Correlation Between GAMCO Natural and Virtus AllianzGI

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Can any of the company-specific risk be diversified away by investing in both GAMCO Natural and Virtus AllianzGI 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 GAMCO Natural and Virtus AllianzGI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GAMCO Natural Resources and Virtus AllianzGI Convertible, you can compare the effects of market volatilities on GAMCO Natural and Virtus AllianzGI 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 GAMCO Natural with a short position of Virtus AllianzGI. Check out your portfolio center. Please also check ongoing floating volatility patterns of GAMCO Natural and Virtus AllianzGI.

Diversification Opportunities for GAMCO Natural and Virtus AllianzGI

0.9
  Correlation Coefficient

Almost no diversification

The 3 months correlation between GAMCO and Virtus is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding GAMCO Natural Resources and Virtus AllianzGI Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus AllianzGI Con and GAMCO Natural 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 GAMCO Natural Resources are associated (or correlated) with Virtus AllianzGI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus AllianzGI Con has no effect on the direction of GAMCO Natural i.e., GAMCO Natural and Virtus AllianzGI go up and down completely randomly.

Pair Corralation between GAMCO Natural and Virtus AllianzGI

Assuming the 90 days trading horizon GAMCO Natural is expected to generate 1.27 times less return on investment than Virtus AllianzGI. But when comparing it to its historical volatility, GAMCO Natural Resources is 1.2 times less risky than Virtus AllianzGI. It trades about 0.05 of its potential returns per unit of risk. Virtus AllianzGI Convertible is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  2,018  in Virtus AllianzGI Convertible on September 4, 2024 and sell it today you would earn a total of  191.00  from holding Virtus AllianzGI Convertible or generate 9.46% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

GAMCO Natural Resources  vs.  Virtus AllianzGI Convertible

 Performance 
       Timeline  
GAMCO Natural Resources 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Weak
Over the last 90 days GAMCO Natural Resources has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, GAMCO Natural is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.
Virtus AllianzGI Con 

Risk-Adjusted Performance

1 of 100

 
Weak
 
Strong
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in Virtus AllianzGI Convertible are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Virtus AllianzGI is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

GAMCO Natural and Virtus AllianzGI Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with GAMCO Natural and Virtus AllianzGI

The main advantage of trading using opposite GAMCO Natural and Virtus AllianzGI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GAMCO Natural position performs unexpectedly, Virtus AllianzGI 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 Virtus AllianzGI will offset losses from the drop in Virtus AllianzGI's long position.
The idea behind GAMCO Natural Resources and Virtus AllianzGI Convertible 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.
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.

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