Correlation Between Commonwealth Japan and Gmo Trust
Can any of the company-specific risk be diversified away by investing in both Commonwealth Japan and Gmo Trust 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 Commonwealth Japan and Gmo Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commonwealth Japan Fund and Gmo Trust , you can compare the effects of market volatilities on Commonwealth Japan and Gmo Trust 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 Commonwealth Japan with a short position of Gmo Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commonwealth Japan and Gmo Trust.
Diversification Opportunities for Commonwealth Japan and Gmo Trust
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between Commonwealth and Gmo is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Commonwealth Japan Fund and Gmo Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Trust and Commonwealth Japan 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 Commonwealth Japan Fund are associated (or correlated) with Gmo Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Trust has no effect on the direction of Commonwealth Japan i.e., Commonwealth Japan and Gmo Trust go up and down completely randomly.
Pair Corralation between Commonwealth Japan and Gmo Trust
Assuming the 90 days horizon Commonwealth Japan is expected to generate 1.36 times less return on investment than Gmo Trust. In addition to that, Commonwealth Japan is 1.8 times more volatile than Gmo Trust . It trades about 0.02 of its total potential returns per unit of risk. Gmo Trust is currently generating about 0.04 per unit of volatility. If you would invest 2,368 in Gmo Trust on September 1, 2024 and sell it today you would earn a total of 92.00 from holding Gmo Trust or generate 3.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Commonwealth Japan Fund vs. Gmo Trust
Performance |
| Timeline |
| Commonwealth Japan |
| Gmo Trust |
Commonwealth Japan and Gmo Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commonwealth Japan and Gmo Trust
The main advantage of trading using opposite Commonwealth Japan and Gmo Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commonwealth Japan position performs unexpectedly, Gmo Trust 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 Trust will offset losses from the drop in Gmo Trust's long position.| Commonwealth Japan vs. Commonwealth Australianew Zealand | Commonwealth Japan vs. Lazard Emerging Markets | Commonwealth Japan vs. ATLANTIC PETROLPF DK | Commonwealth Japan vs. Ashmore Emerging Markets |
| Gmo Trust vs. Gmo E Plus | Gmo Trust vs. Gmo Trust | Gmo Trust vs. Gmo Treasury Fund | Gmo Trust vs. Gmo Trust |
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 Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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