Correlation Between Glg Intl and Sp 500
Can any of the company-specific risk be diversified away by investing in both Glg Intl and Sp 500 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 Glg Intl and Sp 500 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Glg Intl Small and Sp 500 Equal, you can compare the effects of market volatilities on Glg Intl and Sp 500 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 Glg Intl with a short position of Sp 500. Check out your portfolio center. Please also check ongoing floating volatility patterns of Glg Intl and Sp 500.
Diversification Opportunities for Glg Intl and Sp 500
Poor diversification
The 3 months correlation between Glg and INDEX is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Glg Intl Small and Sp 500 Equal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp 500 Equal and Glg Intl 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 Glg Intl Small are associated (or correlated) with Sp 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp 500 Equal has no effect on the direction of Glg Intl i.e., Glg Intl and Sp 500 go up and down completely randomly.
Pair Corralation between Glg Intl and Sp 500
Assuming the 90 days horizon Glg Intl Small is expected to generate 1.0 times more return on investment than Sp 500. However, Glg Intl is 1.0 times more volatile than Sp 500 Equal. It trades about -0.07 of its potential returns per unit of risk. Sp 500 Equal is currently generating about -0.15 per unit of risk. If you would invest 8,675 in Glg Intl Small on October 9, 2024 and sell it today you would lose (140.00) from holding Glg Intl Small or give up 1.61% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Glg Intl Small vs. Sp 500 Equal
Performance |
| Timeline |
| Glg Intl Small |
| Sp 500 Equal |
Glg Intl and Sp 500 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Glg Intl and Sp 500
The main advantage of trading using opposite Glg Intl and Sp 500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Glg Intl position performs unexpectedly, Sp 500 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 Sp 500 will offset losses from the drop in Sp 500's long position.| Glg Intl vs. Short Real Estate | Glg Intl vs. Pender Real Estate | Glg Intl vs. Prudential Real Estate | Glg Intl vs. Baron Real Estate |
| Sp 500 vs. Icon Financial Fund | Sp 500 vs. Financials Ultrasector Profund | Sp 500 vs. Blackstone Secured Lending | Sp 500 vs. Vanguard Financials Index |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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