Correlation Between Managed Account and Goldman Sachs

Can any of the company-specific risk be diversified away by investing in both Managed Account 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 Managed Account and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Managed Account Series and Goldman Sachs Future, you can compare the effects of market volatilities on Managed Account 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 Managed Account with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Managed Account and Goldman Sachs.

Diversification Opportunities for Managed Account and Goldman Sachs

0.8

Correlation Coefficient

Managed Account  Goldman Sachs

Very poor diversification

The 3 months correlation between Managed and Goldman is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Managed Account Series and Goldman Sachs Future in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Future and Managed Account 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 Managed Account Series 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 Future has no effect on the direction of Managed Account i.e., Managed Account and Goldman Sachs go up and down completely randomly.

Pair Corralation between Managed Account and Goldman Sachs

Assuming the 90 days horizon Managed Account Series is expected to generate 0.27 times more return on investment than Goldman Sachs. However, Managed Account Series is 3.66 times less risky than Goldman Sachs. It trades about -0.01 of its potential returns per unit of risk. Goldman Sachs Future is currently generating about -0.03 per unit of risk. If you would invest  901.00  in Managed Account Series on September 4, 2024 and sell it today you would lose (1.00) from holding Managed Account Series or give up 0.11% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.44%
Values	Daily Returns

Managed Account Series  vs.  Goldman Sachs Future

Managed Account Series

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Managed Account Series has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong primary indicators, Managed Account is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Goldman Sachs Future

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Goldman Sachs Future has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fairly strong technical and fundamental indicators, Goldman Sachs is not utilizing all of its potentials. The latest stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with Managed Account and Goldman Sachs

The main advantage of trading using opposite Managed Account and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Managed Account 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.

The idea behind Managed Account Series and Goldman Sachs Future pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.