Gmo High Correlations

GMOZX Fund

16.88 0.03 0.18%

The current 90-days correlation between Gmo High Yield and T Rowe Price is 0.66 (i.e., Poor diversification). The correlation of Gmo High 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 High Correlation With Market

Average diversification

The correlation between Gmo High Yield and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield 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 High Yield. 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 nation.

Moving together with Gmo Mutual Fund

0.64	GUSTX	Gmo Treasury	Pair Corr
0.76	GWOAX	Gmo Global Developed	Pair Corr
0.94	GHVIX	Gmo High Yield	Pair Corr
0.62	GMADX	Gmo Global Equity	Pair Corr
0.93	GMDFX	Gmo Emerging Country	Pair Corr
0.93	GMCDX	Gmo Emerging Ntry	Pair Corr
0.72	GMGEX	Gmo Global Equity	Pair Corr
0.83	GMODX	Gmo Opportunistic Income	Pair Corr
0.83	GMOHX	Gmo Opportunistic Income	Pair Corr
0.83	GMOLX	Gmo Opportunistic Income	Pair Corr
0.93	GMOQX	Gmo Emerging Country	Pair Corr

Related Correlations Analysis

	PRNHX	LANIX	DGITX	GQESX	CHICX	EQTKX	HDCEX
PRNHX		0.76	0.92	0.75	-0.08	0.86	0.55	PRNHX
LANIX	0.76		0.77	0.82	-0.32	0.61	0.35	LANIX
DGITX	0.92	0.77		0.78	-0.04	0.92	0.66	DGITX
GQESX	0.75	0.82	0.78		-0.44	0.59	0.23	GQESX
CHICX	-0.08	-0.32	-0.04	-0.44		0.26	0.55	CHICX
EQTKX	0.86	0.61	0.92	0.59	0.26		0.86	EQTKX
HDCEX	0.55	0.35	0.66	0.23	0.55	0.86		HDCEX
	PRNHX	LANIX	DGITX	GQESX	CHICX	EQTKX	HDCEX

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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

DGITX	+ 0.92	PRNHX
EQTKX	+ 0.92	DGITX
EQTKX	+ 0.86	PRNHX
HDCEX	+ 0.86	EQTKX
GQESX	+ 0.82	LANIX
GQESX	+ 0.78	DGITX

High negative correlations

CHICX	- 0.44	GQESX
CHICX	- 0.32	LANIX
CHICX	- 0.08	PRNHX
CHICX	- 0.04	DGITX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo High 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 High'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
PRNHX	0.87	0.04	0.00	0.17	1.19	(0.90)	1.80	(1.60)	7.56
LANIX	0.59	0.00	(0.07)	0.02	1.14	(0.54)	1.18	(1.43)	6.18
DGITX	0.37	(0.01)	(0.14)	0.04	0.53	(0.38)	0.77	(0.76)	3.58
GQESX	0.56	(0.01)	(0.08)	(0.07)	1.11	(0.46)	1.17	(1.52)	5.13
CHICX	0.10	0.02	(0.25)	(0.56)	0.00	(0.33)	0.48	(0.16)	1.27
EQTKX	0.48	0.01	(0.07)	0.13	0.68	(0.49)	0.87	(0.96)	4.30
HDCEX	0.49	0.05	(0.02)	0.26	0.53	(0.57)	0.97	(0.85)	3.76

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