Correlation Between Gmo High and Value Fund

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Gmo High and Value Fund 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 High and Value Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo High Yield and Value Fund R, you can compare the effects of market volatilities on Gmo High and Value Fund 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 High with a short position of Value Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo High and Value Fund.

Diversification Opportunities for Gmo High and Value Fund

0.72
  Correlation Coefficient

Poor diversification

The 3 months correlation between Gmo and Value is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield and Value Fund R in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Fund R and Gmo High 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 High Yield are associated (or correlated) with Value Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Fund R has no effect on the direction of Gmo High i.e., Gmo High and Value Fund go up and down completely randomly.

Pair Corralation between Gmo High and Value Fund

Assuming the 90 days horizon Gmo High Yield is expected to generate 0.41 times more return on investment than Value Fund. However, Gmo High Yield is 2.47 times less risky than Value Fund. It trades about 0.13 of its potential returns per unit of risk. Value Fund R is currently generating about 0.05 per unit of risk. If you would invest  1,541  in Gmo High Yield on September 12, 2024 and sell it today you would earn a total of  271.00  from holding Gmo High Yield or generate 17.59% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy84.62%
ValuesDaily Returns

Gmo High Yield  vs.  Value Fund R

 Performance 
       Timeline  
Gmo High Yield 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Gmo High Yield are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Gmo High is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Value Fund R 

Risk-Adjusted Performance

8 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Value Fund R are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Value Fund is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Gmo High and Value Fund Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Gmo High and Value Fund

The main advantage of trading using opposite Gmo High and Value Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo High position performs unexpectedly, Value Fund 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 Value Fund will offset losses from the drop in Value Fund's long position.
The idea behind Gmo High Yield and Value Fund R pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.

Other Complementary Tools

Equity Valuation
Check real value of public entities based on technical and fundamental data
Fundamental Analysis
View fundamental data based on most recent published financial statements
Content Syndication
Quickly integrate customizable finance content to your own investment portal
Economic Indicators
Top statistical indicators that provide insights into how an economy is performing
Sectors
List of equity sectors categorizing publicly traded companies based on their primary business activities