Correlation Between Gmo Global and Abbey Capital
Can any of the company-specific risk be diversified away by investing in both Gmo Global and Abbey Capital 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 Global and Abbey Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo Global Equity and Abbey Capital Futures, you can compare the effects of market volatilities on Gmo Global and Abbey Capital 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 Global with a short position of Abbey Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Global and Abbey Capital.
Diversification Opportunities for Gmo Global and Abbey Capital
-0.05 | Correlation Coefficient |
Good diversification
The 3 months correlation between Gmo and Abbey is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Equity and Abbey Capital Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Abbey Capital Futures and Gmo 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 Gmo Global Equity are associated (or correlated) with Abbey Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Abbey Capital Futures has no effect on the direction of Gmo Global i.e., Gmo Global and Abbey Capital go up and down completely randomly.
Pair Corralation between Gmo Global and Abbey Capital
Assuming the 90 days horizon Gmo Global Equity is expected to generate 1.53 times more return on investment than Abbey Capital. However, Gmo Global is 1.53 times more volatile than Abbey Capital Futures. It trades about 0.09 of its potential returns per unit of risk. Abbey Capital Futures is currently generating about -0.02 per unit of risk. If you would invest 2,211 in Gmo Global Equity on September 12, 2024 and sell it today you would earn a total of 834.00 from holding Gmo Global Equity or generate 37.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo Global Equity vs. Abbey Capital Futures
Performance |
| Timeline |
| Gmo Global Equity |
| Abbey Capital Futures |
Gmo Global and Abbey Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Global and Abbey Capital
The main advantage of trading using opposite Gmo Global and Abbey Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Global position performs unexpectedly, Abbey Capital 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 Abbey Capital will offset losses from the drop in Abbey Capital's long position.| Gmo Global vs. Aig Government Money | Gmo Global vs. Franklin Adjustable Government | Gmo Global vs. Sit Government Securities | Gmo Global vs. Goldman Sachs Government |
| Abbey Capital vs. Calamos Global Equity | Abbey Capital vs. Qs International Equity | Abbey Capital vs. Artisan Select Equity | Abbey Capital vs. Gmo Global Equity |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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