Correlation Between Bats Series and Gmo Asset
Can any of the company-specific risk be diversified away by investing in both Bats Series and Gmo Asset 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 Bats Series and Gmo Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bats Series M and Gmo Asset Allocation, you can compare the effects of market volatilities on Bats Series and Gmo Asset 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 Bats Series with a short position of Gmo Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bats Series and Gmo Asset.
Diversification Opportunities for Bats Series and Gmo Asset
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bats and Gmo is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Bats Series M and Gmo Asset Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Asset Allocation and Bats Series 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 Bats Series M are associated (or correlated) with Gmo Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Asset Allocation has no effect on the direction of Bats Series i.e., Bats Series and Gmo Asset go up and down completely randomly.
Pair Corralation between Bats Series and Gmo Asset
Assuming the 90 days horizon Bats Series M is expected to generate 0.43 times more return on investment than Gmo Asset. However, Bats Series M is 2.33 times less risky than Gmo Asset. It trades about 0.03 of its potential returns per unit of risk. Gmo Asset Allocation is currently generating about 0.0 per unit of risk. If you would invest 788.00 in Bats Series M on August 28, 2024 and sell it today you would earn a total of 51.00 from holding Bats Series M or generate 6.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bats Series M vs. Gmo Asset Allocation
Performance |
| Timeline |
| Bats Series M |
| Gmo Asset Allocation |
Bats Series and Gmo Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bats Series and Gmo Asset
The main advantage of trading using opposite Bats Series and Gmo Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bats Series position performs unexpectedly, Gmo Asset 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 Asset will offset losses from the drop in Gmo Asset's long position.| Bats Series vs. Blackrock California Municipal | Bats Series vs. Blackrock Balanced Capital | Bats Series vs. Blackrock Eurofund Class | Bats Series vs. Blackrock Funds |
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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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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