Correlation Between Gmo International and Overseas Fund

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

By analyzing existing cross correlation between Gmo International Developed and Overseas Fund R 1, you can compare the effects of market volatilities on Gmo International and Overseas Fund 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 International with a short position of Overseas Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo International and Overseas Fund.

Diversification Opportunities for Gmo International and Overseas Fund

0.0

Correlation Coefficient

Gmo International  Overseas Fund

Pay attention - limited upside

The 3 months correlation between Gmo and Overseas is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Gmo International Developed and Overseas Fund R 1 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Overseas Fund R and Gmo International 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 International Developed are associated (or correlated) with Overseas Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Overseas Fund R has no effect on the direction of Gmo International i.e., Gmo International and Overseas Fund go up and down completely randomly.

Pair Corralation between Gmo International and Overseas Fund

If you would invest  1,000.00  in Overseas Fund R 1 on January 19, 2024 and sell it today you would earn a total of  0.00  from holding Overseas Fund R 1 or generate 0.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	4.76%
Values	Daily Returns

Gmo International Developed  vs.  Overseas Fund R 1

Gmo International

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo International Developed are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Gmo International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Overseas Fund R

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Overseas Fund R 1 has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Overseas Fund 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 International and Overseas Fund

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

The idea behind Gmo International Developed and Overseas Fund R 1 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.