Correlation Between Gmo Global and Pimco Fundamental

Can any of the company-specific risk be diversified away by investing in both Gmo Global and Pimco Fundamental 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 Pimco Fundamental 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 Pimco Fundamental Advantage, you can compare the effects of market volatilities on Gmo Global and Pimco Fundamental 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 Pimco Fundamental. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Global and Pimco Fundamental.

Diversification Opportunities for Gmo Global and Pimco Fundamental

0.61

Correlation Coefficient

Gmo Global  Pimco Fundamental

Poor diversification

The 3 months correlation between Gmo and Pimco is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Equity and Pimco Fundamental Advantage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Fundamental 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 Pimco Fundamental. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Fundamental has no effect on the direction of Gmo Global i.e., Gmo Global and Pimco Fundamental go up and down completely randomly.

Pair Corralation between Gmo Global and Pimco Fundamental

Assuming the 90 days horizon Gmo Global is expected to generate 1.42 times less return on investment than Pimco Fundamental. In addition to that, Gmo Global is 1.14 times more volatile than Pimco Fundamental Advantage. It trades about 0.1 of its total potential returns per unit of risk. Pimco Fundamental Advantage is currently generating about 0.16 per unit of volatility. If you would invest  747.00  in Pimco Fundamental Advantage on December 28, 2024 and sell it today you would earn a total of  48.00  from holding Pimco Fundamental Advantage or generate 6.43% 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.  Pimco Fundamental Advantage

Gmo Global Equity

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo Global Equity are ranked lower than 7 (%) 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.

Pimco Fundamental

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Fundamental Advantage are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Pimco Fundamental may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Gmo Global and Pimco Fundamental

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

The idea behind Gmo Global Equity and Pimco Fundamental Advantage 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.