Correlation Between Goldman Sachs and Invesco PureBeta

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

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

Diversification Opportunities for Goldman Sachs and Invesco PureBeta

0.77

Correlation Coefficient

Goldman Sachs  Invesco PureBeta

Poor diversification

The 3 months correlation between Goldman and Invesco is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs ActiveBeta and Invesco PureBeta MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco PureBeta MSCI and Goldman Sachs 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 Goldman Sachs ActiveBeta are associated (or correlated) with Invesco PureBeta. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco PureBeta MSCI has no effect on the direction of Goldman Sachs i.e., Goldman Sachs and Invesco PureBeta go up and down completely randomly.

Pair Corralation between Goldman Sachs and Invesco PureBeta

Considering the 90-day investment horizon Goldman Sachs ActiveBeta is expected to generate 0.97 times more return on investment than Invesco PureBeta. However, Goldman Sachs ActiveBeta is 1.03 times less risky than Invesco PureBeta. It trades about 0.54 of its potential returns per unit of risk. Invesco PureBeta MSCI is currently generating about 0.35 per unit of risk. If you would invest  3,050  in Goldman Sachs ActiveBeta on February 17, 2024 and sell it today you would earn a total of  265.00  from holding Goldman Sachs ActiveBeta or generate 8.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Goldman Sachs ActiveBeta  vs.  Invesco PureBeta MSCI

Goldman Sachs ActiveBeta

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Goldman Sachs ActiveBeta are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of very fragile technical and fundamental indicators, Goldman Sachs may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Invesco PureBeta MSCI

Risk-Adjusted Performance

11 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco PureBeta MSCI are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unfluctuating basic indicators, Invesco PureBeta may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Goldman Sachs and Invesco PureBeta

The main advantage of trading using opposite Goldman Sachs and Invesco PureBeta positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Goldman Sachs position performs unexpectedly, Invesco PureBeta 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 Invesco PureBeta will offset losses from the drop in Invesco PureBeta's long position.

The idea behind Goldman Sachs ActiveBeta and Invesco PureBeta MSCI 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.

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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.