Correlation Between GAMCO Global and ARB
Can any of the company-specific risk be diversified away by investing in both GAMCO Global and ARB 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 GAMCO Global and ARB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GAMCO Global Gold and ARB Limited, you can compare the effects of market volatilities on GAMCO Global and ARB 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 GAMCO Global with a short position of ARB. Check out your portfolio center. Please also check ongoing floating volatility patterns of GAMCO Global and ARB.
Diversification Opportunities for GAMCO Global and ARB
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between GAMCO and ARB is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding GAMCO Global Gold and ARB Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ARB Limited and GAMCO Global 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 GAMCO Global Gold are associated (or correlated) with ARB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ARB Limited has no effect on the direction of GAMCO Global i.e., GAMCO Global and ARB go up and down completely randomly.
Pair Corralation between GAMCO Global and ARB
Assuming the 90 days trading horizon GAMCO Global is expected to generate 3.51 times less return on investment than ARB. In addition to that, GAMCO Global is 1.2 times more volatile than ARB Limited. It trades about 0.02 of its total potential returns per unit of risk. ARB Limited is currently generating about 0.07 per unit of volatility. If you would invest 1,873 in ARB Limited on September 12, 2024 and sell it today you would earn a total of 619.00 from holding ARB Limited or generate 33.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 75.0% |
| Values | Daily Returns |
GAMCO Global Gold vs. ARB Limited
Performance |
| Timeline |
| GAMCO Global Gold |
| ARB Limited |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
GAMCO Global and ARB Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GAMCO Global and ARB
The main advantage of trading using opposite GAMCO Global and ARB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GAMCO Global position performs unexpectedly, ARB 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 ARB will offset losses from the drop in ARB's long position.| GAMCO Global vs. The Gabelli Equity | GAMCO Global vs. The Gabelli Equity | GAMCO Global vs. General American Investors | GAMCO Global vs. The Gabelli Utility |
| ARB vs. GAMCO Global Gold | ARB vs. Advanced Micro Devices | ARB vs. STMicroelectronics NV ADR | ARB vs. Amkor Technology |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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