Gmo E Correlations

GUGAX Fund

USD 17.53 0.03 0.17%

The current 90-days correlation between Gmo E Plus and Gmo Usonian Japan Value is 0.19 (i.e., Average 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

Poor diversification

The correlation between Gmo E Plus and DJI is 0.66 (i.e., Poor 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 nation.

Moving together with Gmo Mutual Fund

0.64	GUSOX	Gmo Trust	Pair Corr
0.61	GUSTX	Gmo Treasury	Pair Corr
0.74	GEMEX	Gmo Emerging Markets	Pair Corr
0.74	GEMMX	Gmo Emerging Markets	Pair Corr
0.74	GEMNX	Gmo Emerging Markets	Pair Corr
0.78	GHVIX	Gmo High Yield	Pair Corr
0.73	GIOTX	Gmo International	Pair Corr
0.72	GMAWX	Gmo Small Cap	Pair Corr
0.75	GMAYX	Gmo Small Cap	Pair Corr
0.66	GMAZX	Gmo International	Pair Corr
0.64	GMBCX	Gmo International	Pair Corr
0.76	GMADX	Gmo Global Equity	Pair Corr
0.76	GMAHX	Gmo Usonian Japan	Pair Corr
0.76	GMAKX	Gmo Usonian Japan	Pair Corr
0.76	GMAQX	Gmo Emerging Markets	Pair Corr
0.77	GMDFX	Gmo Emerging Country	Pair Corr
0.77	GMCDX	Gmo Emerging Ntry	Pair Corr
0.67	GMCFX	Gmo International Equity	Pair Corr
0.76	GMIIX	Gmo Usonian Japan	Pair Corr
0.74	GMOEX	Gmo Emerging Markets	Pair Corr
0.72	GMOUX	Gmo International Equity	Pair Corr
0.72	GMOWX	Gmo Resources	Pair Corr
0.77	GMOYX	Gmo Trust	Pair Corr
0.79	GMOZX	Gmo High Yield	Pair Corr
1.0	GPBFX	Gmo E Plus	Pair Corr
0.67	GQESX	Gmo Quality Fund	Pair Corr
0.67	GQETX	Gmo Quality Fund	Pair Corr
0.73	GQLIX	Gmo Quality Fund	Pair Corr
0.73	GAAGX	Gmo Alternative Allo	Pair Corr
0.73	GAAKX	Gmo Alternative Allo	Pair Corr
0.77	GBATX	Gmo Strategic Opport	Pair Corr
0.76	GBMBX	Gmo Benchmark Free	Pair Corr
0.77	GBMFX	Gmo Benchmark Free	Pair Corr
0.76	GBMSX	Gmo Benchmark Free	Pair Corr
0.97	DODIX	Dodge Income	Pair Corr
0.97	DOXIX	Dodge Cox Income	Pair Corr
0.82	FIWGX	Strategic Advisers	Pair Corr
0.73	MWTNX	Metropolitan West Total	Pair Corr

Related Correlations Analysis

	GLAPX	GUGAX	GUSOX	GMAYX	GMAZX	GMBCX	GMAEX	GMAHX	GMAKX
GLAPX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	GLAPX
GUGAX	0.0		0.64	0.75	0.66	0.64	0.0	0.76	0.76	GUGAX
GUSOX	0.0	0.64		0.86	0.94	0.95	0.0	0.92	0.92	GUSOX
GMAYX	0.0	0.75	0.86		0.8	0.81	0.0	0.95	0.95	GMAYX
GMAZX	0.0	0.66	0.94	0.8		0.99	0.0	0.91	0.91	GMAZX
GMBCX	0.0	0.64	0.95	0.81	0.99		0.0	0.92	0.92	GMBCX
GMAEX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	GMAEX
GMAHX	0.0	0.76	0.92	0.95	0.91	0.92	0.0		1.0	GMAHX
GMAKX	0.0	0.76	0.92	0.95	0.91	0.92	0.0	1.0		GMAKX
	GLAPX	GUGAX	GUSOX	GMAYX	GMAZX	GMBCX	GMAEX	GMAHX	GMAKX

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

GMAKX	+ 1.0	GMAHX
GMBCX	+ 0.99	GMAZX
GMBCX	+ 0.95	GUSOX
GMAHX	+ 0.95	GMAYX
GMAKX	+ 0.95	GMAYX
GMAZX	+ 0.94	GUSOX

High negative correlations

GMAKX	- 0.0	GMAEX
GMAHX	- 0.0	GMAEX
GMAEX	- 0.0	GMBCX
GMAEX	- 0.0	GMAZX
GMAEX	- 0.0	GMAYX
GMAEX	- 0.0	GUSOX

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
GLAPX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GUGAX	0.14	(0.01)	(0.28)	(0.19)	0.17	(0.15)	0.23	(0.29)	0.69
GUSOX	0.60	0.13	0.15	0.81	0.40	(0.74)	1.58	(0.95)	3.33
GMAYX	0.77	0.04	0.06	0.09	0.70	(0.89)	2.10	(1.39)	4.13
GMAZX	0.86	0.46	0.60	12.80	0.00	(1.18)	1.56	(1.02)	18.06
GMBCX	0.85	0.45	0.57	1.21	0.00	(1.13)	1.56	(1.01)	18.01
GMAEX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GMAHX	0.65	0.12	0.10	0.27	0.64	(0.76)	1.51	(1.22)	4.64
GMAKX	0.65	0.12	0.10	0.28	0.66	(0.76)	1.51	(1.24)	4.72

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