Gmo Benchmark-free Correlations

GBMBX Fund

USD 28.32 0.18 0.64%

The current 90-days correlation between Gmo Benchmark Free and Financials Ultrasector Profund is -0.08 (i.e., Good diversification). The correlation of Gmo Benchmark-free 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 Benchmark-free Correlation With Market

Good diversification

The correlation between Gmo Benchmark Free Allocation and DJI is -0.03 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Benchmark Free Allocation 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 Benchmark Free Allocation. 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 bureau of labor statistics.

Moving together with Gmo Mutual Fund

0.98	GHVIX	Gmo High Yield	Pair Corr
0.92	GMAWX	Gmo Small Cap	Pair Corr
0.94	GMAYX	Gmo Small Cap	Pair Corr
0.96	GMAZX	Gmo International	Pair Corr
0.98	GMBCX	Gmo International	Pair Corr
0.97	GMADX	Gmo Global Equity	Pair Corr
0.94	GMAKX	Gmo Usonian Japan	Pair Corr
0.97	GMAQX	Gmo Emerging Markets	Pair Corr
0.98	GMCQX	Gmo Equity Allocation	Pair Corr
0.97	GMEMX	Gmo Emerging Markets	Pair Corr
0.94	GMIIX	Gmo Usonian Japan	Pair Corr
0.92	GMODX	Gmo Opportunistic Income	Pair Corr
0.95	GMOUX	Gmo International Equity	Pair Corr
0.93	GMOWX	Gmo Resources	Pair Corr
0.99	GMWAX	Gmo Global Asset	Pair Corr
0.99	GMWRX	Gmo Global Asset	Pair Corr
0.93	GOFIX	Gmo Resources	Pair Corr
0.93	GOVIX	Gmo Resources	Pair Corr
0.73	GPBFX	Gmo E Plus	Pair Corr
0.96	GQESX	Gmo Quality Fund	Pair Corr
0.61	GQETX	Gmo Quality Fund	Pair Corr
0.61	GQLOX	Gmo Quality Fund	Pair Corr
0.85	GAAGX	Gmo Alternative Allo	Pair Corr
0.93	GAAHX	Gmo Resources	Pair Corr
0.83	GAAKX	Gmo Alternative Allo	Pair Corr
0.96	GAAWX	Gmo International	Pair Corr

Moving against Gmo Mutual Fund

0.58	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.58	GMAOX	Gmo Trust	Pair Corr

Related Correlations Analysis

	FNPIX	BTO	ICFAX	FIDAX	FTIXX
FNPIX		0.96	0.95	0.96	0.72	FNPIX
BTO	0.96		0.9	0.94	0.62	BTO
ICFAX	0.95	0.9		0.95	0.77	ICFAX
FIDAX	0.96	0.94	0.95		0.72	FIDAX
FTIXX	0.72	0.62	0.77	0.72		FTIXX
	FNPIX	BTO	ICFAX	FIDAX	FTIXX

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Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Benchmark-free 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 Benchmark-free'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
FNPIX	1.07	0.02	0.07	0.18	1.11	(1.18)	2.64	(2.46)	8.00
BTO	0.89	0.15	0.10	0.35	0.87	(0.97)	2.27	(1.81)	6.26
ICFAX	0.78	0.03	0.03	0.20	0.83	(0.93)	2.16	(1.88)	5.58
FIDAX	0.73	0.20	0.01	(1.48)	0.73	(0.78)	1.86	(1.82)	5.18
FTIXX	0.03	0.00	0.00	2.65	0.00	0.00	0.00	0.00	1.01

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