Correlation Between Multifactor and Glg Intl
Can any of the company-specific risk be diversified away by investing in both Multifactor and Glg Intl 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 Multifactor and Glg Intl into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multifactor Equity Fund and Glg Intl Small, you can compare the effects of market volatilities on Multifactor and Glg Intl 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 Multifactor with a short position of Glg Intl. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multifactor and Glg Intl.
Diversification Opportunities for Multifactor and Glg Intl
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Multifactor and Glg is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund and Glg Intl Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glg Intl Small and Multifactor 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 Multifactor Equity Fund are associated (or correlated) with Glg Intl. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glg Intl Small has no effect on the direction of Multifactor i.e., Multifactor and Glg Intl go up and down completely randomly.
Pair Corralation between Multifactor and Glg Intl
Assuming the 90 days horizon Multifactor is expected to generate 1.01 times less return on investment than Glg Intl. But when comparing it to its historical volatility, Multifactor Equity Fund is 1.17 times less risky than Glg Intl. It trades about 0.26 of its potential returns per unit of risk. Glg Intl Small is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 7,729 in Glg Intl Small on April 14, 2025 and sell it today you would earn a total of 1,287 from holding Glg Intl Small or generate 16.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Multifactor Equity Fund vs. Glg Intl Small
Performance |
| Timeline |
| Multifactor Equity |
| Glg Intl Small |
Multifactor and Glg Intl Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multifactor and Glg Intl
The main advantage of trading using opposite Multifactor and Glg Intl positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multifactor position performs unexpectedly, Glg Intl 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 Glg Intl will offset losses from the drop in Glg Intl's long position.| Multifactor vs. International Developed Markets | Multifactor vs. Global Real Estate | Multifactor vs. Global Real Estate | Multifactor vs. Global Real Estate |
| Glg Intl vs. Principal Lifetime Hybrid | Glg Intl vs. Morningstar Unconstrained Allocation | Glg Intl vs. Transamerica Asset Allocation | Glg Intl vs. Locorr Strategic Allocation |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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