Correlation Between Gmo Treasury and Embark Commodity
Can any of the company-specific risk be diversified away by investing in both Gmo Treasury and Embark Commodity 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 Treasury and Embark Commodity into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo Treasury Fund and Embark Commodity Strategy, you can compare the effects of market volatilities on Gmo Treasury and Embark Commodity 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 Treasury with a short position of Embark Commodity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Treasury and Embark Commodity.
Diversification Opportunities for Gmo Treasury and Embark Commodity
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Gmo and Embark is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Treasury Fund and Embark Commodity Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Embark Commodity Strategy and Gmo Treasury 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 Treasury Fund are associated (or correlated) with Embark Commodity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Embark Commodity Strategy has no effect on the direction of Gmo Treasury i.e., Gmo Treasury and Embark Commodity go up and down completely randomly.
Pair Corralation between Gmo Treasury and Embark Commodity
Assuming the 90 days horizon Gmo Treasury is expected to generate 3.23 times less return on investment than Embark Commodity. But when comparing it to its historical volatility, Gmo Treasury Fund is 9.04 times less risky than Embark Commodity. It trades about 0.17 of its potential returns per unit of risk. Embark Commodity Strategy is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 959.00 in Embark Commodity Strategy on November 9, 2024 and sell it today you would earn a total of 115.00 from holding Embark Commodity Strategy or generate 11.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 97.0% |
| Values | Daily Returns |
Gmo Treasury Fund vs. Embark Commodity Strategy
Performance |
| Timeline |
| Gmo Treasury |
| Embark Commodity Strategy |
Gmo Treasury and Embark Commodity Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Treasury and Embark Commodity
The main advantage of trading using opposite Gmo Treasury and Embark Commodity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Treasury position performs unexpectedly, Embark Commodity 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 Embark Commodity will offset losses from the drop in Embark Commodity's long position.| Gmo Treasury vs. Ab Bond Inflation | Gmo Treasury vs. Dreyfusstandish Global Fixed | Gmo Treasury vs. Bbh Intermediate Municipal | Gmo Treasury vs. Siit High Yield |
| Embark Commodity vs. Ab Bond Inflation | Embark Commodity vs. American Funds Inflation | Embark Commodity vs. Ab Bond Inflation | Embark Commodity vs. Ab Bond Inflation |
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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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