Correlation Between Gmo International and Asg Managed
Can any of the company-specific risk be diversified away by investing in both Gmo International and Asg Managed 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 International and Asg Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo International Equity and Asg Managed Futures, you can compare the effects of market volatilities on Gmo International and Asg Managed 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 International with a short position of Asg Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo International and Asg Managed.
Diversification Opportunities for Gmo International and Asg Managed
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Gmo and Asg is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Equity and Asg Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Asg Managed Futures and Gmo International 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 International Equity are associated (or correlated) with Asg Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Asg Managed Futures has no effect on the direction of Gmo International i.e., Gmo International and Asg Managed go up and down completely randomly.
Pair Corralation between Gmo International and Asg Managed
Assuming the 90 days horizon Gmo International Equity is expected to generate 1.25 times more return on investment than Asg Managed. However, Gmo International is 1.25 times more volatile than Asg Managed Futures. It trades about 0.0 of its potential returns per unit of risk. Asg Managed Futures is currently generating about -0.11 per unit of risk. If you would invest 2,497 in Gmo International Equity on September 2, 2024 and sell it today you would lose (22.00) from holding Gmo International Equity or give up 0.88% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo International Equity vs. Asg Managed Futures
Performance |
| Timeline |
| Gmo International Equity |
| Asg Managed Futures |
Gmo International and Asg Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo International and Asg Managed
The main advantage of trading using opposite Gmo International and Asg Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo International position performs unexpectedly, Asg Managed 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 Asg Managed will offset losses from the drop in Asg Managed's long position.| Gmo International vs. Gmo E Plus | Gmo International vs. Gmo Trust | Gmo International vs. Gmo Treasury Fund | Gmo International vs. Gmo Trust |
| Asg Managed vs. Asg Managed Futures | Asg Managed vs. Natixis Oakmark | Asg Managed vs. Natixis Oakmark International | Asg Managed vs. Natixis Oakmark International |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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