Correlation Between Gmo High and Lsv Global
Can any of the company-specific risk be diversified away by investing in both Gmo High and Lsv Global 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 Lsv Global 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 Lsv Global Managed, you can compare the effects of market volatilities on Gmo High and Lsv Global 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 Lsv Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo High and Lsv Global.
Diversification Opportunities for Gmo High and Lsv Global
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Gmo and Lsv is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield and Lsv Global Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lsv Global Managed 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 Lsv Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lsv Global Managed has no effect on the direction of Gmo High i.e., Gmo High and Lsv Global go up and down completely randomly.
Pair Corralation between Gmo High and Lsv Global
Assuming the 90 days horizon Gmo High is expected to generate 1.78 times less return on investment than Lsv Global. But when comparing it to its historical volatility, Gmo High Yield is 2.58 times less risky than Lsv Global. It trades about 0.22 of its potential returns per unit of risk. Lsv Global Managed is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 1,091 in Lsv Global Managed on September 2, 2024 and sell it today you would earn a total of 122.00 from holding Lsv Global Managed or generate 11.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo High Yield vs. Lsv Global Managed
Performance |
| Timeline |
| Gmo High Yield |
| Lsv Global Managed |
Gmo High and Lsv Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo High and Lsv Global
The main advantage of trading using opposite Gmo High and Lsv Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo High position performs unexpectedly, Lsv Global 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 Lsv Global will offset losses from the drop in Lsv Global's long position.| Gmo High vs. Columbia Vertible Securities | Gmo High vs. Absolute Convertible Arbitrage | Gmo High vs. Virtus Convertible | Gmo High vs. Fidelity Sai Convertible |
| Lsv Global vs. Lsv Value Equity | Lsv Global vs. Lsv Small Cap | Lsv Global vs. Lsv Emerging Markets | Lsv Global vs. Lsv Value 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Other Complementary Tools
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope |