Correlation Between Abr Enhanced and Gmo Global

Can any of the company-specific risk be diversified away by investing in both Abr Enhanced 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 Abr Enhanced and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Abr Enhanced Short and Gmo Global Equity, you can compare the effects of market volatilities on Abr Enhanced 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 Abr Enhanced with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abr Enhanced and Gmo Global.

Diversification Opportunities for Abr Enhanced and Gmo Global

0.03

Correlation Coefficient

Abr Enhanced  Gmo Global

Significant diversification

The 3 months correlation between Abr and Gmo is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Abr Enhanced Short 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 Abr Enhanced 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 Abr Enhanced Short 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 Abr Enhanced i.e., Abr Enhanced and Gmo Global go up and down completely randomly.

Pair Corralation between Abr Enhanced and Gmo Global

Assuming the 90 days horizon Abr Enhanced Short is expected to generate 1.65 times more return on investment than Gmo Global. However, Abr Enhanced is 1.65 times more volatile than Gmo Global Equity. It trades about 0.08 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  531.00  in Abr Enhanced Short on October 5, 2024 and sell it today you would earn a total of  296.00  from holding Abr Enhanced Short or generate 55.74% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Abr Enhanced Short  vs.  Gmo Global Equity

Abr Enhanced Short

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Abr Enhanced Short are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Abr Enhanced may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Gmo Global Equity

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gmo Global Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Abr Enhanced and Gmo Global

The main advantage of trading using opposite Abr Enhanced and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abr Enhanced 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.

The idea behind Abr Enhanced Short and Gmo Global Equity pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.