Correlation Between Ab Bond and Gmo International
Can any of the company-specific risk be diversified away by investing in both Ab Bond and Gmo International at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Ab Bond and Gmo International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Bond Inflation and Gmo International Equity, you can compare the effects of market volatilities on Ab Bond and Gmo International and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Ab Bond with a short position of Gmo International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Bond and Gmo International.
Diversification Opportunities for Ab Bond and Gmo International
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ANBIX and Gmo is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Ab Bond Inflation and Gmo International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo International Equity and Ab Bond is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Ab Bond Inflation are associated (or correlated) with Gmo International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo International Equity has no effect on the direction of Ab Bond i.e., Ab Bond and Gmo International go up and down completely randomly.
Pair Corralation between Ab Bond and Gmo International
Assuming the 90 days horizon Ab Bond Inflation is expected to generate 0.26 times more return on investment than Gmo International. However, Ab Bond Inflation is 3.87 times less risky than Gmo International. It trades about -0.12 of its potential returns per unit of risk. Gmo International Equity is currently generating about -0.22 per unit of risk. If you would invest 1,040 in Ab Bond Inflation on August 31, 2024 and sell it today you would lose (11.00) from holding Ab Bond Inflation or give up 1.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ab Bond Inflation vs. Gmo International Equity
Performance |
| Timeline |
| Ab Bond Inflation |
| Gmo International Equity |
Ab Bond and Gmo International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Bond and Gmo International
The main advantage of trading using opposite Ab Bond and Gmo International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Bond position performs unexpectedly, Gmo International can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Gmo International will offset losses from the drop in Gmo International's long position.| Ab Bond vs. Heartland Value Plus | Ab Bond vs. Chartwell Small Cap | Ab Bond vs. The Hartford Small | Ab Bond vs. Vanguard Small Cap Growth |
| Gmo International vs. Asg Managed Futures | Gmo International vs. Cref Inflation Linked Bond | Gmo International vs. Ab Bond Inflation | Gmo International vs. Ab Bond Inflation |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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