Gmo Trust Correlations

Mutual Funds . USA . 
Fund . Gmo Trust
GMAOX Fund  USD 11.63  0.00  0.00%   
The current 90-days correlation between Gmo Trust and Gmo E Plus is -0.11 (i.e., Good diversification). The correlation of Gmo Trust 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 Trust Correlation With Market

Very good diversification

The correlation between Gmo Trust and DJI is -0.4 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Trust 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 Trust . 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 persons.

Moving together with Gmo Mutual Fund

  1.0GMAEX Gmo Quality CyclicalsPairCorr

Moving against Gmo Mutual Fund

  0.67GIOTX Gmo InternationalPairCorr
  0.64IOVFX Gmo InternationalPairCorr
  0.64GMAZX Gmo InternationalPairCorr
  0.64GMBCX Gmo InternationalPairCorr
  0.63GIEAX Gmo International EquityPairCorr
  0.62GWOAX Gmo Global DevelopedPairCorr
  0.61GMAWX Gmo Small CapPairCorr
  0.61GMAYX Gmo Small CapPairCorr
  0.61GMADX Gmo Global EquityPairCorr
  0.6GIMFX Gmo ImplementationPairCorr
  0.59GHVIX Gmo High YieldPairCorr
  0.57GUSOX Gmo TrustPairCorr
  0.57GEMEX Gmo Emerging MarketsPairCorr
  0.57GEMMX Gmo Emerging MarketsPairCorr
  0.57GEMNX Gmo Emerging MarketsPairCorr
  0.49GEACX Gmo TrustPairCorr
  0.37GUGAX Gmo E PlusPairCorr
  0.36GUSTX Gmo TreasuryPairCorr
  0.68GMCFX Gmo International EquityPairCorr
  0.68GMOIX Gmo International EquityPairCorr
  0.65GMAHX Gmo Usonian JapanPairCorr
  0.65GMAKX Gmo Usonian JapanPairCorr
  0.65GMIIX Gmo Usonian JapanPairCorr
  0.62GMGEX Gmo Global EquityPairCorr
  0.61GMOOX Gmo Global AssetPairCorr
  0.58GMAQX Gmo Emerging MarketsPairCorr
  0.58GMAUX Gmo Emerging MarketsPairCorr
  0.58GMCQX Gmo Equity AllocationPairCorr
  0.57GMEMX Gmo Emerging MarketsPairCorr
  0.57GMOEX Gmo Emerging MarketsPairCorr
  0.48GMDFX Gmo Emerging CountryPairCorr
  0.48GMCDX Gmo Emerging NtryPairCorr
  0.44GMOHX Gmo Opportunistic IncomePairCorr
  0.43GMODX Gmo Opportunistic IncomePairCorr
  0.68GMOUX Gmo International EquityPairCorr
  0.61GMWAX Gmo Global AssetPairCorr
  0.61GMWRX Gmo Global AssetPairCorr
  0.59GMOZX Gmo High YieldPairCorr

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 Trust 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 Trust'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  0.52  0.22  0.19  0.70  0.00 
(0.59)
 1.70 
(0.90)
 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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