Correlation Between Gmo High and Fundamental Large

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Gmo High and Fundamental Large 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 High and Fundamental Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo High Yield and Fundamental Large Cap, you can compare the effects of market volatilities on Gmo High and Fundamental Large 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 High with a short position of Fundamental Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo High and Fundamental Large.

Diversification Opportunities for Gmo High and Fundamental Large

GmoFundamentalDiversified AwayGmoFundamentalDiversified Away100%
-0.1
  Correlation Coefficient

Good diversification

The 3 months correlation between Gmo and Fundamental is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield and Fundamental Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fundamental Large Cap and Gmo High 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 High Yield are associated (or correlated) with Fundamental Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fundamental Large Cap has no effect on the direction of Gmo High i.e., Gmo High and Fundamental Large go up and down completely randomly.

Pair Corralation between Gmo High and Fundamental Large

Assuming the 90 days horizon Gmo High Yield is expected to generate 0.13 times more return on investment than Fundamental Large. However, Gmo High Yield is 7.9 times less risky than Fundamental Large. It trades about 0.12 of its potential returns per unit of risk. Fundamental Large Cap is currently generating about -0.13 per unit of risk. If you would invest  1,674  in Gmo High Yield on November 24, 2024 and sell it today you would earn a total of  23.00  from holding Gmo High Yield or generate 1.37% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Gmo High Yield  vs.  Fundamental Large Cap

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -10-50
JavaScript chart by amCharts 3.21.15GHVIX TAGRX
       Timeline  
Gmo High Yield 

Risk-Adjusted Performance

OK

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Gmo High Yield are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Gmo High is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb16.616.6516.716.7516.816.8516.916.95
Fundamental Large Cap 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Fundamental Large Cap 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 basic indicators remain fairly strong which may send shares a bit higher in March 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb66687072747678

Gmo High and Fundamental Large Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-0.54-0.33-0.12-0.05250.00.0540.140.350.560.77 246810
JavaScript chart by amCharts 3.21.15GHVIX TAGRX
       Returns  

Pair Trading with Gmo High and Fundamental Large

The main advantage of trading using opposite Gmo High and Fundamental Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo High position performs unexpectedly, Fundamental Large 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 Fundamental Large will offset losses from the drop in Fundamental Large's long position.
The idea behind Gmo High Yield and Fundamental Large Cap 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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.

Other Complementary Tools

Portfolio Comparator
Compare the composition, asset allocations and performance of any two portfolios in your account
Portfolio Manager
State of the art Portfolio Manager to monitor and improve performance of your invested capital
Portfolio Anywhere
Track or share privately all of your investments from the convenience of any device
Portfolio Backtesting
Avoid under-diversification and over-optimization by backtesting your portfolios
Economic Indicators
Top statistical indicators that provide insights into how an economy is performing