Goldman Sachs Correlations

GCSAX Fund

USD 30.77 0.54 1.79%

The current 90-days correlation between Goldman Sachs Small and Miller Vertible Bond is 0.87 (i.e., Very poor 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 poor diversification

The correlation between Goldman Sachs Small and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Small 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 Small. 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 nation.

Moving together with Goldman Mutual Fund

0.9	GCMCX	Goldman Sachs Mid	Pair Corr
1.0	GCSSX	Goldman Sachs Small	Pair Corr
0.94	GCVTX	Goldman Sachs Large	Pair Corr
0.89	GGOIX	Goldman Sachs Growth	Pair Corr
0.89	GGOSX	Goldman Sachs Growth	Pair Corr
0.92	GGZPX	Goldman Sachs Flexible	Pair Corr
0.81	GLECX	Goldman Sachs Mlp	Pair Corr
0.79	GMLPX	Goldman Sachs Mlp	Pair Corr
0.99	GMVAX	Goldman Sachs Smallmid	Pair Corr
0.88	GMYPX	Goldman Sachs Large	Pair Corr
0.8	GADPX	Goldman Sachs Equity	Pair Corr
0.62	GSBCX	Goldman Sachs Income	Pair Corr
0.65	GSBFX	Goldman Sachs Income	Pair Corr
0.9	GSMSX	Goldman Sachs Mid	Pair Corr
0.93	GSMYX	Goldman Sachs Smallmid	Pair Corr
0.91	GSPCX	Goldman Sachs Capital	Pair Corr
0.99	GSQRX	Goldman Sachs Small	Pair Corr
0.81	GSRCX	Goldman Sachs Rising	Pair Corr
0.89	GSTIX	Goldman Sachs Strategic	Pair Corr
0.99	GSSUX	Goldman Sachs Small	Pair Corr
0.98	GSXPX	Goldman Sachs Small	Pair Corr
0.96	VSMAX	Vanguard Small Cap	Pair Corr

Moving against Goldman Mutual Fund

0.69	GCEBX	Goldman Sachs Clean	Pair Corr
0.69	GCEDX	Goldman Sachs Clean	Pair Corr
0.69	GCEEX	Goldman Sachs Clean	Pair Corr
0.69	GCEGX	Goldman Sachs Clean	Pair Corr
0.69	GCEJX	Goldman Sachs Clean	Pair Corr
0.69	GCEPX	Goldman Sachs Clean	Pair Corr
0.55	GGXPX	Goldman Sachs Global	Pair Corr
0.51	GCITX	Goldman Sachs Intern	Pair Corr
0.66	GSINX	Goldman Sachs Gqg	Pair Corr
0.54	GARSX	Goldman Sachs Global	Pair Corr
0.46	PFHCX	Pacific Funds Small	Pair Corr
0.33	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	MCFAX	VAADX	FISCX	CCD	LACCX	ANZCX	CNSIX
MCFAX		0.69	0.71	0.59	0.66	0.7	0.73	MCFAX
VAADX	0.69		0.99	0.44	0.99	1.0	0.99	VAADX
FISCX	0.71	0.99		0.48	0.98	0.99	0.99	FISCX
CCD	0.59	0.44	0.48		0.44	0.44	0.52	CCD
LACCX	0.66	0.99	0.98	0.44		0.99	0.98	LACCX
ANZCX	0.7	1.0	0.99	0.44	0.99		0.99	ANZCX
CNSIX	0.73	0.99	0.99	0.52	0.98	0.99		CNSIX
	MCFAX	VAADX	FISCX	CCD	LACCX	ANZCX	CNSIX

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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
MCFAX	0.26	(0.03)	(0.32)	0.03	0.25	(0.32)	0.63	(0.54)	1.63
VAADX	0.45	0.09	0.07	0.27	0.21	(0.54)	1.12	(0.84)	2.53
FISCX	0.38	0.10	0.11	0.33	0.00	(0.49)	1.18	(0.56)	1.92
CCD	0.71	0.03	(0.04)	0.18	0.72	(0.83)	1.88	(1.56)	4.27
LACCX	0.38	0.08	0.04	0.29	0.00	(0.45)	0.99	(0.66)	2.20
ANZCX	0.45	0.09	0.06	0.27	0.21	(0.53)	1.13	(0.86)	2.54
CNSIX	0.39	0.06	0.01	0.24	0.13	(0.48)	0.93	(0.73)	1.99

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