Correlation Between Mackenzie Large and Goldman Sachs

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

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

Diversification Opportunities for Mackenzie Large and Goldman Sachs

0.74

Correlation Coefficient

Mackenzie Large  Goldman Sachs

Poor diversification

The 3 months correlation between Mackenzie and Goldman is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Large Cap and Goldman Sachs ActiveBeta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs ActiveBeta and Mackenzie Large 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 Mackenzie Large Cap 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 ActiveBeta has no effect on the direction of Mackenzie Large i.e., Mackenzie Large and Goldman Sachs go up and down completely randomly.

Pair Corralation between Mackenzie Large and Goldman Sachs

Assuming the 90 days trading horizon Mackenzie Large Cap is expected to generate 1.28 times more return on investment than Goldman Sachs. However, Mackenzie Large is 1.28 times more volatile than Goldman Sachs ActiveBeta. It trades about 0.29 of its potential returns per unit of risk. Goldman Sachs ActiveBeta is currently generating about 0.13 per unit of risk. If you would invest  21,364  in Mackenzie Large Cap on September 3, 2024 and sell it today you would earn a total of  3,073  from holding Mackenzie Large Cap or generate 14.38% return on investment over 90 days.

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

Mackenzie Large Cap  vs.  Goldman Sachs ActiveBeta

Mackenzie Large Cap

Risk-Adjusted Performance

22 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Mackenzie Large Cap are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Mackenzie Large displayed solid returns over the last few months and may actually be approaching a breakup point.

Goldman Sachs ActiveBeta

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Goldman Sachs ActiveBeta are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. 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.

Pair Trading with Mackenzie Large and Goldman Sachs

The main advantage of trading using opposite Mackenzie Large and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Large 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 Mackenzie Large Cap and Goldman Sachs ActiveBeta 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.