Correlation Between Goldman Sachs and SPDR MSCI

Can any of the company-specific risk be diversified away by investing in both Goldman Sachs and SPDR MSCI 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 SPDR MSCI 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 SPDR MSCI ACWI, you can compare the effects of market volatilities on Goldman Sachs and SPDR MSCI 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Goldman Sachs and SPDR MSCI.

Diversification Opportunities for Goldman Sachs and SPDR MSCI

0.85

Correlation Coefficient

Goldman Sachs  SPDR MSCI

Very poor diversification

The 3 months correlation between Goldman and SPDR is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs ActiveBeta and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI ACWI has no effect on the direction of Goldman Sachs i.e., Goldman Sachs and SPDR MSCI go up and down completely randomly.

Pair Corralation between Goldman Sachs and SPDR MSCI

Given the investment horizon of 90 days Goldman Sachs is expected to generate 1.15 times less return on investment than SPDR MSCI. But when comparing it to its historical volatility, Goldman Sachs ActiveBeta is 1.35 times less risky than SPDR MSCI. It trades about 0.1 of its potential returns per unit of risk. SPDR MSCI ACWI is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  2,666  in SPDR MSCI ACWI on October 11, 2024 and sell it today you would earn a total of  990.00  from holding SPDR MSCI ACWI or generate 37.13% return on investment over 90 days.

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

Goldman Sachs ActiveBeta  vs.  SPDR MSCI ACWI

Goldman Sachs ActiveBeta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Goldman Sachs ActiveBeta has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, Goldman Sachs is not utilizing all of its potentials. The recent stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

SPDR MSCI ACWI

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SPDR MSCI ACWI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, SPDR MSCI is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Goldman Sachs and SPDR MSCI

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

The idea behind Goldman Sachs ActiveBeta and SPDR MSCI ACWI 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.