Gmo Trust Correlations

GEACX Fund

USD 16.07 0.28 1.77%

The current 90-days correlation between Gmo Trust and Siit Emerging Markets is 0.12 (i.e., Average 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 poor diversification

The correlation between Gmo Trust and DJI is 0.81 (i.e., Very poor 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 main economic indicators.

Moving together with Gmo Mutual Fund

0.91	GUSOX	Gmo Trust	Pair Corr
0.63	GEMEX	Gmo Emerging Markets	Pair Corr
0.67	GEMMX	Gmo Emerging Markets	Pair Corr
0.63	GEMNX	Gmo Emerging Markets	Pair Corr
0.82	GWOAX	Gmo Global Developed	Pair Corr
0.69	GHVIX	Gmo High Yield	Pair Corr
0.9	GMAWX	Gmo Small Cap	Pair Corr
0.9	GMAYX	Gmo Small Cap	Pair Corr
0.84	GMADX	Gmo Global Equity	Pair Corr
0.88	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.88	GMAOX	Gmo Trust	Pair Corr
0.77	GMAQX	Gmo Emerging Markets	Pair Corr
0.77	GMAUX	Gmo Emerging Markets	Pair Corr
0.73	GMDFX	Gmo Emerging Country	Pair Corr
0.73	GMCDX	Gmo Emerging Ntry	Pair Corr
0.91	GMCQX	Gmo Equity Allocation	Pair Corr
0.63	GMEMX	Gmo Emerging Markets	Pair Corr
0.8	GMGEX	Gmo Global Equity	Pair Corr
0.63	GMOEX	Gmo Emerging Markets	Pair Corr
0.63	GMOOX	Gmo Global Asset	Pair Corr
0.91	PPADX	Gmo Trust	Pair Corr
0.91	PPAEX	Gmo Trust	Pair Corr
0.91	PPAJX	Gmo Opportunistic Value	Pair Corr

Moving against Gmo Mutual Fund

0.72	GUSTX	Gmo Treasury	Pair Corr
0.63	GMOHX	Gmo Opportunistic Income	Pair Corr
0.63	GMOLX	Gmo Opportunistic Income	Pair Corr
0.62	GMODX	Gmo Opportunistic Income	Pair Corr
0.44	GPBFX	Gmo E Plus	Pair Corr

Related Correlations Analysis

	SEDAX	REMVX	CABIX	LOGIX	RMVRX	OPTCX	BBHLX
SEDAX		0.87	0.6	0.54	0.87	-0.12	0.82	SEDAX
REMVX	0.87		0.59	0.65	1.0	-0.15	0.68	REMVX
CABIX	0.6	0.59		0.8	0.59	-0.59	0.51	CABIX
LOGIX	0.54	0.65	0.8		0.65	-0.7	0.34	LOGIX
RMVRX	0.87	1.0	0.59	0.65		-0.15	0.69	RMVRX
OPTCX	-0.12	-0.15	-0.59	-0.7	-0.15		0.0	OPTCX
BBHLX	0.82	0.68	0.51	0.34	0.69	0.0		BBHLX
	SEDAX	REMVX	CABIX	LOGIX	RMVRX	OPTCX	BBHLX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

RMVRX	+ 1.0	REMVX
REMVX	+ 0.87	SEDAX
RMVRX	+ 0.87	SEDAX
BBHLX	+ 0.82	SEDAX
LOGIX	+ 0.8	CABIX
BBHLX	+ 0.69	RMVRX

High negative correlations

OPTCX	- 0.7	LOGIX
OPTCX	- 0.59	CABIX
OPTCX	- 0.15	RMVRX
OPTCX	- 0.15	REMVX
OPTCX	- 0.12	SEDAX
BBHLX	- 0.0	OPTCX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SEDAX	0.30	0.02	0.27	7.87	0.41	(0.35)	0.59	(0.46)	2.24
REMVX	1.08	0.07	0.12	(0.94)	1.56	(1.11)	1.76	(2.54)	8.20
CABIX	0.45	0.00	0.19	(0.14)	0.60	(0.48)	0.93	(0.91)	3.47
LOGIX	0.86	(0.05)	0.00	0.46	0.00	0.00	1.33	(1.73)	7.24
RMVRX	1.08	0.08	0.12	(0.97)	1.56	(1.12)	1.80	(2.59)	8.16
OPTCX	0.02	0.00	0.00	0.00	0.00	0.00	0.10	0.00	0.41
BBHLX	0.97	0.20	0.16	0.17	1.31	(1.01)	1.88	(1.62)	8.18

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC