Correlation Between Gmo Core and Absolute Capital
Can any of the company-specific risk be diversified away by investing in both Gmo Core and Absolute Capital 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 Core and Absolute Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo E Plus and Absolute Capital Defender, you can compare the effects of market volatilities on Gmo Core and Absolute Capital 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 Core with a short position of Absolute Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Core and Absolute Capital.
Diversification Opportunities for Gmo Core and Absolute Capital
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Gmo and Absolute is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus and Absolute Capital Defender in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absolute Capital Defender and Gmo Core 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 E Plus are associated (or correlated) with Absolute Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absolute Capital Defender has no effect on the direction of Gmo Core i.e., Gmo Core and Absolute Capital go up and down completely randomly.
Pair Corralation between Gmo Core and Absolute Capital
Assuming the 90 days horizon Gmo Core is expected to generate 1.28 times less return on investment than Absolute Capital. But when comparing it to its historical volatility, Gmo E Plus is 1.27 times less risky than Absolute Capital. It trades about 0.09 of its potential returns per unit of risk. Absolute Capital Defender is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 929.00 in Absolute Capital Defender on November 28, 2024 and sell it today you would earn a total of 131.00 from holding Absolute Capital Defender or generate 14.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo E Plus vs. Absolute Capital Defender
Performance |
| Timeline |
| Gmo E Plus |
| Absolute Capital Defender |
Gmo Core and Absolute Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Core and Absolute Capital
The main advantage of trading using opposite Gmo Core and Absolute Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Core position performs unexpectedly, Absolute Capital 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 Absolute Capital will offset losses from the drop in Absolute Capital's long position.| Gmo Core vs. Aqr Managed Futures | Gmo Core vs. Ab Bond Inflation | Gmo Core vs. Lord Abbett Inflation | Gmo Core vs. Credit Suisse Multialternative |
| Absolute Capital vs. Health Care Ultrasector | Absolute Capital vs. Eaton Vance Worldwide | Absolute Capital vs. Hartford Healthcare Hls | Absolute Capital vs. Alphacentric Lifesci Healthcare |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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