Correlation Between Gabelli Value and Gabelli Growth

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

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

Diversification Opportunities for Gabelli Value and Gabelli Growth

0.84

Correlation Coefficient

Gabelli Value  Gabelli Growth

Very poor diversification

The 3 months correlation between Gabelli and Gabelli is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Value and The Gabelli Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Growth and Gabelli Value 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 The Gabelli Value are associated (or correlated) with Gabelli Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Growth has no effect on the direction of Gabelli Value i.e., Gabelli Value and Gabelli Growth go up and down completely randomly.

Pair Corralation between Gabelli Value and Gabelli Growth

Assuming the 90 days horizon Gabelli Value is expected to generate 1.47 times less return on investment than Gabelli Growth. But when comparing it to its historical volatility, The Gabelli Value is 1.34 times less risky than Gabelli Growth. It trades about 0.17 of its potential returns per unit of risk. The Gabelli Growth is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  10,878  in The Gabelli Growth on September 12, 2024 and sell it today you would earn a total of  1,211  from holding The Gabelli Growth or generate 11.13% return on investment over 90 days.

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

The Gabelli Value  vs.  The Gabelli Growth

Gabelli Value

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Value are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Gabelli Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Gabelli Growth

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Growth are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Gabelli Growth may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Gabelli Value and Gabelli Growth

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

The idea behind The Gabelli Value and The Gabelli Growth 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.