Correlation Between Frank Value and Gabelli Equity

Can any of the company-specific risk be diversified away by investing in both Frank Value 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 Frank Value and Gabelli Equity into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Frank Value Fund and Gabelli Equity Trust, you can compare the effects of market volatilities on Frank Value 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 Frank Value with a short position of Gabelli Equity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frank Value and Gabelli Equity.

Diversification Opportunities for Frank Value and Gabelli Equity

0.85

Correlation Coefficient

Frank Value  Gabelli Equity

Very poor diversification

The 3 months correlation between Frank and Gabelli is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Frank Value Fund and Gabelli Equity Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Equity Trust and Frank Value 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 Frank Value Fund 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 Trust has no effect on the direction of Frank Value i.e., Frank Value and Gabelli Equity go up and down completely randomly.

Pair Corralation between Frank Value and Gabelli Equity

Assuming the 90 days horizon Frank Value Fund is expected to generate 1.04 times more return on investment than Gabelli Equity. However, Frank Value is 1.04 times more volatile than Gabelli Equity Trust. It trades about 0.07 of its potential returns per unit of risk. Gabelli Equity Trust is currently generating about 0.07 per unit of risk. If you would invest  1,502  in Frank Value Fund on October 26, 2024 and sell it today you would earn a total of  124.00  from holding Frank Value Fund or generate 8.26% return on investment over 90 days.

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

Frank Value Fund  vs.  Gabelli Equity Trust

Frank Value Fund

Risk-Adjusted Performance

0 of 100

Very Weak

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

Gabelli Equity Trust

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Gabelli Equity Trust are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Gabelli Equity is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Frank Value and Gabelli Equity

The main advantage of trading using opposite Frank Value and Gabelli Equity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frank Value 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.

The idea behind Frank Value Fund and Gabelli Equity Trust 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.