Gmo Asset Correlations
| GABFX Fund | USD 18.05 0.10 0.56% |
The current 90-days correlation between Gmo Asset Allocation and Aamhimco Short Duration is -0.06 (i.e., Good diversification). The correlation of Gmo Asset 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 Asset Correlation With Market
Good diversification
The correlation between Gmo Asset Allocation and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Asset Allocation and DJI in the same portfolio, assuming nothing else is changed.
Gmo |
Related Correlations Analysis
| 0.97 | 0.95 | 0.9 | 0.95 | 0.96 | ASDIX | ||
| 0.97 | 0.97 | 0.95 | 0.98 | 0.99 | TEPFX | ||
| 0.95 | 0.97 | 0.95 | 0.98 | 0.98 | HCSBX | ||
| 0.9 | 0.95 | 0.95 | 0.94 | 0.95 | BPIRX | ||
| 0.95 | 0.98 | 0.98 | 0.94 | 0.99 | FSHAX | ||
| 0.96 | 0.99 | 0.98 | 0.95 | 0.99 | FTFZX | ||
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Risk-Adjusted Indicators
There is a big difference between Gmo Mutual Fund performing well and Gmo Asset 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 Asset'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ASDIX | 0.08 | 0.02 | (0.75) | 14.62 | 0.00 | 0.20 | 0.60 | |||
| TEPFX | 0.07 | 0.02 | (0.69) | 1.18 | 0.00 | 0.11 | 0.42 | |||
| HCSBX | 0.06 | 0.02 | 0.00 | (3.51) | 0.00 | 0.11 | 0.52 | |||
| BPIRX | 0.37 | 0.05 | (0.05) | 0.23 | 0.27 | 0.82 | 2.37 | |||
| FSHAX | 0.05 | 0.02 | 0.00 | (11.42) | 0.00 | 0.10 | 0.41 | |||
| FTFZX | 0.07 | 0.02 | (0.85) | (3.86) | 0.00 | 0.20 | 0.49 |