Correlation Between IShares MSCI and Goldman Sachs

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Can any of the company-specific risk be diversified away by investing in both IShares MSCI 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 IShares MSCI and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI EAFE and Goldman Sachs MarketBeta, you can compare the effects of market volatilities on IShares MSCI 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 IShares MSCI with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Goldman Sachs.

Diversification Opportunities for IShares MSCI and Goldman Sachs

1.0
  Correlation Coefficient

No risk reduction

The 3 months correlation between IShares and Goldman is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE and Goldman Sachs MarketBeta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs MarketBeta and IShares MSCI 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 iShares MSCI EAFE 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 MarketBeta has no effect on the direction of IShares MSCI i.e., IShares MSCI and Goldman Sachs go up and down completely randomly.

Pair Corralation between IShares MSCI and Goldman Sachs

Considering the 90-day investment horizon iShares MSCI EAFE is expected to generate 1.01 times more return on investment than Goldman Sachs. However, IShares MSCI is 1.01 times more volatile than Goldman Sachs MarketBeta. It trades about -0.23 of its potential returns per unit of risk. Goldman Sachs MarketBeta is currently generating about -0.25 per unit of risk. If you would invest  7,874  in iShares MSCI EAFE on October 12, 2024 and sell it today you would lose (252.00) from holding iShares MSCI EAFE or give up 3.2% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

iShares MSCI EAFE  vs.  Goldman Sachs MarketBeta

 Performance 
       Timeline  
iShares MSCI EAFE 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days iShares MSCI EAFE has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest unfluctuating performance, the Etf's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.
Goldman Sachs MarketBeta 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Goldman Sachs MarketBeta has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Etf's forward indicators remain sound and the latest tumult on Wall Street may also be a sign of longer-term gains for the fund shareholders.

IShares MSCI and Goldman Sachs Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with IShares MSCI and Goldman Sachs

The main advantage of trading using opposite IShares MSCI and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI 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 iShares MSCI EAFE and Goldman Sachs MarketBeta 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.

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