Gmo Quality Correlations

GMAEX Fund

USD 24.10 0.12 0.50%

The current 90-days correlation between Gmo Quality Cyclicals and Western Asset High is 0.24 (i.e., Modest diversification). The correlation of Gmo Quality 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 Quality Correlation With Market

Good diversification

The correlation between Gmo Quality Cyclicals and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Quality Cyclicals 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 Quality Cyclicals. 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 income.

Moving together with Gmo Mutual Fund

0.86	GUSOX	Gmo Trust	Pair Corr
0.62	GEMNX	Gmo Emerging Markets	Pair Corr
0.85	GMAWX	Gmo Small Cap	Pair Corr
0.85	GMAYX	Gmo Small Cap	Pair Corr
0.7	GMADX	Gmo Global Equity	Pair Corr
0.9	GMAOX	Gmo Trust	Pair Corr
0.71	GMDFX	Gmo Emerging Country	Pair Corr
0.73	GMCDX	Gmo Emerging Ntry	Pair Corr
0.86	GMCQX	Gmo Equity Allocation	Pair Corr
0.63	GMOEX	Gmo Emerging Markets	Pair Corr
0.71	GMOQX	Gmo Emerging Country	Pair Corr
0.86	GMUEX	Gmo Equity Allocation	Pair Corr

Moving against Gmo Mutual Fund

0.55	GUGAX	Gmo E Plus	Pair Corr
0.31	GMAKX	Gmo Usonian Japan	Pair Corr
0.64	GABFX	Gmo Asset Allocation	Pair Corr
0.5	GPBFX	Gmo E Plus	Pair Corr

Related Correlations Analysis

	WAHSX	CABIX	MWHIX	PHDTX	PHIAX	NEAIX
WAHSX		0.47	0.89	0.95	0.96	0.18	WAHSX
CABIX	0.47		0.6	0.51	0.52	0.53	CABIX
MWHIX	0.89	0.6		0.77	0.78	0.06	MWHIX
PHDTX	0.95	0.51	0.77		0.98	0.32	PHDTX
PHIAX	0.96	0.52	0.78	0.98		0.32	PHIAX
NEAIX	0.18	0.53	0.06	0.32	0.32		NEAIX
	WAHSX	CABIX	MWHIX	PHDTX	PHIAX	NEAIX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Quality 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 Quality'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
WAHSX	0.13	0.03	(0.39)	(2.66)	0.00	(0.25)	0.43	(0.14)	0.86
CABIX	0.33	0.00	(0.23)	(0.11)	0.39	(0.38)	0.69	(0.73)	2.27
MWHIX	0.10	0.01	(0.58)	(0.88)	0.00	(0.19)	0.22	(0.21)	0.65
PHDTX	0.10	0.01	(0.43)	0.31	0.00	(0.16)	0.23	(0.22)	0.56
PHIAX	0.09	0.00	(0.48)	0.00	0.00	(0.15)	0.23	(0.23)	0.57
NEAIX	1.06	(0.01)	(0.07)	0.03	1.36	(1.11)	2.19	(2.27)	6.76

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