Gmo Implementation Correlations

GIMFX Fund

USD 15.89 0.03 0.19%

The current 90-days correlation between Gmo Implementation and Gmo International Equity is 0.88 (i.e., Very poor 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

Almost no diversification

The correlation between Gmo Implementation Fund and DJI is 0.9 (i.e., Almost no 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 price.

Moving together with GMO Mutual Fund

0.96	GHVIX	Gmo High Yield	Pair Corr
0.89	GMAWX	Gmo Small Cap	Pair Corr
0.98	GMADX	Gmo Global Equity	Pair Corr
0.89	GMAQX	Gmo Emerging Markets	Pair Corr
0.94	GMOWX	Gmo Resources	Pair Corr
0.93	GQESX	Gmo Quality Fund	Pair Corr
0.93	GQETX	Gmo Quality Fund	Pair Corr
0.94	CIBFX	Capital Income Builder	Pair Corr
0.94	CAIBX	Capital Income Builder	Pair Corr
0.94	CIBCX	Capital Income Builder	Pair Corr
0.94	RIRAX	Capital Income Builder	Pair Corr
0.67	RIREX	Capital Income Builder	Pair Corr
0.67	RIRCX	Capital Income Builder	Pair Corr
0.67	RIRFX	Capital Income Builder	Pair Corr
0.72	CIRCX	Capital Income Builder	Pair Corr
0.67	CIREX	Capital Income Builder	Pair Corr
0.94	RIRBX	Capital Income Builder	Pair Corr
0.8	PFN	Pimco Income Strategy	Pair Corr
0.89	JHRNX	Retirement Living Through	Pair Corr
0.86	QMORX	Aqr Large Cap	Pair Corr
0.85	MDEFX	Blackrock Eurofd	Pair Corr
0.87	FAWTX	American Funds 2060	Pair Corr
0.9	DHPAX	Diamond Hill Mid	Pair Corr
0.85	EVGRX	Evaluator Growth Rms	Pair Corr
0.88	VPKIX	Vanguard Pacific Stock	Pair Corr
0.89	JHRPX	Retirement Living Through	Pair Corr
0.94	TWADX	Value Fund A	Pair Corr
0.92	RRTAX	T Rowe Price	Pair Corr
0.94	PATRX	Pimco All Asset	Pair Corr
0.87	FFOLX	Fidelity Freedom Index	Pair Corr
0.92	PCIEX	Pace International Equity	Pair Corr

Moving against GMO Mutual Fund

0.76	XNBHX	Neuberger Berman Int	Pair Corr
0.69	XNXJX	Nuveen New Jersey	Pair Corr
0.65	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	GUGAX	GUSOX	GUSTX	GEMEX	GEMMX	GEMNX	GWOAX	GHVIX	GIEAX	GIMFX
GUGAX		0.42	0.5	0.65	0.63	0.52	0.66	0.56	0.47	0.47	GUGAX
GUSOX	0.42		0.64	0.46	0.38	0.71	0.72	0.95	0.94	0.95	GUSOX
GUSTX	0.5	0.64		0.77	0.76	0.63	0.86	0.63	0.66	0.66	GUSTX
GEMEX	0.65	0.46	0.77		0.93	0.75	0.81	0.53	0.58	0.53	GEMEX
GEMMX	0.63	0.38	0.76	0.93		0.7	0.83	0.44	0.5	0.44	GEMMX
GEMNX	0.52	0.71	0.63	0.75	0.7		0.66	0.8	0.89	0.84	GEMNX
GWOAX	0.66	0.72	0.86	0.81	0.83	0.66		0.71	0.71	0.68	GWOAX
GHVIX	0.56	0.95	0.63	0.53	0.44	0.8	0.71		0.96	0.96	GHVIX
GIEAX	0.47	0.94	0.66	0.58	0.5	0.89	0.71	0.96		0.99	GIEAX
GIMFX	0.47	0.95	0.66	0.53	0.44	0.84	0.68	0.96	0.99		GIMFX
	GUGAX	GUSOX	GUSTX	GEMEX	GEMMX	GEMNX	GWOAX	GHVIX	GIEAX	GIMFX

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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
GUGAX	0.14	(0.01)	(0.37)	(0.10)	0.16	(0.15)	0.23	(0.29)	0.69
GUSOX	0.59	0.08	0.11	0.17	0.41	(0.71)	1.58	(0.95)	3.33
GUSTX	0.03	0.01	0.00	2.23	0.00	0.00	0.00	0.00	0.40
GEMEX	0.55	0.15	0.15	1.06	0.37	(0.66)	1.25	(0.97)	2.43
GEMMX	0.55	0.14	0.15	0.37	0.36	(0.66)	1.26	(1.01)	2.45
GEMNX	0.54	0.14	0.16	0.38	0.35	(0.63)	1.27	(0.97)	2.39
GWOAX	0.58	0.08	0.09	0.16	0.53	(0.64)	1.38	(1.14)	3.42
GHVIX	0.11	0.01	(0.32)	0.13	0.00	(0.14)	0.24	(0.23)	0.70
GIEAX	0.54	0.14	0.16	0.27	0.39	(0.60)	1.29	(1.13)	3.86
GIMFX	0.29	0.10	0.15	0.33	0.00	(0.37)	0.81	(0.48)	1.68

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