Correlation Between GAMCO Global and Bancroft Fund

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

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

Diversification Opportunities for GAMCO Global and Bancroft Fund

0.24

Correlation Coefficient

GAMCO Global  Bancroft Fund

Modest diversification

The 3 months correlation between GAMCO and Bancroft is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding GAMCO Global Gold and Bancroft Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bancroft Fund and GAMCO 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 GAMCO Global Gold are associated (or correlated) with Bancroft Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bancroft Fund has no effect on the direction of GAMCO Global i.e., GAMCO Global and Bancroft Fund go up and down completely randomly.

Pair Corralation between GAMCO Global and Bancroft Fund

Assuming the 90 days trading horizon GAMCO Global is expected to generate 5.3 times less return on investment than Bancroft Fund. In addition to that, GAMCO Global is 2.12 times more volatile than Bancroft Fund. It trades about 0.02 of its total potential returns per unit of risk. Bancroft Fund is currently generating about 0.18 per unit of volatility. 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

GAMCO Global Gold  vs.  Bancroft Fund

GAMCO Global Gold

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in GAMCO Global Gold are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, GAMCO Global is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

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.

Pair Trading with GAMCO Global and Bancroft Fund

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

The idea behind GAMCO Global Gold and Bancroft 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.