Correlation Between Gmo Core and Credit Suisse

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

By analyzing existing cross correlation between Gmo E Plus and Credit Suisse Managed, you can compare the effects of market volatilities on Gmo Core and Credit Suisse 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 Core with a short position of Credit Suisse. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Core and Credit Suisse.

Diversification Opportunities for Gmo Core and Credit Suisse

0.22

Correlation Coefficient

Gmo Core  Credit Suisse

Modest diversification

The 3 months correlation between Gmo and Credit is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Gmo E Plus and Credit Suisse Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Credit Suisse Managed and Gmo Core 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 E Plus are associated (or correlated) with Credit Suisse. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Credit Suisse Managed has no effect on the direction of Gmo Core i.e., Gmo Core and Credit Suisse go up and down completely randomly.

Pair Corralation between Gmo Core and Credit Suisse

Assuming the 90 days horizon Gmo E Plus is expected to generate 0.4 times more return on investment than Credit Suisse. However, Gmo E Plus is 2.53 times less risky than Credit Suisse. It trades about 0.14 of its potential returns per unit of risk. Credit Suisse Managed is currently generating about 0.04 per unit of risk. If you would invest  1,698  in Gmo E Plus on December 28, 2024 and sell it today you would earn a total of  41.00  from holding Gmo E Plus or generate 2.41% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.36%
Values	Daily Returns

Gmo E Plus  vs.  Credit Suisse Managed

Gmo E Plus

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo E Plus are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Gmo Core is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Credit Suisse Managed

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Credit Suisse Managed are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Credit Suisse is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Gmo Core and Credit Suisse

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

The idea behind Gmo E Plus and Credit Suisse Managed 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.