Goldman Sachs Correlations

GICIX Fund

USD 12.45 0.02 0.16%

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 International and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs International 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 International. 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 gross domestic product.

Moving together with Goldman Mutual Fund

0.75	GCEBX	Goldman Sachs Clean	Pair Corr
0.75	GCEDX	Goldman Sachs Clean	Pair Corr
0.75	GCEEX	Goldman Sachs Clean	Pair Corr
0.75	GCEGX	Goldman Sachs Clean	Pair Corr
0.75	GCEJX	Goldman Sachs Clean	Pair Corr
0.75	GCEPX	Goldman Sachs Clean	Pair Corr
0.88	GCFCX	Goldman Sachs E	Pair Corr
0.85	GCFIX	Goldman Sachs E	Pair Corr
0.85	GCFUX	Goldman Sachs E	Pair Corr
0.91	GCICX	Goldman Sachs Intern	Pair Corr
0.91	GCIRX	Goldman Sachs Intern	Pair Corr
0.92	GCISX	Goldman Sachs Intern	Pair Corr
0.92	GCIUX	Goldman Sachs Intern	Pair Corr
0.61	GCLSX	Goldman Sachs Large	Pair Corr
0.67	GCMDX	Goldman Sachs Local	Pair Corr
0.65	GCVRX	Goldman Sachs Large	Pair Corr
0.62	GDSTX	Goldman Sachs Small	Pair Corr
0.83	GEBAX	Goldman Sachs Esg	Pair Corr
0.83	GEBIX	Goldman Sachs Esg	Pair Corr
0.84	GEMIX	Goldman Sachs Emerging	Pair Corr
0.86	GERIX	Goldman Sachs Emerging	Pair Corr

Moving against Goldman Mutual Fund

0.54	GFRSX	Goldman Sachs High	Pair Corr
0.53	GFRIX	Goldman Sachs High	Pair Corr
0.49	GFRAX	Goldman Sachs High	Pair Corr
0.47	GEIAX	Goldman Sachs Enhanced	Pair Corr
0.46	GEIIX	Goldman Sachs Enhanced	Pair Corr

Related Correlations Analysis

	SRDAX	FTCRX	FHCOX	ICVRX	JDJRX	LUNAX
SRDAX		-0.24	0.95	-0.18	0.62	-0.2	SRDAX
FTCRX	-0.24		-0.13	0.99	-0.1	0.96	FTCRX
FHCOX	0.95	-0.13		-0.07	0.61	-0.08	FHCOX
ICVRX	-0.18	0.99	-0.07		-0.03	0.94	ICVRX
JDJRX	0.62	-0.1	0.61	-0.03		-0.21	JDJRX
LUNAX	-0.2	0.96	-0.08	0.94	-0.21		LUNAX
	SRDAX	FTCRX	FHCOX	ICVRX	JDJRX	LUNAX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

ICVRX	+ 0.99	FTCRX
LUNAX	+ 0.96	FTCRX
FHCOX	+ 0.95	SRDAX
LUNAX	+ 0.94	ICVRX
JDJRX	+ 0.62	SRDAX
JDJRX	+ 0.61	FHCOX

High negative correlations

FTCRX	- 0.24	SRDAX
LUNAX	- 0.21	JDJRX
LUNAX	- 0.2	SRDAX
ICVRX	- 0.18	SRDAX
FHCOX	- 0.13	FTCRX
JDJRX	- 0.1	FTCRX

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
SRDAX	0.15	0.04	0.06	5.29	0.00	(0.20)	0.38	(0.29)	1.05
FTCRX	0.31	(0.02)	0.00	(0.05)	0.00	0.00	0.64	(0.57)	2.42
FHCOX	0.04	0.01	0.00	(0.74)	0.00	0.00	0.10	0.00	0.61
ICVRX	0.31	(0.02)	0.00	(0.06)	0.00	0.00	0.66	(0.64)	2.21
JDJRX	0.40	0.03	0.01	0.43	0.42	(0.47)	0.88	(0.79)	2.00
LUNAX	0.37	(0.01)	(0.05)	(0.01)	0.51	(0.39)	0.71	(0.63)	2.40

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