Correlation Between Gmo Global and Dreyfus International

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

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

Diversification Opportunities for Gmo Global and Dreyfus International

0.75

Correlation Coefficient

Gmo Global  Dreyfus International

Poor diversification

The 3 months correlation between Gmo and Dreyfus is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Equity and Dreyfus International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus International and Gmo Global 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 Global Equity are associated (or correlated) with Dreyfus International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus International has no effect on the direction of Gmo Global i.e., Gmo Global and Dreyfus International go up and down completely randomly.

Pair Corralation between Gmo Global and Dreyfus International

Assuming the 90 days horizon Gmo Global is expected to generate 2.43 times less return on investment than Dreyfus International. In addition to that, Gmo Global is 1.49 times more volatile than Dreyfus International Equity. It trades about 0.07 of its total potential returns per unit of risk. Dreyfus International Equity is currently generating about 0.25 per unit of volatility. If you would invest  3,666  in Dreyfus International Equity on December 20, 2024 and sell it today you would earn a total of  481.00  from holding Dreyfus International Equity or generate 13.12% return on investment over 90 days.

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

Gmo Global Equity  vs.  Dreyfus International Equity

Gmo Global Equity

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo Global Equity are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Gmo Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Dreyfus International

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Dreyfus International Equity are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Dreyfus International showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Gmo Global and Dreyfus International

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

The idea behind Gmo Global Equity and Dreyfus International Equity 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..