Gmo Asset Correlations

GABFX Fund

USD 19.46 0.22 1.14%

The current 90-days correlation between Gmo Asset Allocation and HUMANA INC is 0.01 (i.e., Significant 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 -0.2 (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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Gmo Asset Allocation. 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

0.98	GUGAX	Gmo E Plus	Pair Corr
0.64	IOVFX	Gmo International	Pair Corr
0.61	GIEAX	Gmo International Equity	Pair Corr
0.72	GIMFX	Gmo Implementation	Pair Corr
0.74	GIOTX	Gmo International	Pair Corr
0.63	GMAZX	Gmo International	Pair Corr
0.86	GMAHX	Gmo Usonian Japan	Pair Corr
0.86	GMAKX	Gmo Usonian Japan	Pair Corr
0.73	GMAQX	Gmo Emerging Markets	Pair Corr
0.73	GMAUX	Gmo Emerging Markets	Pair Corr
0.71	GMCFX	Gmo International Equity	Pair Corr
0.86	GMIIX	Gmo Usonian Japan	Pair Corr
0.74	GMOIX	Gmo International Equity	Pair Corr
0.64	GMOOX	Gmo Global Asset	Pair Corr
0.74	GMOUX	Gmo International Equity	Pair Corr

Moving against Gmo Mutual Fund

0.74	GUSOX	Gmo Trust	Pair Corr
0.63	GMAWX	Gmo Small Cap	Pair Corr
0.63	GMAYX	Gmo Small Cap	Pair Corr
0.61	GMAEX	Gmo Quality Cyclicals	Pair Corr
0.41	GHVIX	Gmo High Yield	Pair Corr
0.83	GMCQX	Gmo Equity Allocation	Pair Corr
0.61	GMAOX	Gmo Trust	Pair Corr
0.38	GMDFX	Gmo Emerging Country	Pair Corr
0.38	GMCDX	Gmo Emerging Ntry	Pair Corr
0.82	GMUEX	Gmo Equity Allocation	Pair Corr
0.38	GMOQX	Gmo Emerging Country	Pair Corr
0.37	GMOZX	Gmo High Yield	Pair Corr
0.34	GQESX	Gmo Quality Fund	Pair Corr

Related Correlations Analysis

	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	AAEVX	RRTLX
444859BR2		0.0	0.22	-0.53	-0.54	-0.03	0.41	-0.41	-0.69	-0.44	444859BR2
AQUI	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	0.22	0.0		-0.45	-0.35	-0.4	-0.04	0.1	-0.32	-0.47	BRRAY
MSTSX	-0.53	0.0	-0.45		0.67	0.34	-0.02	-0.08	0.75	0.81	MSTSX
LBHIX	-0.54	0.0	-0.35	0.67		0.51	-0.29	0.22	0.68	0.69	LBHIX
ABHYX	-0.03	0.0	-0.4	0.34	0.51		-0.05	-0.17	0.07	0.41	ABHYX
SCAXF	0.41	0.0	-0.04	-0.02	-0.29	-0.05		-0.8	-0.43	-0.07	SCAXF
VIASP	-0.41	0.0	0.1	-0.08	0.22	-0.17	-0.8		0.41	0.01	VIASP
AAEVX	-0.69	0.0	-0.32	0.75	0.68	0.07	-0.43	0.41		0.82	AAEVX
RRTLX	-0.44	0.0	-0.47	0.81	0.69	0.41	-0.07	0.01	0.82		RRTLX
	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	AAEVX	RRTLX

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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

RRTLX	+ 0.82	AAEVX
RRTLX	+ 0.81	MSTSX
AAEVX	+ 0.75	MSTSX
RRTLX	+ 0.69	LBHIX
AAEVX	+ 0.68	LBHIX
LBHIX	+ 0.67	MSTSX

High negative correlations

VIASP	- 0.8	SCAXF
AAEVX	- 0.69	444859BR2
LBHIX	- 0.54	444859BR2
MSTSX	- 0.53	444859BR2
RRTLX	- 0.47	BRRAY
MSTSX	- 0.45	BRRAY

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
444859BR2	1.35	(0.09)	0.00	(0.14)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.13)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.42)	0.38	0.00	(0.29)	0.24	(0.24)	0.96
ABHYX	0.17	0.00	(0.24)	0.19	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.41)	0.00	(0.98)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.07	(0.04)	(2.04)	1.13	(0.80)	2.28	(1.20)	7.18
AAEVX	0.48	0.05	(0.10)	(2.13)	0.54	(0.57)	0.93	(0.77)	2.76
RRTLX	0.23	0.00	(0.34)	0.13	0.26	(0.26)	0.48	(0.56)	1.36

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