Correlation Between Guggenheim Managed and Goldman Sachs

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

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

Diversification Opportunities for Guggenheim Managed and Goldman Sachs

0.44

Correlation Coefficient

Guggenheim Managed  Goldman Sachs

Very weak diversification

The 3 months correlation between Guggenheim and Goldman is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Managed Futures and Goldman Sachs Absolute in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Absolute and Guggenheim Managed 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 Guggenheim Managed Futures 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 Absolute has no effect on the direction of Guggenheim Managed i.e., Guggenheim Managed and Goldman Sachs go up and down completely randomly.

Pair Corralation between Guggenheim Managed and Goldman Sachs

Assuming the 90 days horizon Guggenheim Managed Futures is expected to under-perform the Goldman Sachs. In addition to that, Guggenheim Managed is 2.15 times more volatile than Goldman Sachs Absolute. It trades about -0.07 of its total potential returns per unit of risk. Goldman Sachs Absolute is currently generating about -0.01 per unit of volatility. If you would invest  1,010  in Goldman Sachs Absolute on September 22, 2024 and sell it today you would lose (2.00) from holding Goldman Sachs Absolute or give up 0.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	98.46%
Values	Daily Returns

Guggenheim Managed Futures  vs.  Goldman Sachs Absolute

Guggenheim Managed

Risk-Adjusted Performance

0 of 100

Very Weak

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

Goldman Sachs Absolute

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Guggenheim Managed and Goldman Sachs

The main advantage of trading using opposite Guggenheim Managed and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Guggenheim Managed 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 Guggenheim Managed Futures and Goldman Sachs Absolute 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.