Correlation Between Smallcap Fund and Gmo Global
Can any of the company-specific risk be diversified away by investing in both Smallcap Fund 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 Smallcap Fund and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Smallcap Fund Fka and Gmo Global Equity, you can compare the effects of market volatilities on Smallcap Fund 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 Smallcap Fund with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Smallcap Fund and Gmo Global.
Diversification Opportunities for Smallcap Fund and Gmo Global
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Smallcap and Gmo is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap Fund Fka 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 Smallcap Fund 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 Smallcap Fund Fka 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 Smallcap Fund i.e., Smallcap Fund and Gmo Global go up and down completely randomly.
Pair Corralation between Smallcap Fund and Gmo Global
Assuming the 90 days horizon Smallcap Fund Fka is expected to generate 1.67 times more return on investment than Gmo Global. However, Smallcap Fund is 1.67 times more volatile than Gmo Global Equity. It trades about 0.07 of its potential returns per unit of risk. Gmo Global Equity is currently generating about 0.09 per unit of risk. If you would invest 2,060 in Smallcap Fund Fka on September 14, 2024 and sell it today you would earn a total of 461.00 from holding Smallcap Fund Fka or generate 22.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.9% |
| Values | Daily Returns |
Smallcap Fund Fka vs. Gmo Global Equity
Performance |
| Timeline |
| Smallcap Fund Fka |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
OK
| Gmo Global Equity |
Smallcap Fund and Gmo Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Smallcap Fund and Gmo Global
The main advantage of trading using opposite Smallcap Fund and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Smallcap Fund 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.| Smallcap Fund vs. Gmo Global Equity | Smallcap Fund vs. Cutler Equity | Smallcap Fund vs. Huber Capital Equity | Smallcap Fund vs. Sarofim Equity |
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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