Correlation Between Goldman Sachs and Litman Gregory
Can any of the company-specific risk be diversified away by investing in both Goldman Sachs and Litman Gregory 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 Goldman Sachs and Litman Gregory into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Goldman Sachs Absolute and Litman Gregory Masters, you can compare the effects of market volatilities on Goldman Sachs and Litman Gregory 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 Goldman Sachs with a short position of Litman Gregory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Goldman Sachs and Litman Gregory.
Diversification Opportunities for Goldman Sachs and Litman Gregory
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Goldman and Litman is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Absolute and Litman Gregory Masters in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Litman Gregory Masters and Goldman Sachs 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 Goldman Sachs Absolute are associated (or correlated) with Litman Gregory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Litman Gregory Masters has no effect on the direction of Goldman Sachs i.e., Goldman Sachs and Litman Gregory go up and down completely randomly.
Pair Corralation between Goldman Sachs and Litman Gregory
Assuming the 90 days horizon Goldman Sachs Absolute is expected to generate 1.81 times more return on investment than Litman Gregory. However, Goldman Sachs is 1.81 times more volatile than Litman Gregory Masters. It trades about 0.31 of its potential returns per unit of risk. Litman Gregory Masters is currently generating about 0.22 per unit of risk. If you would invest 955.00 in Goldman Sachs Absolute on September 5, 2024 and sell it today you would earn a total of 22.00 from holding Goldman Sachs Absolute or generate 2.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Goldman Sachs Absolute vs. Litman Gregory Masters
Performance |
| Timeline |
| Goldman Sachs Absolute |
| Litman Gregory Masters |
Goldman Sachs and Litman Gregory Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Goldman Sachs and Litman Gregory
The main advantage of trading using opposite Goldman Sachs and Litman Gregory positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Goldman Sachs position performs unexpectedly, Litman Gregory 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 Litman Gregory will offset losses from the drop in Litman Gregory's long position.| Goldman Sachs vs. Goldman Sachs Clean | Goldman Sachs vs. Goldman Sachs Clean | Goldman Sachs vs. Goldman Sachs Clean | Goldman Sachs vs. Goldman Sachs Clean |
| Litman Gregory vs. Pimco Short Asset | Litman Gregory vs. Doubleline Low Duration | Litman Gregory vs. Palmer Square Ssi | Litman Gregory vs. Short Term Income Fund |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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