Correlation Between State Street and Gabelli Equity
Can any of the company-specific risk be diversified away by investing in both State Street and Gabelli Equity 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 State Street and Gabelli Equity into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between State Street and The Gabelli Equity, you can compare the effects of market volatilities on State Street and Gabelli Equity 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 State Street with a short position of Gabelli Equity. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Gabelli Equity.
Diversification Opportunities for State Street and Gabelli Equity
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between State and Gabelli is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding State Street and The Gabelli Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Equity and State Street 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 State Street are associated (or correlated) with Gabelli Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Equity has no effect on the direction of State Street i.e., State Street and Gabelli Equity go up and down completely randomly.
Pair Corralation between State Street and Gabelli Equity
Assuming the 90 days trading horizon State Street is expected to generate 0.6 times more return on investment than Gabelli Equity. However, State Street is 1.68 times less risky than Gabelli Equity. It trades about -0.03 of its potential returns per unit of risk. The Gabelli Equity is currently generating about -0.18 per unit of risk. If you would invest 2,490 in State Street on August 27, 2024 and sell it today you would lose (8.00) from holding State Street or give up 0.32% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
State Street vs. The Gabelli Equity
Performance |
| Timeline |
| State Street |
| Gabelli Equity |
State Street and Gabelli Equity Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with State Street and Gabelli Equity
The main advantage of trading using opposite State Street and Gabelli Equity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if State Street position performs unexpectedly, Gabelli Equity 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 Gabelli Equity will offset losses from the drop in Gabelli Equity's long position.| State Street vs. The Gabelli Equity | State Street vs. The Gabelli Multimedia | State Street vs. The Gabelli Equity | State Street vs. Virtus AllianzGI Convertible |
| Gabelli Equity vs. The Gabelli Equity | Gabelli Equity vs. Virtus AllianzGI Convertible | Gabelli Equity vs. Oxford Lane Capital | Gabelli Equity vs. The Gabelli Utility |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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