Correlation Between Gmo High and Ab Global
Can any of the company-specific risk be diversified away by investing in both Gmo High and Ab Global 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 Ab Global 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 Ab Global Risk, you can compare the effects of market volatilities on Gmo High and Ab Global 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 Ab Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo High and Ab Global.
Diversification Opportunities for Gmo High and Ab Global
Modest diversification
The 3 months correlation between Gmo and CBSYX is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Gmo High Yield and Ab Global Risk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Global Risk 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 Ab Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Global Risk has no effect on the direction of Gmo High i.e., Gmo High and Ab Global go up and down completely randomly.
Pair Corralation between Gmo High and Ab Global
Assuming the 90 days horizon Gmo High Yield is expected to generate 0.11 times more return on investment than Ab Global. However, Gmo High Yield is 8.79 times less risky than Ab Global. It trades about 0.12 of its potential returns per unit of risk. Ab Global Risk is currently generating about -0.11 per unit of risk. If you would invest 1,676 in Gmo High Yield on December 1, 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 Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Gmo High Yield vs. Ab Global Risk
Performance |
Timeline |
Gmo High Yield |
Ab Global Risk |
Gmo High and Ab Global Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Gmo High and Ab Global
The main advantage of trading using opposite Gmo High and Ab Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo High position performs unexpectedly, Ab Global 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 Ab Global will offset losses from the drop in Ab Global's long position.Gmo High vs. Gmo E Plus | Gmo High vs. Gmo Trust | Gmo High vs. Gmo Small Cap | Gmo High vs. Gmo International Opportunistic |
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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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