Correlation Between Stone Ridge and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Stone Ridge 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 Stone Ridge and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stone Ridge Diversified and Goldman Sachs Tax Managed, you can compare the effects of market volatilities on Stone Ridge 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 Stone Ridge with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stone Ridge and Goldman Sachs.
Diversification Opportunities for Stone Ridge and Goldman Sachs
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Stone and Goldman is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge Diversified and Goldman Sachs Tax Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Tax and Stone Ridge 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 Stone Ridge Diversified 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 Tax has no effect on the direction of Stone Ridge i.e., Stone Ridge and Goldman Sachs go up and down completely randomly.
Pair Corralation between Stone Ridge and Goldman Sachs
Assuming the 90 days horizon Stone Ridge is expected to generate 2.21 times less return on investment than Goldman Sachs. But when comparing it to its historical volatility, Stone Ridge Diversified is 4.23 times less risky than Goldman Sachs. It trades about 0.2 of its potential returns per unit of risk. Goldman Sachs Tax Managed is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 3,644 in Goldman Sachs Tax Managed on September 12, 2024 and sell it today you would earn a total of 1,318 from holding Goldman Sachs Tax Managed or generate 36.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Stone Ridge Diversified vs. Goldman Sachs Tax Managed
Performance |
| Timeline |
| Stone Ridge Diversified |
| Goldman Sachs Tax |
Stone Ridge and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stone Ridge and Goldman Sachs
The main advantage of trading using opposite Stone Ridge and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stone Ridge 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.| Stone Ridge vs. Blackrock Alternative Capital | Stone Ridge vs. Aqr Style Premia | Stone Ridge vs. Goldman Sachs Absolute | Stone Ridge vs. Aquagold International |
| Goldman Sachs vs. Global Diversified Income | Goldman Sachs vs. Stone Ridge Diversified | Goldman Sachs vs. Federated Hermes Conservative | Goldman Sachs vs. Blackrock Conservative Prprdptfinstttnl |
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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