Goldman Sachs Correlations

GCRTX Fund

USD 8.74 0.04 0.46%

The current 90-days correlation between Goldman Sachs Absolute and Gmo Global Equity is 0.52 (i.e., Very weak 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

Very weak diversification

The correlation between Goldman Sachs Absolute and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Absolute 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 Absolute. 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 estimate.

Moving together with Goldman Mutual Fund

0.91	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.76	GCLLX	Goldman Sachs Flexible	Pair Corr
0.61	GCMDX	Goldman Sachs Local	Pair Corr
0.75	GCTAX	Goldman Sachs Tax	Pair Corr
0.74	GCTCX	Goldman Sachs Tax	Pair Corr
0.85	GCTIX	Goldman Sachs Tax	Pair Corr
0.62	GCTMX	Goldman Sachs Intern	Pair Corr
0.76	GCTRX	Goldman Sachs Tax	Pair Corr
0.85	GCTSX	Goldman Sachs Tax	Pair Corr

Moving against Goldman Mutual Fund

0.34	GCEBX	Goldman Sachs Clean	Pair Corr
0.34	GCEGX	Goldman Sachs Clean	Pair Corr
0.34	GCEJX	Goldman Sachs Clean	Pair Corr
0.33	GCEDX	Goldman Sachs Clean	Pair Corr
0.33	GCEEX	Goldman Sachs Clean	Pair Corr
0.33	GCEPX	Goldman Sachs Clean	Pair Corr

Related Correlations Analysis

	GAAUX	BXFIX	RGELX	MGGNX	DHGCX
GAAUX		0.13	0.57	0.33	0.47	GAAUX
BXFIX	0.13		0.1	0.04	0.28	BXFIX
RGELX	0.57	0.1		0.69	0.72	RGELX
MGGNX	0.33	0.04	0.69		0.93	MGGNX
DHGCX	0.47	0.28	0.72	0.93		DHGCX
	GAAUX	BXFIX	RGELX	MGGNX	DHGCX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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
GAAUX	0.62	(0.01)	(0.05)	0.07	1.23	(0.63)	1.17	(1.28)	10.86
BXFIX	0.08	0.02	(0.47)	(1.94)	0.00	(0.23)	0.12	(0.12)	0.92
RGELX	0.58	0.03	(0.06)	(1.11)	0.93	(0.55)	1.33	(1.69)	4.33
MGGNX	0.16	(0.02)	0.00	(0.34)	0.00	0.00	0.35	(0.35)	1.05
DHGCX	0.15	(0.01)	(0.50)	(0.06)	0.14	(0.21)	0.36	(0.26)	0.94

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC