Correlation Between Gabelli Global and Managed Volatility

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

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

Diversification Opportunities for Gabelli Global and Managed Volatility

0.73

Correlation Coefficient

Gabelli Global  Managed Volatility

Poor diversification

The 3 months correlation between Gabelli and Managed is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Gabelli Global Financial and Managed Volatility Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Managed Volatility and Gabelli Global 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 Gabelli Global Financial are associated (or correlated) with Managed Volatility. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Managed Volatility has no effect on the direction of Gabelli Global i.e., Gabelli Global and Managed Volatility go up and down completely randomly.

Pair Corralation between Gabelli Global and Managed Volatility

Assuming the 90 days horizon Gabelli Global Financial is expected to generate 32.81 times more return on investment than Managed Volatility. However, Gabelli Global is 32.81 times more volatile than Managed Volatility Fund. It trades about 0.05 of its potential returns per unit of risk. Managed Volatility Fund is currently generating about 0.31 per unit of risk. If you would invest  1,531  in Gabelli Global Financial on September 29, 2024 and sell it today you would earn a total of  38.00  from holding Gabelli Global Financial or generate 2.48% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	87.3%
Values	Daily Returns

Gabelli Global Financial  vs.  Managed Volatility Fund

Gabelli Global Financial

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Gabelli Global Financial are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Gabelli Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Managed Volatility

Risk-Adjusted Performance

0 of 100

Solid

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

Pair Trading with Gabelli Global and Managed Volatility

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

The idea behind Gabelli Global Financial and Managed Volatility Fund 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.