Gmo Trust Correlations

PPADX Fund

22.02 0.16 0.73%

The current 90-days correlation between Gmo Trust and Franklin Adjustable Government is -0.17 (i.e., Good 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

Good diversification

The correlation between Gmo Trust and DJI is -0.08 (i.e., Good 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 Your Equity Center 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 unemployment.

Moving together with Gmo Mutual Fund

1.0	GUSOX	Gmo Trust	Pair Corr
0.89	GEACX	Gmo Trust	Pair Corr
0.82	GEMEX	Gmo Emerging Markets	Pair Corr
0.82	GEMMX	Gmo Emerging Markets	Pair Corr
0.82	GEMNX	Gmo Emerging Markets	Pair Corr
0.88	GWOAX	Gmo Global Developed	Pair Corr
0.82	IOVFX	Gmo International	Pair Corr
0.85	GHVIX	Gmo High Yield	Pair Corr
0.73	GIEAX	Gmo International Equity	Pair Corr
0.87	GIMFX	Gmo Implementation	Pair Corr
0.68	GIOTX	Gmo International	Pair Corr
0.8	GMAWX	Gmo Small Cap	Pair Corr
0.8	GMAYX	Gmo Small Cap	Pair Corr
0.82	GMAZX	Gmo International	Pair Corr
0.75	GMBCX	Gmo International	Pair Corr
0.8	GMADX	Gmo Global Equity	Pair Corr
0.68	GMAHX	Gmo Usonian Japan	Pair Corr
0.76	GMAKX	Gmo Usonian Japan	Pair Corr
0.8	GMAQX	Gmo Emerging Markets	Pair Corr
0.79	GMAUX	Gmo Emerging Markets	Pair Corr
0.88	GMDFX	Gmo Emerging Country	Pair Corr
0.88	GMCDX	Gmo Emerging Ntry	Pair Corr
0.66	GMCFX	Gmo International Equity	Pair Corr
0.92	GMCQX	Gmo Equity Allocation	Pair Corr
0.82	GMEMX	Gmo Emerging Markets	Pair Corr
0.8	GMGEX	Gmo Global Equity	Pair Corr
0.68	GMIIX	Gmo Usonian Japan	Pair Corr
0.85	GMOEX	Gmo Emerging Markets	Pair Corr
0.72	GMOIX	Gmo International Equity	Pair Corr
0.81	GMOOX	Gmo Global Asset	Pair Corr
0.89	PPAEX	Gmo Trust	Pair Corr
1.0	PPAJX	Gmo Opportunistic Value	Pair Corr

Related Correlations Analysis

	FCSCX	GSORX	TUGXX	PCMNX	RGVCX	MSVXX	GFAXX	HCUSX
FCSCX		0.21	0.63	0.17	0.5	0.63	0.63	0.3	FCSCX
GSORX	0.21		-0.13	0.41	0.74	-0.17	-0.23	0.95	GSORX
TUGXX	0.63	-0.13		0.25	0.01	0.97	0.94	-0.13	TUGXX
PCMNX	0.17	0.41	0.25		0.34	0.27	0.29	0.26	PCMNX
RGVCX	0.5	0.74	0.01	0.34		-0.03	-0.08	0.76	RGVCX
MSVXX	0.63	-0.17	0.97	0.27	-0.03		0.97	-0.18	MSVXX
GFAXX	0.63	-0.23	0.94	0.29	-0.08	0.97		-0.24	GFAXX
HCUSX	0.3	0.95	-0.13	0.26	0.76	-0.18	-0.24		HCUSX
	FCSCX	GSORX	TUGXX	PCMNX	RGVCX	MSVXX	GFAXX	HCUSX

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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

MSVXX	+ 0.97	TUGXX
GFAXX	+ 0.97	MSVXX
HCUSX	+ 0.95	GSORX
GFAXX	+ 0.94	TUGXX
HCUSX	+ 0.76	RGVCX
RGVCX	+ 0.74	GSORX

High negative correlations

HCUSX	- 0.24	GFAXX
GFAXX	- 0.23	GSORX
HCUSX	- 0.18	MSVXX
MSVXX	- 0.17	GSORX
HCUSX	- 0.13	TUGXX
TUGXX	- 0.13	GSORX

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
FCSCX	0.07	0.00	(0.26)	0.00	0.00	(0.20)	0.13	(0.13)	0.53
GSORX	0.30	0.00	(0.09)	0.00	0.38	(0.30)	0.55	(0.54)	1.76
TUGXX	0.03	0.01	0.00	1.33	0.00	0.00	0.00	0.00	1.01
PCMNX	0.24	(0.02)	0.00	0.53	0.00	0.00	0.34	(0.93)	2.47
RGVCX	0.32	0.01	(0.07)	(0.20)	0.38	(0.34)	0.59	(0.67)	1.91
MSVXX	0.03	0.01	0.00	3.12	0.00	0.00	0.00	0.00	1.01
GFAXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
HCUSX	0.33	0.01	(0.07)	(0.19)	0.39	(0.34)	0.71	(0.59)	1.98

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