Correlation Between Bancroft Fund and Gabelli Utility

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

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

Diversification Opportunities for Bancroft Fund and Gabelli Utility

0.26

Correlation Coefficient

Bancroft Fund  Gabelli Utility

Modest diversification

The 3 months correlation between Bancroft and Gabelli is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Bancroft Fund and The Gabelli Utility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Utility and Bancroft 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 Bancroft Fund are associated (or correlated) with Gabelli Utility. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Utility has no effect on the direction of Bancroft Fund i.e., Bancroft Fund and Gabelli Utility go up and down completely randomly.

Pair Corralation between Bancroft Fund and Gabelli Utility

Assuming the 90 days trading horizon Bancroft Fund is expected to generate 0.7 times more return on investment than Gabelli Utility. However, Bancroft Fund is 1.42 times less risky than Gabelli Utility. It trades about 0.18 of its potential returns per unit of risk. The Gabelli Utility is currently generating about 0.03 per unit of risk. If you would invest  2,285  in Bancroft Fund on September 3, 2024 and sell it today you would earn a total of  130.00  from holding Bancroft Fund or generate 5.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Bancroft Fund  vs.  The Gabelli Utility

Bancroft Fund

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Bancroft Fund are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Bancroft Fund is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Gabelli Utility

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Utility are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, Gabelli Utility is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Bancroft Fund and Gabelli Utility

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

The idea behind Bancroft Fund and The Gabelli Utility 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.