Correlation Between Gmo International and Astor Long/short
Can any of the company-specific risk be diversified away by investing in both Gmo International and Astor Long/short 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 Astor Long/short 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 Astor Longshort Fund, you can compare the effects of market volatilities on Gmo International and Astor Long/short 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 Astor Long/short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo International and Astor Long/short.
Diversification Opportunities for Gmo International and Astor Long/short
-0.55 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Gmo and Astor is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Equity and Astor Longshort Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astor Long/short 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 Astor Long/short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astor Long/short has no effect on the direction of Gmo International i.e., Gmo International and Astor Long/short go up and down completely randomly.
Pair Corralation between Gmo International and Astor Long/short
Assuming the 90 days horizon Gmo International Equity is expected to under-perform the Astor Long/short. In addition to that, Gmo International is 2.16 times more volatile than Astor Longshort Fund. It trades about -0.12 of its total potential returns per unit of risk. Astor Longshort Fund is currently generating about 0.24 per unit of volatility. If you would invest 1,380 in Astor Longshort Fund on September 3, 2024 and sell it today you would earn a total of 51.00 from holding Astor Longshort Fund or generate 3.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo International Equity vs. Astor Longshort Fund
Performance |
| Timeline |
| Gmo International Equity |
| Astor Long/short |
Gmo International and Astor Long/short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo International and Astor Long/short
The main advantage of trading using opposite Gmo International and Astor Long/short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo International position performs unexpectedly, Astor Long/short 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 Astor Long/short will offset losses from the drop in Astor Long/short's long position.| Gmo International vs. Jp Morgan Smartretirement | Gmo International vs. Qs Moderate Growth | Gmo International vs. T Rowe Price | Gmo International vs. T Rowe Price |
| Astor Long/short vs. Fpa Queens Road | Astor Long/short vs. American Century Etf | Astor Long/short vs. Mutual Of America | Astor Long/short vs. Mid Cap Value Profund |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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