Gmo Global Correlations

GMADX Fund

USD 28.41 0.02 0.07%

The current 90-days correlation between Gmo Global Equity and T Rowe Price is 0.45 (i.e., Very weak diversification). The correlation of Gmo Global 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 Global Correlation With Market

Weak diversification

The correlation between Gmo Global Equity and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Equity 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 Global Equity. 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 unemployment.

Moving together with Gmo Mutual Fund

0.75	GUGAX	Gmo E Plus	Pair Corr
0.66	GUSOX	Gmo Trust	Pair Corr
0.86	GEMEX	Gmo Emerging Markets	Pair Corr
0.78	GEMMX	Gmo Emerging Markets	Pair Corr
0.97	GWOAX	Gmo Global Developed	Pair Corr
0.72	IOVFX	Gmo International	Pair Corr
0.81	GMAWX	Gmo Small Cap	Pair Corr
0.64	GMAYX	Gmo Small Cap	Pair Corr
0.81	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.81	GMAOX	Gmo Trust	Pair Corr
0.88	GMAQX	Gmo Emerging Markets	Pair Corr
0.87	GMAUX	Gmo Emerging Markets	Pair Corr
0.68	GMCQX	Gmo Equity Allocation	Pair Corr
0.75	GMEMX	Gmo Emerging Markets	Pair Corr
0.79	GMGEX	Gmo Global Equity	Pair Corr
0.8	GMOOX	Gmo Global Asset	Pair Corr
0.66	PPADX	Gmo Trust	Pair Corr
0.66	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.49	GUSTX	Gmo Treasury	Pair Corr
0.38	GMODX	Gmo Opportunistic Income	Pair Corr
0.36	GMOHX	Gmo Opportunistic Income	Pair Corr

Related Correlations Analysis

	TRSAX	TEGAX	JLGSX	FGTZX	TRBCX	HGOFX
TRSAX		0.76	0.87	0.78	0.26	0.18	TRSAX
TEGAX	0.76		0.69	0.8	0.68	0.58	TEGAX
JLGSX	0.87	0.69		0.84	0.22	0.19	JLGSX
FGTZX	0.78	0.8	0.84		0.55	0.37	FGTZX
TRBCX	0.26	0.68	0.22	0.55		0.9	TRBCX
HGOFX	0.18	0.58	0.19	0.37	0.9		HGOFX
	TRSAX	TEGAX	JLGSX	FGTZX	TRBCX	HGOFX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Global 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 Global'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
TRSAX	0.90	(0.03)	0.00	(0.13)	0.00	0.00	1.54	(2.26)	8.77
TEGAX	0.96	0.08	0.06	0.81	1.19	(0.99)	2.13	(1.66)	7.72
JLGSX	0.44	(0.02)	0.00	(0.08)	0.00	0.00	0.79	(0.84)	3.56
FGTZX	0.46	(0.01)	0.00	(0.11)	0.70	(0.46)	1.01	(1.02)	3.57
TRBCX	0.80	0.09	0.08	(1.69)	1.08	(0.81)	1.57	(1.89)	5.70
HGOFX	0.88	0.09	0.07	0.28	1.23	(0.85)	1.92	(1.93)	5.92

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