Gmo High Yield Fund Volatility

GMOZX Fund

17.40 0.05 0.29%

Gmo High's price history translates into the risk numbers analysts use to compare it with safer or riskier names. The fund shows minimal price volatility over the last 3 months.

Sharpe Ratio = 0.0426

Leading Returns	Top Quartile
Strong
Moderate
Modest
Cash	Low	Moderate	Elevated	High
Below Benchmark	GMOZX

Gmo High Yield (GMOZX) recorded a Market Risk Adjusted Performance of -0.01%, a Risk of 0.27, and a Risk Adjusted Performance of -0.01%. Based on monthly moving averages, the fund is operating near 3% of its historical performance range.

Key indicators related to Gmo High's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Below Average

90 Days Economic Sensitivity

Slowly supersedes the market

Key risk metrics for Gmo High (3 Months):

Beta

0.22

Alpha

-0.0003

Risk

0.27

Sharpe Ratio

0.0426

Expected Return

0.0113

Moving together with Gmo Mutual Fund

0.89	GEMMX	Gmo Emerging Markets	Pair Corr
0.89	GEMNX	Gmo Emerging Markets	Pair Corr
0.95	GWOAX	Gmo Global Developed	Pair Corr
0.72	IOVFX	Gmo International	Pair Corr
1.0	GHVIX	Gmo High Yield	Pair Corr
0.88	GIEAX	Gmo International Equity	Pair Corr
0.86	GIOTX	Gmo International	Pair Corr
0.95	GMAWX	Gmo Small Cap	Pair Corr
0.95	GMAYX	Gmo Small Cap	Pair Corr
0.72	GMAZX	Gmo International	Pair Corr
0.78	GMBCX	Gmo International	Pair Corr
0.91	GMBVX	Gmo Small Cap	Pair Corr
0.94	GMADX	Gmo Global Equity	Pair Corr
0.62	GMAHX	Gmo Usonian Japan	Pair Corr
0.65	GMAKX	Gmo Usonian Japan	Pair Corr
0.88	GMAQX	Gmo Emerging Markets	Pair Corr
0.79	GMDFX	Gmo Emerging Country	Pair Corr
0.79	GMCDX	Gmo Emerging Ntry	Pair Corr
0.89	GMCFX	Gmo International Equity	Pair Corr
0.9	GMCHX	Gmo Multi Asset	Pair Corr
0.95	GMCQX	Gmo Equity Allocation	Pair Corr
0.89	GMOEX	Gmo Emerging Markets	Pair Corr
0.88	GMOOX	Gmo Global Asset	Pair Corr
0.86	PPAEX	Gmo Trust	Pair Corr
0.88	GMOUX	Gmo International Equity	Pair Corr
0.76	GMOYX	Gmo Trust	Pair Corr

Sensitivity To Market

Gmo High beta coefficient measures the volatility of Gmo mutual fund relative to the systematic risk of the broad market benchmark. A beta of 0.22 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.27%. Gmo High Yield has shown noticeable price swings over the selected period. Downside deviation is about 0.28% and standard deviation is about 0.26%, which summarize how widely returns have moved. Fund volatility is generally driven by asset allocation rather than individual headline events. Portfolio turnover and allocation changes alter measured dispersion over time.

Current 90-day Gmo High correlation with market (Dow Jones Industrial)

-0.0003

0.22

Competition

3 Months Beta |Gmo High Yield Demand Trend

Current 90-day Gmo High correlation with market (Dow Jones Industrial)

Downside Risk

Standard deviation measures how far Gmo returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.

Standard Deviation

0.27

It is essential to understand the difference between upside risk and downside risk for Gmo High. Total volatility includes favorable moves, while downside deviation isolates the loss risk in Gmo High's daily returns. Gmo High Yield (GMOZX) recorded a Downside Deviation of 0.28, a Downside Variance of 0.08, and a Maximum Drawdown of 1.12.

Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Gmo High fund price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same mutual fund.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between Gmo High Yield's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.

