Correlation Between Western Asset and Gabelli Value
Can any of the company-specific risk be diversified away by investing in both Western Asset and Gabelli Value 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 Gabelli Value 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 The Gabelli Value, you can compare the effects of market volatilities on Western Asset and Gabelli Value 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 Gabelli Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Gabelli Value.
Diversification Opportunities for Western Asset and Gabelli Value
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Western and Gabelli is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and The Gabelli Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Value 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 Gabelli Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Value has no effect on the direction of Western Asset i.e., Western Asset and Gabelli Value go up and down completely randomly.
Pair Corralation between Western Asset and Gabelli Value
Assuming the 90 days horizon Western Asset is expected to generate 8.18 times less return on investment than Gabelli Value. But when comparing it to its historical volatility, Western Asset Diversified is 2.45 times less risky than Gabelli Value. It trades about 0.02 of its potential returns per unit of risk. The Gabelli Value is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 897.00 in The Gabelli Value on September 12, 2024 and sell it today you would earn a total of 211.00 from holding The Gabelli Value or generate 23.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Diversified vs. The Gabelli Value
Performance |
| Timeline |
| Western Asset Diversified |
| Gabelli Value |
Western Asset and Gabelli Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Gabelli Value
The main advantage of trading using opposite Western Asset and Gabelli Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Gabelli Value 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 Value will offset losses from the drop in Gabelli Value's long position.| Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard 500 Index | Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard Total Stock |
| Gabelli Value vs. Allianzgi Diversified Income | Gabelli Value vs. Fulcrum Diversified Absolute | Gabelli Value vs. Delaware Limited Term Diversified | Gabelli Value vs. Western Asset Diversified |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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