Correlation Between Gabelli Equity and Gabelli Value

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

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

Diversification Opportunities for Gabelli Equity and Gabelli Value

0.98

Correlation Coefficient

Gabelli Equity  Gabelli Value

Almost no diversification

The 3 months correlation between Gabelli and Gabelli is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Equity and The Gabelli Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Value and Gabelli Equity 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 The Gabelli Equity 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 Gabelli Equity i.e., Gabelli Equity and Gabelli Value go up and down completely randomly.

Pair Corralation between Gabelli Equity and Gabelli Value

Assuming the 90 days horizon Gabelli Equity is expected to generate 1.43 times less return on investment than Gabelli Value. But when comparing it to its historical volatility, The Gabelli Equity is 1.05 times less risky than Gabelli Value. It trades about 0.09 of its potential returns per unit of risk. The Gabelli Value is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,046  in The Gabelli Value on September 16, 2024 and sell it today you would earn a total of  56.00  from holding The Gabelli Value or generate 5.35% return on investment over 90 days.

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

The Gabelli Equity  vs.  The Gabelli Value

Gabelli Equity

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Equity are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Gabelli Equity 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

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Value are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Gabelli Value 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 Equity and Gabelli Value

The main advantage of trading using opposite Gabelli Equity and Gabelli Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gabelli Equity 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 The Gabelli Equity 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.