Projected Return Density Against Market

Based on a 90-day horizon, Gmo High has a beta of 0.2202. This usually indicates as returns on the market go up, Gmo High's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Gmo High Yield tends to be smaller as well.

Gmo High is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Gmo High Yield (GMOZX) recorded a Downside Deviation of 0.28, a Mean Deviation of 0.19, and a Semi Deviation of 0.23.

Gmo High Yield has a negative alpha, implying that the risk taken by holding this instrument is not justified. GMOZX is significantly underperforming the Dow Jones Industrial.

Predicted Return Distribution

Density

Gmo High's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far Gmo High's returns usually move from the mean over the selected horizon.

What Drives Gmo High's Price Volatility?

Industry Dynamics

Regulatory updates, demand shifts, and competitive changes in the GMO sector can move Gmo High's volatility even when broad indices are stable.

Political and Economic Environment

Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Gmo High.

Gmo High's Company-Specific Factors

Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Gmo High's shares.

Mutual Fund Risk Measures

Based on a 90-day horizon, the coefficient of variation of Gmo High is 2346.28. The daily returns are distributed with a variance of 0.07 and standard deviation of 0.27. The mean deviation of Gmo High Yield is currently at 0.2. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.93

α	Alpha over Dow Jones	-0.0003	Details
β	Beta against Dow Jones	0.22	Details
σ	Overall volatility	0.27	Details
Ir	Information ratio	0.07	Details

Mutual Fund Return Volatility

Gmo High historical daily return volatility represents how much of Gmo High fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.2659% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9677% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	TFCCX	ASVRX	GMLGX	LCGFX	QALGX
TFCCX		0.87	0.79	0.65	0.63	TFCCX
ASVRX	0.87		0.88	0.61	0.65	ASVRX
GMLGX	0.79	0.88		0.86	0.87	GMLGX
LCGFX	0.65	0.61	0.86		0.94	LCGFX
QALGX	0.63	0.65	0.87	0.94		QALGX
	TFCCX	ASVRX	GMLGX	LCGFX	QALGX

Risk-Adjusted Indicators

Strong recent returns in Gmo Mutual Fund do not always mean Gmo High Mutual Fund is outperforming peers on business quality. Risk-adjusted metrics help compare Gmo High's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TFCCX	0.56	0.06	0.11	-1.11	0.70	-0.56	1.31	-1.11	3.23
ASVRX	0.82	0.11	0.08	0.09	1.02	-0.91	2.02	-1.90	5.32
GMLGX	0.71	0.04	0.05	0.03	0.82	-0.79	1.58	-1.55	3.88
LCGFX	0.95	-0.01	0.01	0.12	1.28	-0.88	1.79	-1.88	4.46
QALGX	1.00	0.04	0.05	-0.37	1.20	-1.05	1.86	-1.97	5.34

Risk Metrics, Assumptions & Methodology

Maximum drawdown for Gmo High captures the deepest NAV decline from peak, framing the worst-case experience for holders. Historical performance suggests relatively contained downside variability.

Gmo High Yield values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board

Gmo High Volatility Profile Summary

Recent data suggests that Gmo High Yield is less volatile than Dow Jones Industrial by approximately 3.59x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

Gmo High Yield with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Gmo High probability analysis.

Very poor diversification

The correlation between Gmo High and Dow Jones is 0.88, which Macroaxis classifies as Very poor diversification for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.

View Details

Gmo High Additional Risk Indicators

Secondary risk indicators for Gmo High Yield evaluate exposure beyond standard deviation, beta, or one headline volatility measure. These measures support both standalone risk assessment and portfolio-level analysis.

	Risk Adjusted Performance	-0.01
	Market Risk Adjusted Performance	-0.01
	Mean Deviation	0.1881
	Semi Deviation	0.2345
	Downside Deviation	0.2785
	Coefficient Of Variation	5485.58
	Standard Deviation	0.2578

Gmo High Suggested Diversification Pairs

A pair-trading setup around Gmo High shifts the return benchmark from the broad market to a second position, altering the risk profile. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.

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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Gmo High as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Gmo High's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Gmo High's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Gmo High Yield.