Gmo Global Correlations

Mutual Funds . USA . 
Fund . Gmo Global Asset
GMWRX Fund  USD 35.19  0.12  0.34%   
The current 90-days correlation between Gmo Global Asset and Gmo E Plus is 0.44 (i.e., Very weak diversification). The correlation of Gmo Global 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 Global Correlation With Market

Very poor diversification

The correlation between Gmo Global Asset and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Asset 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 Global Asset. 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 metropolitan statistical area.

Moving together with Gmo Mutual Fund

  0.72GUGAX Gmo E PlusPairCorr
  0.98GUSOX Gmo TrustPairCorr
  0.89GUSTX Gmo TreasuryPairCorr
  0.93GEACX Gmo TrustPairCorr
  0.98GEMMX Gmo Emerging MarketsPairCorr
  0.98GEMNX Gmo Emerging MarketsPairCorr
  1.0GWOAX Gmo Global DevelopedPairCorr
  0.99GHVIX Gmo High YieldPairCorr
  0.99GIEAX Gmo International EquityPairCorr
  0.96GMAWX Gmo Small CapPairCorr
  0.96GMAYX Gmo Small CapPairCorr
  0.99GMAZX Gmo InternationalPairCorr
  0.99GMBCX Gmo InternationalPairCorr
  1.0GMADX Gmo Global EquityPairCorr
  0.96GMAKX Gmo Usonian JapanPairCorr
  0.99GMAQX Gmo Emerging MarketsPairCorr
  0.96GMDFX Gmo Emerging CountryPairCorr
  0.96GMCDX Gmo Emerging NtryPairCorr
  0.99GMCQX Gmo Equity AllocationPairCorr
  0.98GMEMX Gmo Emerging MarketsPairCorr
  0.96GMIIX Gmo Usonian JapanPairCorr
  0.9GMODX Gmo Opportunistic IncomePairCorr
  0.98GMOEX Gmo Emerging MarketsPairCorr
  0.97GMOIX Gmo International EquityPairCorr
  0.97GMOUX Gmo International EquityPairCorr
  0.93GMOWX Gmo ResourcesPairCorr
  1.0GMWAX Gmo Global AssetPairCorr
  0.93GOFIX Gmo ResourcesPairCorr
  0.93GOVIX Gmo ResourcesPairCorr
  0.72GPBFX Gmo E PlusPairCorr
  0.99GQESX Gmo Quality FundPairCorr
  0.99GQETX Gmo Quality FundPairCorr
  0.99GQLOX Gmo Quality FundPairCorr
  0.79GAAGX Gmo Alternative AlloPairCorr
  0.93GAAHX Gmo ResourcesPairCorr
  0.8GAAKX Gmo Alternative AlloPairCorr
  0.8GAAVX Gmo Alternative AlloPairCorr

Moving against Gmo Mutual Fund

  0.61GMAEX Gmo Quality CyclicalsPairCorr
  0.61GMAOX Gmo TrustPairCorr

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 Global 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 Global'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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