Correlation Between Gmo Alternative and Swan Defined
Can any of the company-specific risk be diversified away by investing in both Gmo Alternative and Swan Defined 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 Gmo Alternative and Swan Defined into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo Alternative Allocation and Swan Defined Risk, you can compare the effects of market volatilities on Gmo Alternative and Swan Defined 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 Gmo Alternative with a short position of Swan Defined. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Alternative and Swan Defined.
Diversification Opportunities for Gmo Alternative and Swan Defined
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Gmo and Swan is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Alternative Allocation and Swan Defined Risk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swan Defined Risk and Gmo Alternative 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 Gmo Alternative Allocation are associated (or correlated) with Swan Defined. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swan Defined Risk has no effect on the direction of Gmo Alternative i.e., Gmo Alternative and Swan Defined go up and down completely randomly.
Pair Corralation between Gmo Alternative and Swan Defined
Assuming the 90 days horizon Gmo Alternative Allocation is expected to under-perform the Swan Defined. But the mutual fund apears to be less risky and, when comparing its historical volatility, Gmo Alternative Allocation is 1.75 times less risky than Swan Defined. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Swan Defined Risk is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 1,012 in Swan Defined Risk on August 30, 2024 and sell it today you would lose (26.00) from holding Swan Defined Risk or give up 2.57% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo Alternative Allocation vs. Swan Defined Risk
Performance |
| Timeline |
| Gmo Alternative Allo |
| Swan Defined Risk |
Gmo Alternative and Swan Defined Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Alternative and Swan Defined
The main advantage of trading using opposite Gmo Alternative and Swan Defined positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Alternative position performs unexpectedly, Swan Defined 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 Swan Defined will offset losses from the drop in Swan Defined's long position.| Gmo Alternative vs. Gmo Trust | Gmo Alternative vs. Gmo Treasury Fund | Gmo Alternative vs. Gmo Trust | Gmo Alternative vs. Gmo Emerging Markets |
| Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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