Correlation Between Western Asset and Gmo Core
Can any of the company-specific risk be diversified away by investing in both Western Asset and Gmo Core 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 Western Asset and Gmo Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Diversified and Gmo E Plus, you can compare the effects of market volatilities on Western Asset and Gmo Core 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 Western Asset with a short position of Gmo Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Gmo Core.
Diversification Opportunities for Western Asset and Gmo Core
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Western and Gmo is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Gmo E Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo E Plus and Western Asset 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 Western Asset Diversified are associated (or correlated) with Gmo Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo E Plus has no effect on the direction of Western Asset i.e., Western Asset and Gmo Core go up and down completely randomly.
Pair Corralation between Western Asset and Gmo Core
Assuming the 90 days horizon Western Asset is expected to generate 1.94 times less return on investment than Gmo Core. But when comparing it to its historical volatility, Western Asset Diversified is 1.12 times less risky than Gmo Core. It trades about 0.05 of its potential returns per unit of risk. Gmo E Plus is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,629 in Gmo E Plus on September 4, 2024 and sell it today you would earn a total of 160.00 from holding Gmo E Plus or generate 9.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.66% |
| Values | Daily Returns |
Western Asset Diversified vs. Gmo E Plus
Performance |
| Timeline |
| Western Asset Diversified |
| Gmo E Plus |
Western Asset and Gmo Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Gmo Core
The main advantage of trading using opposite Western Asset and Gmo Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Gmo Core 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 Core will offset losses from the drop in Gmo Core's long position.| Western Asset vs. Dreyfusstandish Global Fixed | Western Asset vs. Franklin Mutual Global | Western Asset vs. Commonwealth Global Fund | Western Asset vs. Scharf Global Opportunity |
| Gmo Core vs. Rbc Global Equity | Gmo Core vs. Locorr Dynamic Equity | Gmo Core vs. The Fixed Income | Gmo Core vs. Gmo Global Equity |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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