Correlation Between Gmo Treasury and Gmo International
Can any of the company-specific risk be diversified away by investing in both Gmo Treasury and Gmo International 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 Gmo International 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 Gmo International Equity, you can compare the effects of market volatilities on Gmo Treasury and Gmo International 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 Gmo International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Treasury and Gmo International.
Diversification Opportunities for Gmo Treasury and Gmo International
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Gmo and Gmo is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Treasury Fund and Gmo International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo International Equity 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 Gmo International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo International Equity has no effect on the direction of Gmo Treasury i.e., Gmo Treasury and Gmo International go up and down completely randomly.
Pair Corralation between Gmo Treasury and Gmo International
Assuming the 90 days horizon Gmo Treasury is expected to generate 3.96 times less return on investment than Gmo International. But when comparing it to its historical volatility, Gmo Treasury Fund is 9.42 times less risky than Gmo International. It trades about 0.17 of its potential returns per unit of risk. Gmo International Equity is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,871 in Gmo International Equity on September 2, 2024 and sell it today you would earn a total of 604.00 from holding Gmo International Equity or generate 32.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo Treasury Fund vs. Gmo International Equity
Performance |
| Timeline |
| Gmo Treasury |
| Gmo International Equity |
Gmo Treasury and Gmo International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Treasury and Gmo International
The main advantage of trading using opposite Gmo Treasury and Gmo International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Treasury position performs unexpectedly, Gmo International 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 Gmo International will offset losses from the drop in Gmo International's long position.| Gmo Treasury vs. Ab Small Cap | Gmo Treasury vs. Fisher Small Cap | Gmo Treasury vs. Us Small Cap | Gmo Treasury vs. Legg Mason Partners |
| Gmo International vs. Gmo E Plus | Gmo International vs. Gmo Trust | Gmo International vs. Gmo Treasury Fund | Gmo International vs. Gmo Trust |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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