Gmo E Correlations
| GUGAX Fund | USD 17.43 0.46 2.57% |
The current 90-days correlation between Gmo E Plus and Jpmorgan High Yield is 0.01 (i.e., Significant diversification). The correlation of Gmo E 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 E Correlation With Market
Significant diversification
The correlation between Gmo E Plus and DJI is 0.08 (i.e., Significant 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.
Gmo |
Moving together with Gmo Mutual Fund
| 0.66 | GMAUX | Gmo Emerging Markets | PairCorr |
| 0.69 | GMODX | Gmo Opportunistic Income | PairCorr |
| 0.68 | GMOHX | Gmo Opportunistic Income | PairCorr |
| 0.65 | GMOLX | Gmo Opportunistic Income | PairCorr |
Related Correlations Analysis
| 0.57 | 0.94 | 0.92 | 0.58 | 0.54 | 0.96 | JYHRX | ||
| 0.57 | 0.48 | 0.4 | 0.97 | 0.98 | 0.49 | FHYIX | ||
| 0.94 | 0.48 | 0.89 | 0.5 | 0.47 | 0.87 | RIMOX | ||
| 0.92 | 0.4 | 0.89 | 0.4 | 0.37 | 0.94 | PYRLX | ||
| 0.58 | 0.97 | 0.5 | 0.4 | 0.95 | 0.49 | RTHAX | ||
| 0.54 | 0.98 | 0.47 | 0.37 | 0.95 | 0.46 | DMHIX | ||
| 0.96 | 0.49 | 0.87 | 0.94 | 0.49 | 0.46 | MZHIX | ||
Risk-Adjusted Indicators
There is a big difference between Gmo Mutual Fund performing well and Gmo E 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 E'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| JYHRX | 0.08 | 0.00 | (0.32) | 0.07 | 0.00 | 0.15 | 0.46 | |||
| FHYIX | 0.10 | 0.01 | (0.32) | (13.75) | 0.00 | 0.23 | 0.67 | |||
| RIMOX | 0.06 | 0.01 | (0.65) | 2.14 | 0.00 | 0.20 | 0.30 | |||
| PYRLX | 0.10 | 0.01 | (0.37) | 0.29 | 0.00 | 0.24 | 0.63 | |||
| RTHAX | 0.07 | 0.01 | (0.38) | 2.83 | 0.00 | 0.21 | 0.42 | |||
| DMHIX | 0.12 | 0.02 | (0.22) | (2.46) | 0.00 | 0.31 | 0.91 | |||
| MZHIX | 0.11 | (0.01) | (0.32) | 0.03 | 0.00 | 0.25 | 0.63 |