Correlation Between Franklin FTSE and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Franklin FTSE 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 Franklin FTSE and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Franklin FTSE Japan and Goldman Sachs ActiveBeta, you can compare the effects of market volatilities on Franklin FTSE 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 Franklin FTSE with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Franklin FTSE and Goldman Sachs.
Diversification Opportunities for Franklin FTSE and Goldman Sachs
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Franklin and Goldman is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Franklin FTSE Japan and Goldman Sachs ActiveBeta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs ActiveBeta and Franklin FTSE 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 Franklin FTSE Japan 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 ActiveBeta has no effect on the direction of Franklin FTSE i.e., Franklin FTSE and Goldman Sachs go up and down completely randomly.
Pair Corralation between Franklin FTSE and Goldman Sachs
Given the investment horizon of 90 days Franklin FTSE is expected to generate 1.28 times less return on investment than Goldman Sachs. In addition to that, Franklin FTSE is 1.05 times more volatile than Goldman Sachs ActiveBeta. It trades about 0.12 of its total potential returns per unit of risk. Goldman Sachs ActiveBeta is currently generating about 0.17 per unit of volatility. If you would invest 3,758 in Goldman Sachs ActiveBeta on September 1, 2024 and sell it today you would earn a total of 118.00 from holding Goldman Sachs ActiveBeta or generate 3.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Franklin FTSE Japan vs. Goldman Sachs ActiveBeta
Performance |
| Timeline |
| Franklin FTSE Japan |
| Goldman Sachs ActiveBeta |
Franklin FTSE and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Franklin FTSE and Goldman Sachs
The main advantage of trading using opposite Franklin FTSE and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Franklin FTSE 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.| Franklin FTSE vs. JPMorgan BetaBuilders Japan | Franklin FTSE vs. Franklin FTSE South | Franklin FTSE vs. Franklin FTSE United | Franklin FTSE vs. Franklin FTSE China |
| Goldman Sachs vs. Goldman Sachs ActiveBeta | Goldman Sachs vs. Goldman Sachs ActiveBeta | Goldman Sachs vs. iShares Currency Hedged | Goldman Sachs vs. First Trust Japan |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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