Correlation Between Frost Kempner and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Frost Kempner and Goldman Sachs 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 Frost Kempner and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frost Kempner Multi Cap and Goldman Sachs Real, you can compare the effects of market volatilities on Frost Kempner and Goldman Sachs 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 Frost Kempner with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frost Kempner and Goldman Sachs.
Diversification Opportunities for Frost Kempner and Goldman Sachs
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Frost and Goldman is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap and Goldman Sachs Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Real and Frost Kempner 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 Frost Kempner Multi Cap are associated (or correlated) with Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs Real has no effect on the direction of Frost Kempner i.e., Frost Kempner and Goldman Sachs go up and down completely randomly.
Pair Corralation between Frost Kempner and Goldman Sachs
Assuming the 90 days horizon Frost Kempner Multi Cap is expected to under-perform the Goldman Sachs. But the mutual fund apears to be less risky and, when comparing its historical volatility, Frost Kempner Multi Cap is 1.64 times less risky than Goldman Sachs. The mutual fund trades about -0.05 of its potential returns per unit of risk. The Goldman Sachs Real is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,309 in Goldman Sachs Real on September 13, 2024 and sell it today you would earn a total of 17.00 from holding Goldman Sachs Real or generate 1.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Frost Kempner Multi Cap vs. Goldman Sachs Real
Performance |
| Timeline |
| Frost Kempner Multi |
| Goldman Sachs Real |
Frost Kempner and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Frost Kempner and Goldman Sachs
The main advantage of trading using opposite Frost Kempner and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frost Kempner position performs unexpectedly, Goldman Sachs 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 Goldman Sachs will offset losses from the drop in Goldman Sachs' long position.| Frost Kempner vs. Frost Growth Equity | Frost Kempner vs. Frost Low Duration | Frost Kempner vs. Frost Total Return | Frost Kempner vs. Frost Kempner Treasury |
| Goldman Sachs vs. Virtus Multi Sector Short | Goldman Sachs vs. Prudential Short Duration | Goldman Sachs vs. Boston Partners Longshort | Goldman Sachs vs. Siit Ultra Short |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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