Correlation Between Value Fund and Glg Intl

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

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

Diversification Opportunities for Value Fund and Glg Intl

-0.14

Correlation Coefficient

Value Fund  Glg Intl

Good diversification

The 3 months correlation between Value and Glg is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund A and Glg Intl Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glg Intl Small and Value Fund 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 Value Fund A are associated (or correlated) with Glg Intl. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glg Intl Small has no effect on the direction of Value Fund i.e., Value Fund and Glg Intl go up and down completely randomly.

Pair Corralation between Value Fund and Glg Intl

Assuming the 90 days horizon Value Fund is expected to generate 1.16 times less return on investment than Glg Intl. But when comparing it to its historical volatility, Value Fund A is 1.38 times less risky than Glg Intl. It trades about 0.18 of its potential returns per unit of risk. Glg Intl Small is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  8,560  in Glg Intl Small on October 25, 2024 and sell it today you would earn a total of  216.00  from holding Glg Intl Small or generate 2.52% return on investment over 90 days.

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

Value Fund A  vs.  Glg Intl Small

Value Fund A

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Value Fund A has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Glg Intl Small

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Glg Intl Small are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Glg Intl may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Value Fund and Glg Intl

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

The idea behind Value Fund A and Glg Intl Small 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.