Gmo Core Correlations

GPBFX Fund

USD 17.71 0.01 0.06%

The current 90-days correlation between Gmo E Plus and Small Midcap Dividend Income is 0.05 (i.e., Significant diversification). The correlation of Gmo Core 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 Core Correlation With Market

Very weak diversification

The correlation between Gmo E Plus and DJI is 0.4 (i.e., Very weak 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 price.

Moving together with Gmo Mutual Fund

0.71	GUSOX	Gmo Trust	Pair Corr
0.75	GEACX	Gmo Trust	Pair Corr
0.75	GEMMX	Gmo Emerging Markets	Pair Corr
0.79	GEMNX	Gmo Emerging Markets	Pair Corr
0.78	GHVIX	Gmo High Yield	Pair Corr
0.72	GIOTX	Gmo International	Pair Corr
0.8	GMAQX	Gmo Emerging Markets	Pair Corr
0.74	GMAUX	Gmo Emerging Markets	Pair Corr
0.84	GMDFX	Gmo Emerging Country	Pair Corr
0.72	GMCFX	Gmo International Equity	Pair Corr

Related Correlations Analysis

	GMAWX	HSCYX	RTOUX	TVOYX	APDSX	MDBFX	PMDDX
GMAWX		0.83	0.94	0.89	0.9	0.86	0.96	GMAWX
HSCYX	0.83		0.89	0.82	0.9	0.71	0.75	HSCYX
RTOUX	0.94	0.89		0.98	0.94	0.86	0.95	RTOUX
TVOYX	0.89	0.82	0.98		0.89	0.81	0.93	TVOYX
APDSX	0.9	0.9	0.94	0.89		0.77	0.9	APDSX
MDBFX	0.86	0.71	0.86	0.81	0.77		0.86	MDBFX
PMDDX	0.96	0.75	0.95	0.93	0.9	0.86		PMDDX
	GMAWX	HSCYX	RTOUX	TVOYX	APDSX	MDBFX	PMDDX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Core 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 Core'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
GMAWX	0.81	0.15	0.08	1.15	0.62	(0.94)	2.25	(1.44)	4.31
HSCYX	0.86	0.02	0.03	0.11	0.89	(0.93)	1.96	(1.51)	4.36
RTOUX	0.77	0.08	0.09	0.17	0.67	(0.82)	2.08	(1.43)	4.39
TVOYX	0.78	0.17	0.18	0.26	0.58	(0.90)	2.19	(1.33)	5.01
APDSX	1.17	0.17	0.16	0.21	0.91	(1.37)	2.63	(1.89)	13.29
MDBFX	0.11	0.00	(0.49)	0.09	0.04	(0.16)	0.24	(0.24)	0.60
PMDDX	0.74	0.23	0.16	3.35	0.48	(0.82)	2.34	(1.32)	4.04

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Gmo Core Correlations

Gmo Core Correlation With Market

Very weak diversification

Moving together with Gmo Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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