Correlation Between GMS and Neogen
Can any of the company-specific risk be diversified away by investing in both GMS and Neogen 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 GMS and Neogen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GMS Inc and Neogen, you can compare the effects of market volatilities on GMS and Neogen 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 GMS with a short position of Neogen. Check out your portfolio center. Please also check ongoing floating volatility patterns of GMS and Neogen.
Diversification Opportunities for GMS and Neogen
Very good diversification
The 3 months correlation between GMS and Neogen is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding GMS Inc and Neogen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Neogen and GMS 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 GMS Inc are associated (or correlated) with Neogen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Neogen has no effect on the direction of GMS i.e., GMS and Neogen go up and down completely randomly.
Pair Corralation between GMS and Neogen
Considering the 90-day investment horizon GMS Inc is expected to generate 0.63 times more return on investment than Neogen. However, GMS Inc is 1.59 times less risky than Neogen. It trades about 0.26 of its potential returns per unit of risk. Neogen is currently generating about 0.0 per unit of risk. If you would invest 8,995 in GMS Inc on August 30, 2024 and sell it today you would earn a total of 1,027 from holding GMS Inc or generate 11.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GMS Inc vs. Neogen
Performance |
| Timeline |
| GMS Inc |
| Neogen |
GMS and Neogen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GMS and Neogen
The main advantage of trading using opposite GMS and Neogen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GMS position performs unexpectedly, Neogen 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 Neogen will offset losses from the drop in Neogen's long position.| GMS vs. Quanex Building Products | GMS vs. Apogee Enterprises | GMS vs. Azek Company | GMS vs. Beacon Roofing Supply |
| Neogen vs. ReShape Lifesciences | Neogen vs. Bone Biologics Corp | Neogen vs. Tivic Health Systems | Neogen vs. Nuwellis |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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