Correlation Between Champlain Small and Gmo Small
Can any of the company-specific risk be diversified away by investing in both Champlain 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 Champlain 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 Champlain Small and Gmo Small Cap, you can compare the effects of market volatilities on Champlain 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 Champlain Small with a short position of Gmo Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Champlain Small and Gmo Small.
Diversification Opportunities for Champlain Small and Gmo Small
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Champlain and Gmo is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Champlain Small 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 Champlain 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 Champlain Small 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 Champlain Small i.e., Champlain Small and Gmo Small go up and down completely randomly.
Pair Corralation between Champlain Small and Gmo Small
Assuming the 90 days horizon Champlain Small is expected to generate 1.12 times more return on investment than Gmo Small. However, Champlain Small is 1.12 times more volatile than Gmo Small Cap. It trades about 0.18 of its potential returns per unit of risk. Gmo Small Cap is currently generating about 0.11 per unit of risk. If you would invest 2,310 in Champlain Small on August 29, 2024 and sell it today you would earn a total of 247.00 from holding Champlain Small or generate 10.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 97.67% |
| Values | Daily Returns |
Champlain Small vs. Gmo Small Cap
Performance |
| Timeline |
| Champlain Small |
| Gmo Small Cap |
Champlain Small and Gmo Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Champlain Small and Gmo Small
The main advantage of trading using opposite Champlain Small and Gmo Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Champlain 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.| Champlain Small vs. Putnam Equity Income | Champlain Small vs. Putnam Growth Opportunities | Champlain Small vs. HUMANA INC | Champlain Small vs. Aquagold International |
| Gmo Small vs. Putnam Equity Income | Gmo Small vs. Putnam Growth Opportunities | Gmo Small vs. HUMANA INC | Gmo Small vs. Aquagold International |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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