Correlation Between Gmo Core and Swan Defined
Can any of the company-specific risk be diversified away by investing in both Gmo Core and Swan Defined 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 Swan Defined 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 Swan Defined Risk, you can compare the effects of market volatilities on Gmo Core and Swan Defined 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 Swan Defined. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Core and Swan Defined.
Diversification Opportunities for Gmo Core and Swan Defined
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Gmo and Swan is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus and Swan Defined Risk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swan Defined Risk 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 Swan Defined. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swan Defined Risk has no effect on the direction of Gmo Core i.e., Gmo Core and Swan Defined go up and down completely randomly.
Pair Corralation between Gmo Core and Swan Defined
Assuming the 90 days horizon Gmo E Plus is expected to generate 0.52 times more return on investment than Swan Defined. However, Gmo E Plus is 1.92 times less risky than Swan Defined. It trades about 0.08 of its potential returns per unit of risk. Swan Defined Risk is currently generating about -0.16 per unit of risk. If you would invest 1,780 in Gmo E Plus on August 30, 2024 and sell it today you would earn a total of 11.00 from holding Gmo E Plus or generate 0.62% 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. Swan Defined Risk
Performance |
| Timeline |
| Gmo E Plus |
| Swan Defined Risk |
Gmo Core and Swan Defined Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Core and Swan Defined
The main advantage of trading using opposite Gmo Core and Swan Defined positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Core position performs unexpectedly, Swan Defined 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 Swan Defined will offset losses from the drop in Swan Defined's long position.| Gmo Core vs. Doubleline E Fixed | Gmo Core vs. California Bond Fund | Gmo Core vs. Ultra Short Fixed Income | Gmo Core vs. Ms Global Fixed |
| Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk | Swan Defined vs. Swan Defined Risk |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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