Correlation Between GS Activebeta and Russell 3000

By analyzing existing cross correlation between GS Activebeta US and Russell 3000 Ishares, you can compare the effects of market volatilities on GS Activebeta and Russell 3000 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 GS Activebeta with a short position of Russell 3000. Check out your portfolio center. Please also check ongoing floating volatility patterns of GS Activebeta and Russell 3000.

Specify exactly 2 symbols:

Can any of the company-specific risk be diversified away by investing in both GS Activebeta and Russell 3000 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 GS Activebeta and Russell 3000 into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for GS Activebeta and Russell 3000

0.99
  Correlation Coefficient
GS Activebeta US
Russell 3000 Ishares

No risk reduction

The 3 months correlation between GS Activebeta and Russell is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding GS Activebeta US and Russell 3000 Ishares in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 3000 Ishares and GS Activebeta 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 GS Activebeta US are associated (or correlated) with Russell 3000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 3000 Ishares has no effect on the direction of GS Activebeta i.e., GS Activebeta and Russell 3000 go up and down completely randomly.

Pair Corralation between GS Activebeta and Russell 3000

Given the investment horizon of 90 days GS Activebeta US is expected to under-perform the Russell 3000. But the etf apears to be less risky and, when comparing its historical volatility, GS Activebeta US is 1.0 times less risky than Russell 3000. The etf trades about -0.14 of its potential returns per unit of risk. The Russell 3000 Ishares is currently generating about -0.14 of returns per unit of risk over similar time horizon. If you would invest  27,594  in Russell 3000 Ishares on September 4, 2021 and sell it today you would lose (750.00)  from holding Russell 3000 Ishares or give up 2.72% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

GS Activebeta US  vs.  Russell 3000 Ishares

 Performance (%) 
      Timeline 
GS Activebeta US 
GS Activebeta Performance
0 of 100
Over the last 90 days GS Activebeta US has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong essential indicators, GS Activebeta is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

GS Activebeta Price Channel

Russell 3000 Ishares 
Russell Performance
1 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Russell 3000 Ishares are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Russell 3000 is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Russell Price Channel

GS Activebeta and Russell 3000 Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with GS Activebeta and Russell 3000

The main advantage of trading using opposite GS Activebeta and Russell 3000 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GS Activebeta position performs unexpectedly, Russell 3000 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 Russell 3000 will offset losses from the drop in Russell 3000's long position.

GS Activebeta US

Pair trading matchups for GS Activebeta

The idea behind GS Activebeta US and Russell 3000 Ishares 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.

Russell 3000 Ishares

Pair trading matchups for Russell 3000

Check out your portfolio center. 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 Equity Search module to search for activelly traded equities including funds and ETFs from over 30 global markets.

Other Complementary Tools

Premium Stories
Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope
Go
Portfolio Suggestion
Get suggestions outside of your existing asset allocation including your own model portfolios
Go
Portfolio Anywhere
Track or share privately all of your investments from the convenience of any device
Go
Probability Of Bankruptcy
Get analysis of equity chance of financial distress in the next 2 years
Go
Piotroski F Score
Get Piotroski F Score based on binary analysis strategy of nine different fundamentals
Go
Idea Analyzer
Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
Go
Transaction History
View history of all your transactions and understand their impact on performance
Go
Portfolio Volatility
Check portfolio volatility and analyze historical return density to properly model market risk
Go