Gmo Implementation Correlations

GIMFX Fund

USD 13.02 0.09 0.70%

The current 90-days correlation between Gmo Implementation and Qs Large Cap is -0.09 (i.e., Good diversification). The correlation of Gmo Implementation 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 Implementation Correlation With Market

Good diversification

The correlation between Gmo Implementation Fund and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Implementation Fund 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 Implementation Fund. 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 census.

Moving together with Gmo Mutual Fund

0.64	GUSTX	Gmo Treasury	Pair Corr
0.88	GIEAX	Gmo International Equity	Pair Corr
0.96	GIOTX	Gmo International	Pair Corr
0.93	GMCFX	Gmo International Equity	Pair Corr
0.62	GMOHX	Gmo Opportunistic Income	Pair Corr
0.93	GMOUX	Gmo International Equity	Pair Corr

Moving against Gmo Mutual Fund

0.55	GMAQX	Gmo Emerging Markets	Pair Corr
0.45	GMAWX	Gmo Small Cap Potential Growth	Pair Corr
0.45	GMAYX	Gmo Small Cap Potential Growth	Pair Corr
0.41	GMAOX	Gmo Trust	Pair Corr
0.44	PPADX	Gmo Trust	Pair Corr
0.41	GMCQX	Gmo Equity Allocation	Pair Corr
0.4	PPAJX	Gmo Opportunistic Value	Pair Corr
0.4	GMUEX	Gmo Equity Allocation	Pair Corr
0.4	UUOAX	Gmo Trust	Pair Corr
0.38	GOFIX	Gmo Resources	Pair Corr

Related Correlations Analysis

	LMUSX	TACLX	ENGRX	SMVLX	VAAGX	GMLGX	CMIFX	OAKMX
LMUSX		0.78	-0.52	0.71	0.82	0.9	-0.08	0.74	LMUSX
TACLX	0.78		-0.64	0.9	0.98	0.72	-0.48	0.75	TACLX
ENGRX	-0.52	-0.64		-0.53	-0.66	-0.56	0.63	-0.13	ENGRX
SMVLX	0.71	0.9	-0.53		0.93	0.54	-0.34	0.8	SMVLX
VAAGX	0.82	0.98	-0.66	0.93		0.74	-0.44	0.78	VAAGX
GMLGX	0.9	0.72	-0.56	0.54	0.74		-0.19	0.55	GMLGX
CMIFX	-0.08	-0.48	0.63	-0.34	-0.44	-0.19		0.06	CMIFX
OAKMX	0.74	0.75	-0.13	0.8	0.78	0.55	0.06		OAKMX
	LMUSX	TACLX	ENGRX	SMVLX	VAAGX	GMLGX	CMIFX	OAKMX

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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

VAAGX	+ 0.98	TACLX
VAAGX	+ 0.93	SMVLX
GMLGX	+ 0.9	LMUSX
SMVLX	+ 0.9	TACLX
VAAGX	+ 0.82	LMUSX
OAKMX	+ 0.8	SMVLX

High negative correlations

VAAGX	- 0.66	ENGRX
ENGRX	- 0.64	TACLX
GMLGX	- 0.56	ENGRX
SMVLX	- 0.53	ENGRX
ENGRX	- 0.52	LMUSX
CMIFX	- 0.48	TACLX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Implementation 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 Implementation'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
LMUSX	0.77	0.02	(0.01)	0.09	1.22	(0.73)	1.27	(1.50)	6.30
TACLX	0.57	0.00	(0.06)	0.06	0.78	(0.63)	1.03	(0.97)	5.47
ENGRX	0.70	0.09	0.01	0.54	1.24	(1.28)	3.00	(0.62)	10.01
SMVLX	0.67	(0.05)	0.00	(0.05)	0.00	0.00	1.12	(1.36)	4.73
VAAGX	0.64	(0.03)	(0.08)	0.00	0.80	(0.75)	1.14	(0.87)	5.45
GMLGX	0.73	0.00	(0.02)	0.08	1.30	(0.69)	1.22	(1.45)	7.56
CMIFX	0.07	0.00	(0.29)	(0.03)	0.07	(0.11)	0.10	(0.10)	0.82
OAKMX	0.65	0.06	0.02	0.20	0.66	(0.73)	1.27	(0.94)	6.63

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