Correlation Between Gmo Asset and Fuller Thaler

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

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

Diversification Opportunities for Gmo Asset and Fuller Thaler

-0.51

Correlation Coefficient

Gmo Asset  Fuller Thaler

Excellent diversification

The 3 months correlation between Gmo and Fuller is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Asset Allocation and Fuller Thaler Behavioral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fuller Thaler Behavioral and Gmo 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 Gmo Asset Allocation are associated (or correlated) with Fuller Thaler. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fuller Thaler Behavioral has no effect on the direction of Gmo Asset i.e., Gmo Asset and Fuller Thaler go up and down completely randomly.

Pair Corralation between Gmo Asset and Fuller Thaler

Assuming the 90 days horizon Gmo Asset Allocation is expected to under-perform the Fuller Thaler. In addition to that, Gmo Asset is 1.12 times more volatile than Fuller Thaler Behavioral. It trades about -0.23 of its total potential returns per unit of risk. Fuller Thaler Behavioral is currently generating about 0.05 per unit of volatility. If you would invest  3,447  in Fuller Thaler Behavioral on September 16, 2024 and sell it today you would earn a total of  90.00  from holding Fuller Thaler Behavioral or generate 2.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Gmo Asset Allocation  vs.  Fuller Thaler Behavioral

Gmo Asset Allocation

Risk-Adjusted Performance

0 of 100

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 weak performance in the last few months, the Fund's technical and fundamental indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Fuller Thaler Behavioral

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Fuller Thaler Behavioral are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Fuller Thaler is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Gmo Asset and Fuller Thaler

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

The idea behind Gmo Asset Allocation and Fuller Thaler Behavioral 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.