Gmo International Correlations

GIOTX Fund

USD 17.46 0.03 0.17%

The current 90-days correlation between Gmo International and Gmo Emerging Ntry is -0.1 (i.e., Good diversification). The correlation of Gmo International 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 International Correlation With Market

Weak diversification

The correlation between Gmo International Developed and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Developed 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 International Developed. 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 estimate.

Moving together with Gmo Mutual Fund

0.75	GUGAX	Gmo E Plus	Pair Corr
0.62	GEACX	Gmo Trust	Pair Corr
0.68	GEMEX	Gmo Emerging Markets	Pair Corr
0.67	GEMMX	Gmo Emerging Markets	Pair Corr
0.97	GIEAX	Gmo International Equity	Pair Corr
0.97	GIMFX	Gmo Implementation	Pair Corr
0.98	GMAZX	Gmo International	Pair Corr
0.86	GMAHX	Gmo Usonian Japan	Pair Corr
0.91	GMAKX	Gmo Usonian Japan	Pair Corr
0.96	GMAQX	Gmo Emerging Markets	Pair Corr
0.91	GMCFX	Gmo International Equity	Pair Corr
0.68	GMEMX	Gmo Emerging Markets	Pair Corr
1.0	GMOIX	Gmo International Equity	Pair Corr
0.62	GMOWX	Gmo Resources	Pair Corr
0.95	GMWAX	Gmo Global Asset	Pair Corr
0.95	GMWRX	Gmo Global Asset	Pair Corr
0.62	GOFIX	Gmo Resources	Pair Corr
0.7	GOVIX	Gmo Resources	Pair Corr
0.77	GPBFX	Gmo E Plus	Pair Corr

Moving against Gmo Mutual Fund

0.44	GMCQX	Gmo Equity Allocation	Pair Corr
0.34	GUSOX	Gmo Trust	Pair Corr
0.44	GMUEX	Gmo Equity Allocation	Pair Corr

Related Correlations Analysis

	GMCDX	GQETX	GBATX	APDGX	GMDFX
GMCDX		0.7	0.17	0.51	0.96	GMCDX
GQETX	0.7		0.25	0.78	0.77	GQETX
GBATX	0.17	0.25		0.63	0.18	GBATX
APDGX	0.51	0.78	0.63		0.56	APDGX
GMDFX	0.96	0.77	0.18	0.56		GMDFX
	GMCDX	GQETX	GBATX	APDGX	GMDFX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo International 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 International'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
GMCDX	0.20	0.02	(0.31)	2.13	0.13	(0.24)	0.39	(0.34)	1.55
GQETX	0.55	(0.06)	(0.12)	0.02	0.73	(0.54)	1.16	(1.37)	3.33
GBATX	0.43	(0.04)	0.00	0.78	0.00	0.00	0.79	(0.89)	2.56
APDGX	0.47	(0.06)	(0.19)	(0.01)	0.55	(0.52)	0.89	(0.89)	2.64
GMDFX	0.20	0.02	(0.30)	0.36	0.13	(0.24)	0.39	(0.38)	1.55

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