Gmo High Correlations

GMOZX Fund

17.97 0.02 0.11%

The current 90-days correlation between Gmo High Yield and Franklin Natural Resources is -0.1 (i.e., Good 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

Very weak diversification

The correlation between Gmo High Yield and DJI is 0.56 (i.e., Very weak 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

0.65	GUSOX	Gmo Trust	Pair Corr
1.0	GHVIX	Gmo High Yield	Pair Corr
0.67	GMAWX	Gmo Small Cap	Pair Corr
0.67	GMAYX	Gmo Small Cap	Pair Corr
0.64	GMAOX	Gmo Trust	Pair Corr
0.9	GMDFX	Gmo Emerging Country	Pair Corr
0.84	GMCDX	Gmo Emerging Ntry	Pair Corr
0.65	GMCQX	Gmo Equity Allocation	Pair Corr
0.63	GMODX	Gmo Opportunistic Income	Pair Corr
0.63	GMOHX	Gmo Opportunistic Income	Pair Corr
0.9	GMOQX	Gmo Emerging Country	Pair Corr

Moving against Gmo Mutual Fund

0.44	GAAKX	Gmo Alternative Allo	Pair Corr
0.43	GAAGX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	FNCRX	ALEFX	FRNRX	XNDPX	XEMOX	GRHAX
FNCRX		0.55	1.0	0.75	0.57	0.75	FNCRX
ALEFX	0.55		0.57	0.92	0.96	0.72	ALEFX
FRNRX	1.0	0.57		0.76	0.59	0.76	FRNRX
XNDPX	0.75	0.92	0.76		0.93	0.69	XNDPX
XEMOX	0.57	0.96	0.59	0.93		0.63	XEMOX
GRHAX	0.75	0.72	0.76	0.69	0.63		GRHAX
	FNCRX	ALEFX	FRNRX	XNDPX	XEMOX	GRHAX

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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
FNCRX	0.77	0.06	(0.03)	(1.87)	1.03	(0.79)	1.60	(1.81)	5.15
ALEFX	0.63	0.24	0.31	0.62	0.00	(0.84)	1.37	(0.74)	3.08
FRNRX	0.77	0.07	(0.03)	(2.06)	1.05	(0.80)	1.59	(1.79)	5.19
XNDPX	0.87	0.21	0.07	(13.16)	1.00	(0.89)	1.82	(1.89)	4.96
XEMOX	0.70	0.20	0.12	3.58	0.51	(0.81)	1.62	(1.01)	4.31
GRHAX	1.12	0.06	0.04	0.16	1.32	(1.16)	2.55	(1.95)	8.81

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