Goldman Sachs Correlations

GEMAX Fund

USD 22.07 0.01 0.05%

The current 90-days correlation between Goldman Sachs Emerging and Goldman Sachs International is 0.75 (i.e., 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

Weak diversification

The correlation between Goldman Sachs Emerging and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Emerging 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 Emerging. 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

0.68	GCMDX	Goldman Sachs Local	Pair Corr
0.76	GCRTX	Goldman Sachs Absolute	Pair Corr

Related Correlations Analysis

	GCIAX	GREAX	GCVAX	GLCGX	GCSAX
GCIAX		0.08	-0.55	-0.59	-0.54	GCIAX
GREAX	0.08		0.22	0.12	0.07	GREAX
GCVAX	-0.55	0.22		0.89	0.9	GCVAX
GLCGX	-0.59	0.12	0.89		0.84	GLCGX
GCSAX	-0.54	0.07	0.9	0.84		GCSAX
	GCIAX	GREAX	GCVAX	GLCGX	GCSAX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GCSAX	+ 0.9	GCVAX
GLCGX	+ 0.89	GCVAX
GCSAX	+ 0.84	GLCGX
GCVAX	+ 0.22	GREAX
GLCGX	+ 0.12	GREAX
GREAX	+ 0.08	GCIAX

High negative correlations

GLCGX	- 0.59	GCIAX
GCVAX	- 0.55	GCIAX
GCSAX	- 0.54	GCIAX

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
GCIAX	0.65	(0.14)	0.00	(0.21)	0.00	0.00	1.43	(1.45)	3.74
GREAX	0.69	0.04	(0.04)	0.29	0.77	(0.78)	1.45	(1.36)	3.91
GCVAX	0.53	0.01	(0.01)	0.11	0.38	(0.70)	1.06	(1.04)	4.05
GLCGX	0.78	(0.01)	(0.01)	0.09	1.09	(0.75)	1.69	(1.87)	5.29
GCSAX	0.96	0.10	0.01	1.15	0.99	(1.10)	2.46	(1.71)	7.93

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