Correlation Between Dreyfus Municipal and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Dreyfus Municipal 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 Dreyfus Municipal and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dreyfus Municipal Bond and Goldman Sachs Inflation, you can compare the effects of market volatilities on Dreyfus Municipal 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 Dreyfus Municipal with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Municipal and Goldman Sachs.
Diversification Opportunities for Dreyfus Municipal and Goldman Sachs
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dreyfus and Goldman is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Municipal Bond and Goldman Sachs Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Inflation and Dreyfus Municipal 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 Dreyfus Municipal Bond 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 Inflation has no effect on the direction of Dreyfus Municipal i.e., Dreyfus Municipal and Goldman Sachs go up and down completely randomly.
Pair Corralation between Dreyfus Municipal and Goldman Sachs
Assuming the 90 days horizon Dreyfus Municipal Bond is expected to under-perform the Goldman Sachs. In addition to that, Dreyfus Municipal is 1.64 times more volatile than Goldman Sachs Inflation. It trades about -0.04 of its total potential returns per unit of risk. Goldman Sachs Inflation is currently generating about 0.12 per unit of volatility. If you would invest 937.00 in Goldman Sachs Inflation on October 25, 2024 and sell it today you would earn a total of 5.00 from holding Goldman Sachs Inflation or generate 0.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dreyfus Municipal Bond vs. Goldman Sachs Inflation
Performance |
| Timeline |
| Dreyfus Municipal Bond |
| Goldman Sachs Inflation |
Dreyfus Municipal and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Municipal and Goldman Sachs
The main advantage of trading using opposite Dreyfus Municipal and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Municipal 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.| Dreyfus Municipal vs. Abbey Capital Futures | Dreyfus Municipal vs. Atac Inflation Rotation | Dreyfus Municipal vs. Great West Inflation Protected Securities | Dreyfus Municipal vs. Cref Inflation Linked Bond |
| Goldman Sachs vs. Jhancock Diversified Macro | Goldman Sachs vs. Guggenheim Diversified Income | Goldman Sachs vs. Tax Managed Mid Small | Goldman Sachs vs. Madison Diversified Income |
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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