Correlation Between Goldman Sachs and IShares IBoxx

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

By analyzing existing cross correlation between Goldman Sachs Access and iShares iBoxx High, you can compare the effects of market volatilities on Goldman Sachs and IShares IBoxx 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 IShares IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Goldman Sachs and IShares IBoxx.

Diversification Opportunities for Goldman Sachs and IShares IBoxx

0.99

Correlation Coefficient

Goldman Sachs  IShares IBoxx

No risk reduction

The 3 months correlation between Goldman and IShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Access and iShares iBoxx High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx High 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 Access are associated (or correlated) with IShares IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares iBoxx High has no effect on the direction of Goldman Sachs i.e., Goldman Sachs and IShares IBoxx go up and down completely randomly.

Pair Corralation between Goldman Sachs and IShares IBoxx

Given the investment horizon of 90 days Goldman Sachs Access is expected to generate 1.06 times more return on investment than IShares IBoxx. However, Goldman Sachs is 1.06 times more volatile than iShares iBoxx High. It trades about 0.09 of its potential returns per unit of risk. iShares iBoxx High is currently generating about 0.09 per unit of risk. If you would invest  3,743  in Goldman Sachs Access on September 26, 2024 and sell it today you would earn a total of  731.00  from holding Goldman Sachs Access or generate 19.53% return on investment over 90 days.

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

Goldman Sachs Access  vs.  iShares iBoxx High

Goldman Sachs Access

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Goldman Sachs Access has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat 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.

iShares iBoxx High

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days iShares iBoxx High has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, IShares IBoxx is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Goldman Sachs and IShares IBoxx

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

The idea behind Goldman Sachs Access and iShares iBoxx High 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..