Correlation Between Legg Mason and Gmo Global
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Gmo Global 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 Legg Mason and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Bw and Gmo Global Equity, you can compare the effects of market volatilities on Legg Mason and Gmo Global 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 Legg Mason with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Gmo Global.
Diversification Opportunities for Legg Mason and Gmo Global
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between Legg and Gmo is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw and Gmo Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Global Equity and Legg Mason 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 Legg Mason Bw are associated (or correlated) with Gmo Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Global Equity has no effect on the direction of Legg Mason i.e., Legg Mason and Gmo Global go up and down completely randomly.
Pair Corralation between Legg Mason and Gmo Global
Assuming the 90 days horizon Legg Mason is expected to generate 2.7 times less return on investment than Gmo Global. But when comparing it to its historical volatility, Legg Mason Bw is 1.51 times less risky than Gmo Global. It trades about 0.1 of its potential returns per unit of risk. Gmo Global Equity is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 3,103 in Gmo Global Equity on June 10, 2025 and sell it today you would earn a total of 240.00 from holding Gmo Global Equity or generate 7.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Legg Mason Bw vs. Gmo Global Equity
Performance |
| Timeline |
| Legg Mason Bw |
| Gmo Global Equity |
Legg Mason and Gmo Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Legg Mason and Gmo Global
The main advantage of trading using opposite Legg Mason and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Gmo Global 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 Gmo Global will offset losses from the drop in Gmo Global's long position.| Legg Mason vs. Vanguard Strategic Small Cap | Legg Mason vs. Goldman Sachs Small | Legg Mason vs. Nuveen Nwq Smallmid Cap | Legg Mason vs. Eagle Small Cap |
| Gmo Global vs. Gmo E Plus | Gmo Global vs. Gmo Trust | Gmo Global vs. Gmo Treasury Fund | Gmo Global vs. Gmo Trust |
Check out your portfolio center.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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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