Correlation Between Vanguard FTSE and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Vanguard 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 Vanguard 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 Vanguard FTSE Europe and Goldman Sachs ActiveBeta, you can compare the effects of market volatilities on Vanguard 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 Vanguard FTSE with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and Goldman Sachs.
Diversification Opportunities for Vanguard FTSE and Goldman Sachs
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and Goldman is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Europe 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 Vanguard 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 Vanguard FTSE Europe 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 Vanguard FTSE i.e., Vanguard FTSE and Goldman Sachs go up and down completely randomly.
Pair Corralation between Vanguard FTSE and Goldman Sachs
Considering the 90-day investment horizon Vanguard FTSE is expected to generate 1.02 times less return on investment than Goldman Sachs. In addition to that, Vanguard FTSE is 1.09 times more volatile than Goldman Sachs ActiveBeta. It trades about 0.18 of its total potential returns per unit of risk. Goldman Sachs ActiveBeta is currently generating about 0.2 per unit of volatility. If you would invest 3,697 in Goldman Sachs ActiveBeta on December 1, 2024 and sell it today you would earn a total of 122.00 from holding Goldman Sachs ActiveBeta or generate 3.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Europe vs. Goldman Sachs ActiveBeta
Performance |
| Timeline |
| Vanguard FTSE Europe |
| Goldman Sachs ActiveBeta |
Vanguard FTSE and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and Goldman Sachs
The main advantage of trading using opposite Vanguard FTSE and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard 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.| Vanguard FTSE vs. Vanguard FTSE Pacific | Vanguard FTSE vs. Vanguard FTSE Emerging | Vanguard FTSE vs. Vanguard FTSE All World | Vanguard FTSE vs. Vanguard FTSE Developed |
| Goldman Sachs vs. Goldman Sachs ActiveBeta | Goldman Sachs vs. Goldman Sachs ActiveBeta | Goldman Sachs vs. Goldman Sachs ActiveBeta | Goldman Sachs vs. WisdomTree Europe Quality |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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