Gmo E Correlations
| GUGAX Fund | USD 17.49 0.05 0.29% |
The current 90-days correlation between Gmo E Plus and Dreyfus Large Cap is -0.03 (i.e., Good 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
Significant diversification
The correlation between Gmo E Plus and DJI is 0.08 (i.e., Significant 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.
Gmo |
Related Correlations Analysis
| 0.78 | 0.22 | 0.89 | 0.83 | 0.89 | 0.8 | DLQIX | ||
| 0.78 | 0.45 | 0.91 | 0.93 | 0.91 | 0.88 | GMCQX | ||
| 0.22 | 0.45 | 0.5 | 0.29 | 0.5 | 0.48 | GLV | ||
| 0.89 | 0.91 | 0.5 | 0.9 | 1.0 | 0.9 | LMTIX | ||
| 0.83 | 0.93 | 0.29 | 0.9 | 0.9 | 0.85 | SABIX | ||
| 0.89 | 0.91 | 0.5 | 1.0 | 0.9 | 0.91 | LMUSX | ||
| 0.8 | 0.88 | 0.48 | 0.9 | 0.85 | 0.91 | FCLKX | ||
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DLQIX | 0.89 | 0.32 | 0.30 | 0.66 | 0.38 | 1.47 | 19.80 | |||
| GMCQX | 0.80 | 0.15 | 0.14 | 0.20 | 0.76 | 1.68 | 9.04 | |||
| GLV | 0.60 | 0.02 | (0.02) | 0.10 | 0.64 | 1.18 | 3.87 | |||
| LMTIX | 0.63 | 0.04 | 0.02 | 0.12 | 0.79 | 1.53 | 4.09 | |||
| SABIX | 0.60 | 0.07 | 0.09 | 0.15 | 0.48 | 1.12 | 9.72 | |||
| LMUSX | 0.62 | 0.04 | 0.02 | 0.12 | 0.79 | 1.56 | 4.05 | |||
| FCLKX | 0.60 | 0.09 | 0.03 | 0.53 | 0.71 | 1.35 | 3.44 |