Correlation Between Gabelli Gold and Aqr International

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

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

Diversification Opportunities for Gabelli Gold and Aqr International

0.65

Correlation Coefficient

Gabelli Gold  Aqr International

Poor diversification

The 3 months correlation between Gabelli and Aqr is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Gabelli Gold Fund and Aqr International Defensive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr International and Gabelli Gold 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 Gabelli Gold Fund are associated (or correlated) with Aqr International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr International has no effect on the direction of Gabelli Gold i.e., Gabelli Gold and Aqr International go up and down completely randomly.

Pair Corralation between Gabelli Gold and Aqr International

Assuming the 90 days horizon Gabelli Gold Fund is expected to under-perform the Aqr International. In addition to that, Gabelli Gold is 2.72 times more volatile than Aqr International Defensive. It trades about -0.05 of its total potential returns per unit of risk. Aqr International Defensive is currently generating about -0.06 per unit of volatility. If you would invest  1,526  in Aqr International Defensive on October 26, 2024 and sell it today you would lose (36.00) from holding Aqr International Defensive or give up 2.36% of portfolio value over 90 days.

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

Gabelli Gold Fund  vs.  Aqr International Defensive

Gabelli Gold

Risk-Adjusted Performance

0 of 100

Very Weak

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

Aqr International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Gabelli Gold and Aqr International

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

The idea behind Gabelli Gold Fund and Aqr International Defensive 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.