2	-0.63	-0.53		0.0	0.21	-0.63	-0.02	-0.58	0.24	-0.31	444859BR2
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.47	-0.59	0.21	0.0		-0.51	-0.43	-0.41	-0.02	0.09	BRRAY
MSTSX	0.73	0.82	-0.63	0.0	-0.51		0.33	0.69	0.02	-0.12	MSTSX
ABHYX	0.54	0.38	-0.02	0.0	-0.43	0.33		0.56	-0.02	-0.22	ABHYX
LBHIX	0.97	0.61	-0.58	0.0	-0.41	0.69	0.56		-0.21	0.13	LBHIX
SCAXF	-0.21	-0.05	0.24	0.0	-0.02	0.02	-0.02	-0.21		-0.75	SCAXF
VIASP	0.13	-0.05	-0.31	0.0	0.09	-0.12	-0.22	0.13	-0.75		VIASP
	PHYZX	EAPCX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

LBHIX	+ 0.97	PHYZX
MSTSX	+ 0.82	EAPCX
MSTSX	+ 0.73	PHYZX
LBHIX	+ 0.69	MSTSX
EAPCX	+ 0.68	PHYZX
LBHIX	+ 0.61	EAPCX

High negative correlations

VIASP	- 0.75	SCAXF
MSTSX	- 0.63	444859BR2
444859BR2	- 0.63	PHYZX
BRRAY	- 0.59	EAPCX
LBHIX	- 0.58	444859BR2
444859BR2	- 0.53	EAPCX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PHYZX	0.12	0.02	(0.36)	0.98	0.00	(0.29)	0.42	(0.21)	0.63
EAPCX	0.65	0.05	(0.04)	0.58	0.84	(0.66)	1.48	(1.45)	3.53
444859BR2	1.31	(0.03)	0.00	0.36	0.00	0.00	5.93	(4.50)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	0.04	(0.11)	(0.30)	0.52	(0.59)	1.21	(1.02)	2.80
ABHYX	0.16	0.00	(0.20)	0.08	0.26	(0.24)	0.34	(0.33)	1.91
LBHIX	0.11	0.01	(0.32)	0.44	0.00	(0.29)	0.24	(0.24)	0.96
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.11	0.01	(3.65)	1.04	(0.83)	2.28	(1.15)	7.18

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC