Gmo Resources Correlations

GOVIX Fund

USD 18.78 0.23 1.24%

The current 90-days correlation between Gmo Resources and Avantis Large Cap is 0.2 (i.e., Modest diversification). The correlation of Gmo Resources 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 Resources Correlation With Market

Modest diversification

The correlation between Gmo Resources Fund and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Resources Fund 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 Resources Fund. 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 gross domestic product.

Moving together with Gmo Mutual Fund

0.72	GUSOX	Gmo Trust	Pair Corr
0.89	GEACX	Gmo Trust	Pair Corr
0.81	IOVFX	Gmo International	Pair Corr
0.68	GMAWX	Gmo Small Cap	Pair Corr
0.74	GMAYX	Gmo Small Cap	Pair Corr
0.79	GMAZX	Gmo International	Pair Corr
0.76	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.79	GMAOX	Gmo Trust	Pair Corr
0.7	GMCQX	Gmo Equity Allocation	Pair Corr
0.74	PPADX	Gmo Trust	Pair Corr
0.74	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.46	GUSTX	Gmo Treasury	Pair Corr
0.31	GIOTX	Gmo International	Pair Corr
0.46	GMCFX	Gmo International Equity	Pair Corr
0.46	GMOIX	Gmo International Equity	Pair Corr
0.39	GMODX	Gmo Opportunistic Income	Pair Corr
0.37	GMOHX	Gmo Opportunistic Income	Pair Corr
0.46	GMOUX	Gmo International Equity	Pair Corr
0.37	GMOLX	Gmo Opportunistic Income	Pair Corr

Related Correlations Analysis

	ALCEX	OAKMX	CMIFX	LTFOX	DOXGX	RETSX	GMLGX
ALCEX		0.97	0.24	0.5	0.88	0.9	0.71	ALCEX
OAKMX	0.97		0.23	0.53	0.92	0.85	0.61	OAKMX
CMIFX	0.24	0.23		-0.6	-0.07	0.39	-0.03	CMIFX
LTFOX	0.5	0.53	-0.6		0.76	0.33	0.51	LTFOX
DOXGX	0.88	0.92	-0.07	0.76		0.72	0.59	DOXGX
RETSX	0.9	0.85	0.39	0.33	0.72		0.81	RETSX
GMLGX	0.71	0.61	-0.03	0.51	0.59	0.81		GMLGX
	ALCEX	OAKMX	CMIFX	LTFOX	DOXGX	RETSX	GMLGX

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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

OAKMX	+ 0.97	ALCEX
DOXGX	+ 0.92	OAKMX
RETSX	+ 0.9	ALCEX
DOXGX	+ 0.88	ALCEX
RETSX	+ 0.85	OAKMX
GMLGX	+ 0.81	RETSX

High negative correlations

LTFOX	- 0.6	CMIFX
DOXGX	- 0.07	CMIFX
GMLGX	- 0.03	CMIFX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Resources 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 Resources' 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
ALCEX	0.58	0.04	0.00	0.17	0.61	(0.70)	1.29	(0.91)	7.05
OAKMX	0.64	0.06	0.02	0.22	0.65	(0.69)	1.27	(0.94)	6.63
CMIFX	0.07	0.00	(0.31)	0.21	0.07	(0.11)	0.10	(0.10)	0.82
LTFOX	0.61	(0.02)	0.00	(1.00)	0.00	0.00	1.26	(1.37)	6.97
DOXGX	0.56	0.03	(0.02)	0.14	0.66	(0.60)	1.27	(1.00)	5.95
RETSX	0.59	0.02	(0.03)	0.12	0.80	(0.61)	1.19	(1.46)	5.40
GMLGX	0.72	(0.01)	(0.04)	0.04	1.28	(0.67)	1.22	(1.47)	7.56

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