Correlation Between Gabelli Equity and CBOE Volatility
Can any of the company-specific risk be diversified away by investing in both Gabelli Equity and CBOE Volatility 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 Gabelli Equity and CBOE Volatility into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gabelli Equity Trust and CBOE Volatility Index, you can compare the effects of market volatilities on Gabelli Equity and CBOE Volatility 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 Gabelli Equity with a short position of CBOE Volatility. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gabelli Equity and CBOE Volatility.
Diversification Opportunities for Gabelli Equity and CBOE Volatility
-0.39 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Gabelli and CBOE is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Gabelli Equity Trust and CBOE Volatility Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CBOE Volatility Index and Gabelli Equity 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 Gabelli Equity Trust are associated (or correlated) with CBOE Volatility. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CBOE Volatility Index has no effect on the direction of Gabelli Equity i.e., Gabelli Equity and CBOE Volatility go up and down completely randomly.
Pair Corralation between Gabelli Equity and CBOE Volatility
Considering the 90-day investment horizon Gabelli Equity is expected to generate 2.67 times less return on investment than CBOE Volatility. But when comparing it to its historical volatility, Gabelli Equity Trust is 6.76 times less risky than CBOE Volatility. It trades about 0.04 of its potential returns per unit of risk. CBOE Volatility Index is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 2,283 in CBOE Volatility Index on August 30, 2024 and sell it today you would lose (873.00) from holding CBOE Volatility Index or give up 38.24% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 96.49% |
| Values | Daily Returns |
Gabelli Equity Trust vs. CBOE Volatility Index
Performance |
| Timeline |
Gabelli Equity and CBOE Volatility Volatility Contrast
Predicted Return Density |
| Returns |
Gabelli Equity Trust
Pair trading matchups for Gabelli Equity
CBOE Volatility Index
Pair trading matchups for CBOE Volatility
Pair Trading with Gabelli Equity and CBOE Volatility
The main advantage of trading using opposite Gabelli Equity and CBOE Volatility positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gabelli Equity position performs unexpectedly, CBOE Volatility 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 CBOE Volatility will offset losses from the drop in CBOE Volatility's long position.| Gabelli Equity vs. Gabelli Utility Closed | Gabelli Equity vs. Gabelli MultiMedia Mutual | Gabelli Equity vs. Gabelli Healthcare WellnessRx | Gabelli Equity vs. Liberty All Star |
| CBOE Volatility vs. Kandi Technologies Group | CBOE Volatility vs. Socket Mobile | CBOE Volatility vs. United Rentals | CBOE Volatility vs. Sphere Entertainment Co |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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