Gmo Opportunistic Correlations

GMOHX Fund

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The current 90-days correlation between Gmo Opportunistic Income and Gmo E Plus is -0.04 (i.e., Good diversification). The correlation of Gmo Opportunistic 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 Opportunistic Correlation With Market

Good diversification

The correlation between Gmo Opportunistic Income and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Opportunistic Income 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 Opportunistic Income. 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 rate.

Moving together with Gmo Mutual Fund

0.68	GUSOX	Gmo Trust	Pair Corr
0.87	GUSTX	Gmo Treasury	Pair Corr
0.68	GEACX	Gmo Trust	Pair Corr
0.71	GWOAX	Gmo Global Developed	Pair Corr
0.72	GHVIX	Gmo High Yield	Pair Corr
0.65	GIEAX	Gmo International Equity	Pair Corr
0.85	GIMFX	Gmo Implementation	Pair Corr
0.67	GIOTX	Gmo International	Pair Corr
0.69	GMADX	Gmo Global Equity	Pair Corr
0.93	GMDFX	Gmo Emerging Country	Pair Corr
0.92	GMCDX	Gmo Emerging Ntry	Pair Corr
0.74	GMCFX	Gmo International Equity	Pair Corr
0.71	GMCQX	Gmo Equity Allocation	Pair Corr
0.69	GMGEX	Gmo Global Equity	Pair Corr
1.0	GMODX	Gmo Opportunistic Income	Pair Corr
0.74	GMOIX	Gmo International Equity	Pair Corr
1.0	GMOLX	Gmo Opportunistic Income	Pair Corr
0.72	GMOOX	Gmo Global Asset	Pair Corr
0.68	PPADX	Gmo Trust	Pair Corr
0.7	PPAEX	Gmo Trust	Pair Corr
0.69	PPAJX	Gmo Opportunistic Value	Pair Corr
0.92	GMOQX	Gmo Emerging Country	Pair Corr
0.63	GMOUX	Gmo International Equity	Pair Corr

Moving against Gmo Mutual Fund

0.34

GMOZX

Gmo High Yield

Pair Corr

Related Correlations Analysis

	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX
GUGAX		0.2	0.12	0.09	-0.01	-0.01	0.26	0.25	-0.16	0.33	GUGAX
GUSOX	0.2		0.72	0.64	-0.08	-0.08	0.56	0.85	-0.48	0.93	GUSOX
GUSTX	0.12	0.72		0.78	0.01	0.02	0.42	0.74	-0.18	0.72	GUSTX
GEACX	0.09	0.64	0.78		0.46	0.47	0.57	0.82	0.05	0.7	GEACX
GEMEX	-0.01	-0.08	0.01	0.46		0.99	0.38	0.24	0.5	0.06	GEMEX
GEMMX	-0.01	-0.08	0.02	0.47	0.99		0.38	0.24	0.49	0.06	GEMMX
GEMNX	0.26	0.56	0.42	0.57	0.38	0.38		0.54	-0.16	0.71	GEMNX
GWOAX	0.25	0.85	0.74	0.82	0.24	0.24	0.54		-0.21	0.83	GWOAX
IOVFX	-0.16	-0.48	-0.18	0.05	0.5	0.49	-0.16	-0.21		-0.37	IOVFX
GHVIX	0.33	0.93	0.72	0.7	0.06	0.06	0.71	0.83	-0.37		GHVIX
	GUGAX	GUSOX	GUSTX	GEACX	GEMEX	GEMMX	GEMNX	GWOAX	IOVFX	GHVIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GEMMX	+ 0.99	GEMEX
GHVIX	+ 0.93	GUSOX
GWOAX	+ 0.85	GUSOX
GHVIX	+ 0.83	GWOAX
GWOAX	+ 0.82	GEACX
GEACX	+ 0.78	GUSTX

High negative correlations

IOVFX	- 0.48	GUSOX
GHVIX	- 0.37	IOVFX
IOVFX	- 0.21	GWOAX
IOVFX	- 0.18	GUSTX
IOVFX	- 0.16	GEMNX
IOVFX	- 0.16	GUGAX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Opportunistic 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 Opportunistic'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
GUGAX	0.14	0.00	(0.37)	0.12	0.11	(0.16)	0.29	(0.29)	0.92
GUSOX	0.60	0.09	0.04	0.84	0.55	(0.73)	1.58	(1.04)	3.07
GUSTX	0.02	0.00	0.00	0.07	0.00	0.00	0.00	0.00	0.40
GEACX	0.99	0.01	0.01	0.08	1.23	(1.06)	2.10	(2.38)	6.32
GEMEX	0.68	(0.04)	(0.05)	0.02	1.10	(0.73)	1.31	(1.11)	6.54
GEMMX	0.70	(0.02)	(0.03)	0.04	1.10	(0.76)	1.32	(1.12)	6.75
GEMNX	0.62	0.04	0.02	0.13	0.77	(0.68)	1.30	(1.09)	4.21
GWOAX	0.66	(0.02)	(0.01)	0.06	1.03	(0.63)	1.39	(1.23)	6.33
IOVFX	0.81	(0.10)	0.00	(0.30)	0.00	0.00	1.17	(1.26)	17.75
GHVIX	0.12	0.01	(0.34)	0.30	0.00	(0.15)	0.29	(0.23)	0.77

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