Gmo Core Correlations

GPBFX Fund

USD 17.38 0.23 1.31%

The current 90-days correlation between Gmo E Plus and Gmo High Yield is 0.02 (i.e., Significant diversification). The correlation of Gmo Core 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 Core Correlation With Market

Good diversification

The correlation between Gmo E Plus and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus 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 E Plus. 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 census.

Moving together with Gmo Mutual Fund

0.91	GUGAX	Gmo E Plus	Pair Corr
0.8	GUSTX	Gmo Treasury	Pair Corr
0.67	GEMEX	Gmo Emerging Markets	Pair Corr
0.68	GEMNX	Gmo Emerging Markets	Pair Corr
0.8	IOVFX	Gmo International	Pair Corr
0.84	GIEAX	Gmo International Equity	Pair Corr
0.81	GIMFX	Gmo Implementation	Pair Corr
0.79	GIOTX	Gmo International	Pair Corr
0.8	GMAZX	Gmo International	Pair Corr
0.76	GMAHX	Gmo Usonian Japan	Pair Corr
0.76	GMAKX	Gmo Usonian Japan	Pair Corr
0.67	GMDFX	Gmo Emerging Country	Pair Corr
0.67	GMCDX	Gmo Emerging Ntry	Pair Corr
0.78	GMCFX	Gmo International Equity	Pair Corr
0.67	GMEMX	Gmo Emerging Markets	Pair Corr
0.76	GMIIX	Gmo Usonian Japan	Pair Corr
0.86	GMODX	Gmo Opportunistic Income	Pair Corr
0.67	GMOEX	Gmo Emerging Markets	Pair Corr
0.86	GMOHX	Gmo Opportunistic Income	Pair Corr
0.78	GMOIX	Gmo International Equity	Pair Corr
0.86	GMOLX	Gmo Opportunistic Income	Pair Corr
0.68	GMOOX	Gmo Global Asset	Pair Corr
0.67	GMOQX	Gmo Emerging Country	Pair Corr

Moving against Gmo Mutual Fund

0.79	GMAYX	Gmo Small Cap	Pair Corr
0.71	GMAWX	Gmo Small Cap	Pair Corr
0.65	GEACX	Gmo Trust	Pair Corr
0.43	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.34	GUSOX	Gmo Trust	Pair Corr
0.45	GMAUX	Gmo Emerging Markets	Pair Corr
0.44	GMAOX	Gmo Trust	Pair Corr
0.44	GMAQX	Gmo Emerging Markets	Pair Corr
0.4	GMCQX	Gmo Equity Allocation	Pair Corr
0.82	GOVIX	Gmo Resources	Pair Corr
0.81	GMOYX	Gmo Trust	Pair Corr
0.75	GMOWX	Gmo Resources	Pair Corr
0.75	GOFIX	Gmo Resources	Pair Corr

Related Correlations Analysis

	GHVIX	RYIHX	JCTFX	NVHAX	PGANX	VRHYX	CWFIX
GHVIX		-0.78	0.78	0.49	0.9	0.9	0.89	GHVIX
RYIHX	-0.78		-0.72	-0.42	-0.63	-0.79	-0.74	RYIHX
JCTFX	0.78	-0.72		0.72	0.71	0.85	0.68	JCTFX
NVHAX	0.49	-0.42	0.72		0.52	0.54	0.36	NVHAX
PGANX	0.9	-0.63	0.71	0.52		0.75	0.81	PGANX
VRHYX	0.9	-0.79	0.85	0.54	0.75		0.75	VRHYX
CWFIX	0.89	-0.74	0.68	0.36	0.81	0.75		CWFIX
	GHVIX	RYIHX	JCTFX	NVHAX	PGANX	VRHYX	CWFIX

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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

PGANX	+ 0.9	GHVIX
VRHYX	+ 0.9	GHVIX
CWFIX	+ 0.89	GHVIX
VRHYX	+ 0.85	JCTFX
CWFIX	+ 0.81	PGANX
JCTFX	+ 0.78	GHVIX

High negative correlations

VRHYX	- 0.79	RYIHX
RYIHX	- 0.78	GHVIX
CWFIX	- 0.74	RYIHX
JCTFX	- 0.72	RYIHX
PGANX	- 0.63	RYIHX
NVHAX	- 0.42	RYIHX

Risk-Adjusted Indicators

There is a big difference between Gmo Mutual Fund performing well and Gmo Core 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 Core'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
GHVIX	0.18	0.01	0.57	(0.01)	0.25	(0.18)	0.30	(0.35)	1.78
RYIHX	0.26	(0.02)	0.52	(0.06)	0.28	(0.31)	0.53	(0.48)	2.17
JCTFX	0.31	(0.03)	0.00	(2.24)	0.00	0.00	0.43	(0.57)	2.30
NVHAX	0.13	0.01	0.79	0.68	0.09	(0.20)	0.31	(0.31)	0.94
PGANX	0.08	0.02	1.01	4.87	0.00	(0.20)	0.23	(0.22)	0.91
VRHYX	0.18	0.00	0.39	(0.10)	0.24	(0.34)	0.52	(0.26)	1.84
CWFIX	0.09	0.00	0.00	(0.15)	0.00	0.00	0.11	(0.31)	0.95

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