Gmo Benchmark-free Correlations

Mutual Funds . USA . 
Fund . Gmo Benchmark Free Allocation
GBMFX Fund  USD 28.00  0.03  0.11%   
The current 90-days correlation between Gmo Benchmark Free and Gmo E Plus is 0.46 (i.e., Very weak 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

Poor diversification

The correlation between Gmo Benchmark Free Allocation and DJI is 0.63 (i.e., Poor 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 census.

Moving together with Gmo Mutual Fund

  0.76GUGAX Gmo E PlusPairCorr
  0.97GUSOX Gmo TrustPairCorr
  0.91GUSTX Gmo TreasuryPairCorr
  0.93GEACX Gmo TrustPairCorr
  0.97GEMMX Gmo Emerging MarketsPairCorr
  0.97GEMNX Gmo Emerging MarketsPairCorr
  0.99GWOAX Gmo Global DevelopedPairCorr
  0.99GHVIX Gmo High YieldPairCorr
  0.63GIEAX Gmo International EquityPairCorr
  0.94GMAWX Gmo Small CapPairCorr
  0.67GMAZX Gmo InternationalPairCorr
  0.67GMBCX Gmo InternationalPairCorr
  0.99GMADX Gmo Global EquityPairCorr
  0.69GMAKX Gmo Usonian JapanPairCorr
  0.97GMAQX Gmo Emerging MarketsPairCorr
  0.97GMCQX Gmo Equity AllocationPairCorr
  0.97GMEMX Gmo Emerging MarketsPairCorr
  0.95GMIIX Gmo Usonian JapanPairCorr
  0.63GMOIX Gmo International EquityPairCorr
  0.63GMOUX Gmo International EquityPairCorr
  0.93GMOWX Gmo ResourcesPairCorr
  0.66GMWAX Gmo Global AssetPairCorr
  0.65GMWRX Gmo Global AssetPairCorr
  0.76GPBFX Gmo E PlusPairCorr
  0.97GQESX Gmo Quality FundPairCorr
  0.65GQETX Gmo Quality FundPairCorr
  0.97GQLOX Gmo Quality FundPairCorr
  0.83GAAGX Gmo Alternative AlloPairCorr
  0.84GAAKX Gmo Alternative AlloPairCorr
  0.84GAAVX Gmo Alternative AlloPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GUGAX  0.24  0.01 (0.37) 0.23  0.22 
(0.26)
 0.47 
(0.47)
 1.18 
GUSOX  0.71  0.03  0.02  0.17  0.64 
(0.80)
 1.75 
(1.20)
 5.02 
GUSTX  0.03  0.00  0.00  0.00  0.00 
 0.00 
 0.20 
 0.00 
 0.60 
GEACX  1.20  0.25  0.14  0.66  1.03 
(1.44)
 2.79 
(2.05)
 7.32 
GEMEX  0.49  0.26  0.21  2.62  0.00 
(0.57)
 1.70 
(0.76)
 4.06 
GEMMX  0.51  0.22  0.20  0.70  0.00 
(0.58)
 1.67 
(0.91)
 4.13 
GEMNX  0.52  0.22  0.19  0.70  0.00 
(0.61)
 1.74 
(0.94)
 4.09 
GWOAX  0.51  0.10  0.08  0.30  0.38 
(0.57)
 1.50 
(1.13)
 3.06 
IOVFX  0.54  0.14  0.07  0.51  0.37 
(0.59)
 1.28 
(1.18)
 2.99 
GHVIX  0.18  0.05 (0.26) 0.45  0.00 
(0.23)
 0.48 
(0.29)
 1.35 

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