Correlation Between Gmo Alternative and Kopernik International

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

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

Diversification Opportunities for Gmo Alternative and Kopernik International

0.83

Correlation Coefficient

Gmo Alternative  Kopernik International

Very poor diversification

The 3 months correlation between Gmo and Kopernik is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Alternative Allocation and Kopernik International Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kopernik International and Gmo Alternative 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 Gmo Alternative Allocation are associated (or correlated) with Kopernik International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kopernik International has no effect on the direction of Gmo Alternative i.e., Gmo Alternative and Kopernik International go up and down completely randomly.

Pair Corralation between Gmo Alternative and Kopernik International

Assuming the 90 days horizon Gmo Alternative Allocation is expected to generate 0.58 times more return on investment than Kopernik International. However, Gmo Alternative Allocation is 1.73 times less risky than Kopernik International. It trades about -0.11 of its potential returns per unit of risk. Kopernik International Fund is currently generating about -0.08 per unit of risk. If you would invest  1,852  in Gmo Alternative Allocation on October 7, 2024 and sell it today you would lose (111.00) from holding Gmo Alternative Allocation or give up 5.99% of portfolio value over 90 days.

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

Gmo Alternative Allocation  vs.  Kopernik International Fund

Gmo Alternative Allo

Risk-Adjusted Performance

0 of 100

Very Weak

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

Kopernik International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Kopernik International Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's forward indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Gmo Alternative and Kopernik International

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

The idea behind Gmo Alternative Allocation and Kopernik International Fund 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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.