Correlation Between Goldman Sachs and AG Mortgage

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

By analyzing existing cross correlation between Goldman Sachs Group and AG Mortgage Investment, you can compare the effects of market volatilities on Goldman Sachs and AG Mortgage 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 AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Goldman Sachs and AG Mortgage.

Diversification Opportunities for Goldman Sachs and AG Mortgage

-0.03

Correlation Coefficient

Goldman Sachs  AG Mortgage

Good diversification

The 3 months correlation between Goldman and MITT is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Group and AG Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AG Mortgage Investment 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 Group are associated (or correlated) with AG Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AG Mortgage Investment has no effect on the direction of Goldman Sachs i.e., Goldman Sachs and AG Mortgage go up and down completely randomly.

Pair Corralation between Goldman Sachs and AG Mortgage

Allowing for the 90-day total investment horizon Goldman Sachs is expected to generate 10.29 times less return on investment than AG Mortgage. In addition to that, Goldman Sachs is 1.34 times more volatile than AG Mortgage Investment. It trades about 0.01 of its total potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.14 per unit of volatility. If you would invest  689.00  in AG Mortgage Investment on December 19, 2024 and sell it today you would earn a total of  85.00  from holding AG Mortgage Investment or generate 12.34% return on investment over 90 days.

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

Goldman Sachs Group  vs.  AG Mortgage Investment

Goldman Sachs Group

Risk-Adjusted Performance

Weak

Over the last 90 days Goldman Sachs Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Goldman Sachs is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

AG Mortgage Investment

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in AG Mortgage Investment are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, AG Mortgage unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Goldman Sachs and AG Mortgage

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

The idea behind Goldman Sachs Group and AG Mortgage Investment 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.