Gmo International Correlations

GMOUX Fund

USD 25.99 0.06 0.23%

The current 90-days correlation between Gmo International Equity and Gmo E Plus is 0.46 (i.e., Very weak 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

Modest diversification

The correlation between Gmo International Equity and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International 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 International 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 employment.

Moving together with Gmo Mutual Fund

0.71	GUSTX	Gmo Treasury	Pair Corr
0.77	GIEAX	Gmo International Equity	Pair Corr
0.92	GIMFX	Gmo Implementation	Pair Corr
0.97	GIOTX	Gmo International	Pair Corr
1.0	GMCFX	Gmo International Equity	Pair Corr
0.69	GMODX	Gmo Opportunistic Income	Pair Corr
0.68	GMOHX	Gmo Opportunistic Income	Pair Corr
1.0	GMOIX	Gmo International Equity	Pair Corr
0.7	GMOLX	Gmo Opportunistic Income	Pair Corr

Moving against Gmo Mutual Fund

0.64	GUSOX	Gmo Trust	Pair Corr
0.61	GMAWX	Gmo Small Cap	Pair Corr
0.61	GMAYX	Gmo Small Cap	Pair Corr
0.57	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.44	GEACX	Gmo Trust	Pair Corr
0.4	IOVFX	Gmo International	Pair Corr
0.4	GMAZX	Gmo International	Pair Corr
0.62	GMAUX	Gmo Emerging Markets	Pair Corr
0.62	GMCQX	Gmo Equity Allocation	Pair Corr
0.61	GMAQX	Gmo Emerging Markets	Pair Corr
0.58	GMAOX	Gmo Trust	Pair Corr
0.62	GMUEX	Gmo Equity Allocation	Pair Corr
0.48	GMOYX	Gmo Trust	Pair Corr
0.44	GOFIX	Gmo Resources	Pair Corr
0.44	GOVIX	Gmo Resources	Pair Corr

Related Correlations Analysis

	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX
GUGAX		0.49	-0.28	0.46	0.54	0.54	0.54	0.64	0.61	0.41	GUGAX
GUSOX	0.49		-0.66	0.73	0.55	0.54	0.55	0.32	0.78	-0.15	GUSOX
GUSTX	-0.28	-0.66		-0.47	-0.72	-0.72	-0.72	0.21	-0.67	0.62	GUSTX
GEACX	0.46	0.73	-0.47		0.6	0.59	0.6	0.3	0.83	-0.17	GEACX
GEMEX	0.54	0.55	-0.72	0.6		1.0	1.0	0.3	0.85	-0.3	GEMEX
GEMMX	0.54	0.54	-0.72	0.59	1.0		1.0	0.31	0.84	-0.3	GEMMX
GEMNX	0.54	0.55	-0.72	0.6	1.0	1.0		0.31	0.85	-0.3	GEMNX
GWOAX	0.64	0.32	0.21	0.3	0.3	0.31	0.31		0.38	0.65	GWOAX
IOVFX	0.61	0.78	-0.67	0.83	0.85	0.84	0.85	0.38		-0.2	IOVFX
GHVIX	0.41	-0.15	0.62	-0.17	-0.3	-0.3	-0.3	0.65	-0.2		GHVIX
	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX

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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

GEMMX	+ 1.0	GEMEX
GEMNX	+ 1.0	GEMEX
GEMNX	+ 1.0	GEMMX
IOVFX	+ 0.85	GEMEX
IOVFX	+ 0.85	GEMNX
IOVFX	+ 0.84	GEMMX

High negative correlations

GEMNX	- 0.72	GUSTX
GEMMX	- 0.72	GUSTX
GEMEX	- 0.72	GUSTX
IOVFX	- 0.67	GUSTX
GUSTX	- 0.66	GUSOX
GEACX	- 0.47	GUSTX

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
GUGAX	0.22	(0.02)	0.00	(0.17)	0.00	0.00	0.47	(0.48)	1.48
GUSOX	0.73	(0.11)	0.00	(0.16)	0.00	0.00	1.22	(1.24)	11.26
GUSTX	0.03	0.01	0.00	(0.80)	0.00	0.00	0.20	0.00	0.40
GEACX	0.97	(0.13)	0.00	(0.52)	0.00	0.00	1.80	(2.29)	6.82
GEMEX	0.53	(0.11)	0.00	(0.27)	0.00	0.00	1.07	(1.37)	3.18
GEMMX	0.54	(0.11)	0.00	(0.27)	0.00	0.00	1.04	(1.38)	3.21
GEMNX	0.54	(0.11)	0.00	(0.26)	0.00	0.00	1.03	(1.41)	3.26
GWOAX	0.49	0.00	(0.07)	0.08	0.69	(0.51)	0.98	(1.10)	3.72
IOVFX	0.63	(0.10)	0.00	(0.26)	0.00	0.00	1.10	(1.59)	5.72
GHVIX	0.15	0.01	(0.22)	0.61	0.12	(0.18)	0.24	(0.36)	0.96

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