Correlation Between Gamco International and The Gabelli

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

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

Diversification Opportunities for Gamco International and The Gabelli

-0.65

Correlation Coefficient

Gamco International  The Gabelli

Excellent diversification

The 3 months correlation between Gamco and The is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Gamco International Growth and The Gabelli Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gabelli Growth and Gamco International 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 International Growth are associated (or correlated) with The Gabelli. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gabelli Growth has no effect on the direction of Gamco International i.e., Gamco International and The Gabelli go up and down completely randomly.

Pair Corralation between Gamco International and The Gabelli

Assuming the 90 days horizon Gamco International Growth is expected to under-perform the The Gabelli. But the mutual fund apears to be less risky and, when comparing its historical volatility, Gamco International Growth is 1.02 times less risky than The Gabelli. The mutual fund trades about -0.12 of its potential returns per unit of risk. The The Gabelli Growth is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  10,570  in The Gabelli Growth on September 3, 2024 and sell it today you would earn a total of  1,250  from holding The Gabelli Growth or generate 11.83% return on investment over 90 days.

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

Gamco International Growth  vs.  The Gabelli Growth

Gamco International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gamco International Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Gabelli Growth

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Growth are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, The Gabelli may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Gamco International and The Gabelli

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

The idea behind Gamco International Growth and The Gabelli Growth 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.