Correlation Between Artisan Small and Gmo Small
Can any of the company-specific risk be diversified away by investing in both Artisan Small and Gmo Small 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 Artisan Small and Gmo Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Artisan Small Cap and Gmo Small Cap, you can compare the effects of market volatilities on Artisan Small and Gmo Small 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 Artisan Small with a short position of Gmo Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Artisan Small and Gmo Small.
Diversification Opportunities for Artisan Small and Gmo Small
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Artisan and Gmo is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Artisan Small Cap and Gmo Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Small Cap and Artisan Small 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 Artisan Small Cap are associated (or correlated) with Gmo Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Small Cap has no effect on the direction of Artisan Small i.e., Artisan Small and Gmo Small go up and down completely randomly.
Pair Corralation between Artisan Small and Gmo Small
Assuming the 90 days horizon Artisan Small Cap is expected to generate 0.99 times more return on investment than Gmo Small. However, Artisan Small Cap is 1.01 times less risky than Gmo Small. It trades about 0.31 of its potential returns per unit of risk. Gmo Small Cap is currently generating about 0.21 per unit of risk. If you would invest 3,648 in Artisan Small Cap on September 1, 2024 and sell it today you would earn a total of 354.00 from holding Artisan Small Cap or generate 9.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Artisan Small Cap vs. Gmo Small Cap
Performance |
| Timeline |
| Artisan Small Cap |
| Gmo Small Cap |
Artisan Small and Gmo Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Artisan Small and Gmo Small
The main advantage of trading using opposite Artisan Small and Gmo Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Artisan Small position performs unexpectedly, Gmo Small 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 Small will offset losses from the drop in Gmo Small's long position.| Artisan Small vs. Artisan Thematic Fund | Artisan Small vs. Artisan Floating Rate | Artisan Small vs. Artisan Global Unconstrained | Artisan Small vs. Artisan Emerging Markets |
| Gmo Small vs. Gmo E Plus | Gmo Small vs. Gmo Trust | Gmo Small vs. Gmo Treasury Fund | Gmo Small vs. Gmo Emerging Markets |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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