Correlation Between Gotham Neutral and Gotham Index
Can any of the company-specific risk be diversified away by investing in both Gotham Neutral and Gotham Index 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 Gotham Neutral and Gotham Index into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gotham Neutral Fund and Gotham Index Plus, you can compare the effects of market volatilities on Gotham Neutral and Gotham Index 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 Gotham Neutral with a short position of Gotham Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gotham Neutral and Gotham Index.
Diversification Opportunities for Gotham Neutral and Gotham Index
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Gotham and Gotham is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Neutral Fund and Gotham Index Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gotham Index Plus and Gotham Neutral 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 Gotham Neutral Fund are associated (or correlated) with Gotham Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gotham Index Plus has no effect on the direction of Gotham Neutral i.e., Gotham Neutral and Gotham Index go up and down completely randomly.
Pair Corralation between Gotham Neutral and Gotham Index
Assuming the 90 days horizon Gotham Neutral Fund is expected to under-perform the Gotham Index. But the mutual fund apears to be less risky and, when comparing its historical volatility, Gotham Neutral Fund is 2.43 times less risky than Gotham Index. The mutual fund trades about -0.13 of its potential returns per unit of risk. The Gotham Index Plus is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 2,778 in Gotham Index Plus on September 3, 2024 and sell it today you would earn a total of 151.00 from holding Gotham Index Plus or generate 5.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gotham Neutral Fund vs. Gotham Index Plus
Performance |
| Timeline |
| Gotham Neutral |
| Gotham Index Plus |
Gotham Neutral and Gotham Index Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gotham Neutral and Gotham Index
The main advantage of trading using opposite Gotham Neutral and Gotham Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gotham Neutral position performs unexpectedly, Gotham Index 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 Gotham Index will offset losses from the drop in Gotham Index's long position.| Gotham Neutral vs. Victory Cemp Market | Gotham Neutral vs. Aqr Equity Market | Gotham Neutral vs. Blackrock Gbl Lng | Gotham Neutral vs. Pimco Fundamental Advantage |
| Gotham Index vs. Gotham Index Plus | Gotham Index vs. Doubleline Shiller Enhanced | Gotham Index vs. Gotham Enhanced 500 | Gotham Index vs. Artisan Developing World |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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