Correlation Between Russell 2000 and Gmo Global
Can any of the company-specific risk be diversified away by investing in both Russell 2000 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 Russell 2000 and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Russell 2000 2x and Gmo Global Equity, you can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Gmo Global.
Diversification Opportunities for Russell 2000 and Gmo Global
0.34 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Russell and Gmo is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x 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 Russell 2000 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 Russell 2000 2x 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 Russell 2000 i.e., Russell 2000 and Gmo Global go up and down completely randomly.
Pair Corralation between Russell 2000 and Gmo Global
Assuming the 90 days horizon Russell 2000 2x is expected to generate 3.1 times more return on investment than Gmo Global. However, Russell 2000 is 3.1 times more volatile than Gmo Global Equity. It trades about 0.03 of its potential returns per unit of risk. Gmo Global Equity is currently generating about 0.07 per unit of risk. If you would invest 13,556 in Russell 2000 2x on November 9, 2024 and sell it today you would earn a total of 3,646 from holding Russell 2000 2x or generate 26.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Russell 2000 2x vs. Gmo Global Equity
Performance |
| Timeline |
| Russell 2000 2x |
| Gmo Global Equity |
Russell 2000 and Gmo Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Gmo Global
The main advantage of trading using opposite Russell 2000 and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 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.| Russell 2000 vs. Ab Large Cap | Russell 2000 vs. Guidemark Large Cap | Russell 2000 vs. Fisher Large Cap | Russell 2000 vs. Touchstone Large Cap |
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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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