Goldman Sachs Correlations

GCMCX Fund

USD 32.52 0.43 1.34%

The current 90-days correlation between Goldman Sachs Mid and Qs Small Capitalization is 0.91 (i.e., Almost no diversification). 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

Almost no diversification

The correlation between Goldman Sachs Mid and DJI is 0.92 (i.e., Almost no 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

0.95	GCGIX	Goldman Sachs Large	Pair Corr
0.97	GCLLX	Goldman Sachs Flexible	Pair Corr
0.96	GCTAX	Goldman Sachs Tax	Pair Corr
0.89	GCSSX	Goldman Sachs Small	Pair Corr
0.9	GCSUX	Goldman Sachs Small	Pair Corr
0.95	GCVTX	Goldman Sachs Large	Pair Corr
0.97	GFCUX	Goldman Sachs Flexible	Pair Corr
0.97	GGOIX	Goldman Sachs Growth	Pair Corr
0.95	GGOSX	Goldman Sachs Growth	Pair Corr
0.87	GGNPX	Goldman Sachs High	Pair Corr
0.83	GGPPX	Goldman Sachs Growth	Pair Corr
0.72	GGSPX	Goldman Sachs Growth	Pair Corr
0.94	GGZPX	Goldman Sachs Flexible	Pair Corr
0.95	GISTX	Goldman Sachs Technology	Pair Corr
0.78	GJRTX	Goldman Sachs Absolute	Pair Corr
0.95	GLCTX	Goldman Sachs Large	Pair Corr
0.89	GLECX	Goldman Sachs Mlp	Pair Corr
0.83	GLPCX	Goldman Sachs Mlp	Pair Corr
0.84	GLPIX	Goldman Sachs Mlp	Pair Corr
0.83	GLPRX	Goldman Sachs Mlp	Pair Corr
0.84	GLPSX	Goldman Sachs Mlp	Pair Corr
0.84	GMLPX	Goldman Sachs Mlp	Pair Corr

Moving against Goldman Mutual Fund

0.67	GCEPX	Goldman Sachs Clean	Pair Corr
0.64	GCEGX	Goldman Sachs Clean	Pair Corr
0.63	GCEBX	Goldman Sachs Clean	Pair Corr
0.63	GCEDX	Goldman Sachs Clean	Pair Corr
0.63	GCEEX	Goldman Sachs Clean	Pair Corr
0.63	GCEJX	Goldman Sachs Clean	Pair Corr
0.62	GCITX	Goldman Sachs Intern	Pair Corr
0.55	GGXPX	Goldman Sachs Global	Pair Corr
0.48	GGJPX	Goldman Sachs Inflation	Pair Corr
0.43	GICIX	Goldman Sachs Intern	Pair Corr
0.71	GIDCX	Goldman Sachs Intern	Pair Corr
0.49	GARGX	Goldman Sachs Global	Pair Corr
0.48	GARSX	Goldman Sachs Global	Pair Corr

Related Correlations Analysis

	LMBMX	CIPNX	CWSIX	MCSCX	QUAKX	HSCYX
LMBMX		0.93	0.96	0.98	0.95	0.99	LMBMX
CIPNX	0.93		0.97	0.93	0.83	0.91	CIPNX
CWSIX	0.96	0.97		0.96	0.88	0.94	CWSIX
MCSCX	0.98	0.93	0.96		0.92	0.98	MCSCX
QUAKX	0.95	0.83	0.88	0.92		0.96	QUAKX
HSCYX	0.99	0.91	0.94	0.98	0.96		HSCYX
	LMBMX	CIPNX	CWSIX	MCSCX	QUAKX	HSCYX

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
LMBMX	0.96	(0.03)	0.02	0.08	1.05	(1.10)	2.17	(1.75)	8.01
CIPNX	0.83	0.01	0.04	0.10	0.87	(0.88)	1.78	(1.65)	7.22
CWSIX	0.88	0.01	0.06	0.11	0.74	(1.16)	2.16	(1.47)	7.79
MCSCX	0.95	(0.03)	0.02	0.08	1.03	(1.11)	2.19	(1.52)	7.55
QUAKX	0.95	0.00	0.04	0.10	1.09	(1.00)	2.10	(2.15)	6.77
HSCYX	0.89	(0.04)	(0.01)	0.07	1.03	(0.94)	1.91	(1.57)	6.60

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