Correlation Between GMO Internet and ATT
Can any of the company-specific risk be diversified away by investing in both GMO Internet and ATT 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 Internet and ATT into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GMO Internet and ATT Inc, you can compare the effects of market volatilities on GMO Internet and ATT 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 Internet with a short position of ATT. Check out your portfolio center. Please also check ongoing floating volatility patterns of GMO Internet and ATT.
Diversification Opportunities for GMO Internet and ATT
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GMO and ATT is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding GMO Internet and ATT Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ATT Inc and GMO Internet 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 Internet are associated (or correlated) with ATT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATT Inc has no effect on the direction of GMO Internet i.e., GMO Internet and ATT go up and down completely randomly.
Pair Corralation between GMO Internet and ATT
Assuming the 90 days horizon GMO Internet is expected to generate 1.33 times less return on investment than ATT. But when comparing it to its historical volatility, GMO Internet is 1.43 times less risky than ATT. It trades about 0.14 of its potential returns per unit of risk. ATT Inc is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 2,203 in ATT Inc on November 3, 2024 and sell it today you would earn a total of 119.00 from holding ATT Inc or generate 5.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
GMO Internet vs. ATT Inc
Performance |
| Timeline |
| GMO Internet |
| ATT Inc |
GMO Internet and ATT Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GMO Internet and ATT
The main advantage of trading using opposite GMO Internet and ATT positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GMO Internet position performs unexpectedly, ATT 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 ATT will offset losses from the drop in ATT's long position.| GMO Internet vs. Hanison Construction Holdings | GMO Internet vs. Daito Trust Construction | GMO Internet vs. China Eastern Airlines | GMO Internet vs. China Railway Construction |
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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