Gmo E Correlations

GPBFX Fund

USD 17.08 0.08 0.47%

The current 90-days correlation between Gmo E Plus and Angel Oak Financial is 0.37 (i.e., Weak diversification). The correlation of Gmo E 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 E Correlation With Market

Good diversification

The correlation between Gmo E Plus and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus 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 E Plus. 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 census.

Moving together with Gmo Mutual Fund

0.9	GUGAX	Gmo E Plus	Pair Corr
0.64	GWOAX	Gmo Global Developed	Pair Corr
0.61	IOVFX	Gmo International	Pair Corr
0.68	GMAWX	Gmo Small Cap	Pair Corr
0.73	GMAYX	Gmo Small Cap	Pair Corr
0.74	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.68	GMAHX	Gmo Usonian Japan	Pair Corr
0.69	GMAKX	Gmo Usonian Japan	Pair Corr
0.74	GMAOX	Gmo Trust	Pair Corr
0.61	GMAQX	Gmo Emerging Markets	Pair Corr
0.61	GMAUX	Gmo Emerging Markets	Pair Corr
0.7	GMGEX	Gmo Global Equity	Pair Corr
0.74	GMIIX	Gmo Usonian Japan	Pair Corr
0.8	GMOOX	Gmo Global Asset	Pair Corr

Related Correlations Analysis

	XFINX	PFPNX	TFIFX	VFAIX	PSSRX	FNPIX	GCFSX
XFINX		0.43	0.38	0.1	0.32	0.42	0.2	XFINX
PFPNX	0.43		0.37	0.44	0.36	0.22	0.59	PFPNX
TFIFX	0.38	0.37		0.54	0.94	0.73	0.68	TFIFX
VFAIX	0.1	0.44	0.54		0.53	0.64	0.74	VFAIX
PSSRX	0.32	0.36	0.94	0.53		0.75	0.61	PSSRX
FNPIX	0.42	0.22	0.73	0.64	0.75		0.5	FNPIX
GCFSX	0.2	0.59	0.68	0.74	0.61	0.5		GCFSX
	XFINX	PFPNX	TFIFX	VFAIX	PSSRX	FNPIX	GCFSX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo E 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 E'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
XFINX	0.12	0.00	(0.21)	(0.14)	0.18	(0.16)	0.29	(0.28)	1.14
PFPNX	0.12	0.00	(0.34)	0.28	0.05	(0.19)	0.32	(0.22)	0.75
TFIFX	0.88	(0.01)	(0.03)	0.06	1.52	(0.91)	1.50	(1.77)	13.33
VFAIX	0.79	0.14	0.09	0.39	0.84	(0.88)	1.46	(1.49)	10.22
PSSRX	0.89	(0.01)	(0.04)	0.05	1.38	(0.95)	1.51	(1.79)	11.81
FNPIX	1.14	0.12	0.05	0.27	1.39	(1.21)	2.08	(2.50)	13.82
GCFSX	0.62	0.10	0.03	5.72	0.73	(0.72)	1.80	(1.30)	6.27

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Gmo E Correlations

Gmo E Correlation With Market

Good diversification

Moving together with Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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