Goldman Sachs Correlations

GCMCX Fund

USD 27.30 0.17 0.62%

The correlation of Goldman Sachs is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Goldman Sachs Correlation With Market

Poor diversification

The correlation between Goldman Sachs Mid and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Mid and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Goldman Sachs Mid. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Goldman Mutual Fund

0.89

GCGIX

Goldman Sachs Large

Pair Corr

Moving against Goldman Mutual Fund

0.73	GCEBX	Goldman Sachs Clean	Pair Corr
0.73	GCEDX	Goldman Sachs Clean	Pair Corr
0.73	GCEEX	Goldman Sachs Clean	Pair Corr
0.73	GCEJX	Goldman Sachs Clean	Pair Corr
0.73	GCEPX	Goldman Sachs Clean	Pair Corr
0.72	GCEGX	Goldman Sachs Clean	Pair Corr
0.62	GCFCX	Goldman Sachs E	Pair Corr
0.55	GCFIX	Goldman Sachs E	Pair Corr
0.54	GCFUX	Goldman Sachs E	Pair Corr
0.44	GCICX	Goldman Sachs Intern	Pair Corr
0.44	GCIIX	Goldman Sachs Intern	Pair Corr
0.44	GCIRX	Goldman Sachs Intern	Pair Corr
0.53	GCMDX	Goldman Sachs Local	Pair Corr
0.44	GCISX	Goldman Sachs Intern	Pair Corr
0.44	GCITX	Goldman Sachs Intern	Pair Corr
0.44	GCIAX	Goldman Sachs Intern	Pair Corr
0.43	GCIUX	Goldman Sachs Intern	Pair Corr
0.56	GDFRX	Goldman Sachs E	Pair Corr
0.41	GUIRX	Goldman Sachs Dynamic	Pair Corr
0.4	GCTMX	Goldman Sachs Intern	Pair Corr

Related Correlations Analysis

	TILUX	LIFAX	QCILRX	CSQIX	SWRSX	HIPAX	ABNYX
TILUX		0.96	0.99	0.81	1.0	0.99	1.0	TILUX
LIFAX	0.96		0.97	0.86	0.96	0.97	0.97	LIFAX
QCILRX	0.99	0.97		0.79	0.99	1.0	1.0	QCILRX
CSQIX	0.81	0.86	0.79		0.79	0.81	0.8	CSQIX
SWRSX	1.0	0.96	0.99	0.79		1.0	0.99	SWRSX
HIPAX	0.99	0.97	1.0	0.81	1.0		1.0	HIPAX
ABNYX	1.0	0.97	1.0	0.8	0.99	1.0		ABNYX
	TILUX	LIFAX	QCILRX	CSQIX	SWRSX	HIPAX	ABNYX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Goldman Mutual Fund performing well and Goldman Sachs Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Goldman Sachs' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TILUX	0.21	0.05	0.58	1.62	0.00	(0.29)	0.49	(0.48)	1.24
LIFAX	0.10	0.03	0.82	4.27	0.00	(0.15)	0.35	(0.17)	0.94
QCILRX	0.14	0.04	0.72	5.37	0.00	(0.16)	0.39	(0.33)	0.94
CSQIX	0.27	0.07	0.45	0.55	0.05	(0.38)	0.73	(0.48)	1.60
SWRSX	0.21	0.05	0.51	0.92	0.07	(0.24)	0.59	(0.40)	1.25
HIPAX	0.13	0.04	0.60	1.84	0.00	(0.20)	0.40	(0.30)	0.99
ABNYX	0.15	0.04	0.73	1.28	0.00	(0.19)	0.38	(0.29)	0.86

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