Correlation Between Dreyfus Government and Gmo Asset

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

By analyzing existing cross correlation between Dreyfus Government Cash and Gmo Asset Allocation, you can compare the effects of market volatilities on Dreyfus Government and Gmo Asset 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 Dreyfus Government with a short position of Gmo Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Government and Gmo Asset.

Diversification Opportunities for Dreyfus Government and Gmo Asset

0.0

Correlation Coefficient

Dreyfus Government  Gmo Asset

Pay attention - limited upside

The 3 months correlation between Dreyfus and GMO is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Government Cash and Gmo Asset Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Asset Allocation and Dreyfus Government 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 Dreyfus Government Cash are associated (or correlated) with Gmo Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Asset Allocation has no effect on the direction of Dreyfus Government i.e., Dreyfus Government and Gmo Asset go up and down completely randomly.

Pair Corralation between Dreyfus Government and Gmo Asset

Assuming the 90 days horizon Dreyfus Government Cash is expected to generate 0.12 times more return on investment than Gmo Asset. However, Dreyfus Government Cash is 8.16 times less risky than Gmo Asset. It trades about 0.13 of its potential returns per unit of risk. Gmo Asset Allocation is currently generating about 0.0 per unit of risk. If you would invest  92.00  in Dreyfus Government Cash on December 2, 2024 and sell it today you would earn a total of  8.00  from holding Dreyfus Government Cash or generate 8.7% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	99.0%
Values	Daily Returns

Dreyfus Government Cash  vs.  Gmo Asset Allocation

Dreyfus Government Cash

Risk-Adjusted Performance

Very Weak

Over the last 90 days Dreyfus Government Cash has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Dreyfus Government is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Gmo Asset Allocation

Risk-Adjusted Performance

Very Weak

Over the last 90 days Gmo Asset Allocation has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Gmo Asset is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Dreyfus Government and Gmo Asset

The main advantage of trading using opposite Dreyfus Government and Gmo Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Government position performs unexpectedly, Gmo Asset 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 Asset will offset losses from the drop in Gmo Asset's long position.

The idea behind Dreyfus Government Cash and Gmo Asset Allocation 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.

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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 Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.