Correlation Between Gmo Global and Glg Intl
Can any of the company-specific risk be diversified away by investing in both Gmo Global and Glg Intl 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 Global and Glg Intl into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo Global Asset and Glg Intl Small, you can compare the effects of market volatilities on Gmo Global and Glg Intl 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 Global with a short position of Glg Intl. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Global and Glg Intl.
Diversification Opportunities for Gmo Global and Glg Intl
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Gmo and Glg is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Asset and Glg Intl Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glg Intl Small and Gmo Global 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 Global Asset are associated (or correlated) with Glg Intl. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glg Intl Small has no effect on the direction of Gmo Global i.e., Gmo Global and Glg Intl go up and down completely randomly.
Pair Corralation between Gmo Global and Glg Intl
Assuming the 90 days horizon Gmo Global is expected to generate 1.53 times less return on investment than Glg Intl. But when comparing it to its historical volatility, Gmo Global Asset is 1.89 times less risky than Glg Intl. It trades about 0.17 of its potential returns per unit of risk. Glg Intl Small is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 8,354 in Glg Intl Small on October 20, 2024 and sell it today you would earn a total of 199.00 from holding Glg Intl Small or generate 2.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo Global Asset vs. Glg Intl Small
Performance |
| Timeline |
| Gmo Global Asset |
| Glg Intl Small |
Gmo Global and Glg Intl Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Global and Glg Intl
The main advantage of trading using opposite Gmo Global and Glg Intl positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Global position performs unexpectedly, Glg Intl 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 Glg Intl will offset losses from the drop in Glg Intl's long position.| Gmo Global vs. Glg Intl Small | Gmo Global vs. Ab Small Cap | Gmo Global vs. Vy Columbia Small | Gmo Global vs. Sp Smallcap 600 |
| Glg Intl vs. Ab Small Cap | Glg Intl vs. Nasdaq 100 Profund Nasdaq 100 | Glg Intl vs. Tax Managed Large Cap | Glg Intl vs. Jp Morgan Smartretirement |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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