Correlation Between Fulcrum Diversified and Gabelli Value

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

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

Diversification Opportunities for Fulcrum Diversified and Gabelli Value

0.7

Correlation Coefficient

Fulcrum Diversified  Gabelli Value

Poor diversification

The 3 months correlation between Fulcrum and Gabelli is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Fulcrum Diversified Absolute and The Gabelli Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Value and Fulcrum Diversified 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 Fulcrum Diversified Absolute are associated (or correlated) with Gabelli Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Value has no effect on the direction of Fulcrum Diversified i.e., Fulcrum Diversified and Gabelli Value go up and down completely randomly.

Pair Corralation between Fulcrum Diversified and Gabelli Value

Assuming the 90 days horizon Fulcrum Diversified Absolute is expected to under-perform the Gabelli Value. But the mutual fund apears to be less risky and, when comparing its historical volatility, Fulcrum Diversified Absolute is 1.09 times less risky than Gabelli Value. The mutual fund trades about -0.04 of its potential returns per unit of risk. The The Gabelli Value is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  1,041  in The Gabelli Value on September 13, 2024 and sell it today you would earn a total of  70.00  from holding The Gabelli Value or generate 6.72% return on investment over 90 days.

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

Fulcrum Diversified Absolute  vs.  The Gabelli Value

Fulcrum Diversified

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fulcrum Diversified Absolute has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Fulcrum Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Gabelli Value

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Value are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Gabelli Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Fulcrum Diversified and Gabelli Value

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

The idea behind Fulcrum Diversified Absolute and The Gabelli Value 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.