Correlation Between Jhancock Diversified and Gmo Global
Can any of the company-specific risk be diversified away by investing in both Jhancock Diversified and Gmo Global 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 Jhancock Diversified and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jhancock Diversified Macro and Gmo Global Equity, you can compare the effects of market volatilities on Jhancock Diversified and Gmo Global 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 Jhancock Diversified with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Diversified and Gmo Global.
Diversification Opportunities for Jhancock Diversified and Gmo Global
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Jhancock and Gmo is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Gmo Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Global Equity and Jhancock Diversified 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 Jhancock Diversified Macro are associated (or correlated) with Gmo Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Global Equity has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Gmo Global go up and down completely randomly.
Pair Corralation between Jhancock Diversified and Gmo Global
Assuming the 90 days horizon Jhancock Diversified is expected to generate 4.25 times less return on investment than Gmo Global. But when comparing it to its historical volatility, Jhancock Diversified Macro is 1.33 times less risky than Gmo Global. It trades about 0.08 of its potential returns per unit of risk. Gmo Global Equity is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 2,828 in Gmo Global Equity on November 9, 2024 and sell it today you would earn a total of 109.00 from holding Gmo Global Equity or generate 3.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jhancock Diversified Macro vs. Gmo Global Equity
Performance |
| Timeline |
| Jhancock Diversified |
| Gmo Global Equity |
Jhancock Diversified and Gmo Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jhancock Diversified and Gmo Global
The main advantage of trading using opposite Jhancock Diversified and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jhancock Diversified position performs unexpectedly, Gmo Global 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 Global will offset losses from the drop in Gmo Global's long position.The idea behind Jhancock Diversified Macro and Gmo Global Equity pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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