Goldman Sachs Correlations

GMJPX Fund

USD 12.23 0.16 1.33%

The current 90-days correlation between Goldman Sachs Real and Access Flex High is 0.6 (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 Real and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Real 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 Real. 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 american community survey.

Moving together with Goldman Mutual Fund

0.79	O	Realty Income	Pair Corr
0.73	FR	First Industrial Realty Earnings Call This Week	Pair Corr
0.8	HR	Healthcare Realty Trust	Pair Corr
0.87	KW	Kennedy Wilson Holdings	Pair Corr
0.79	UE	Urban Edge Properties	Pair Corr
0.87	WY	Weyerhaeuser	Pair Corr
0.62	AHT-PF	Ashford Hospitality Trust	Pair Corr
0.84	ADC-PA	Agree Realty	Pair Corr
0.83	DOUG	Douglas Elliman	Pair Corr
0.96	VICI	VICI Properties	Pair Corr
0.83	ELME	Elme Communities	Pair Corr
0.81	EPRT	Essential Properties	Pair Corr
0.74	WELL	Welltower	Pair Corr
0.73	ESBA	Empire State Realty	Pair Corr
0.79	ESRT	Empire State Realty	Pair Corr
0.69	WHLR	Wheeler Real Estate	Pair Corr
0.85	EXPI	eXp World Holdings	Pair Corr

Moving against Goldman Mutual Fund

0.65	MITT-PC	AG Mortgage Investment	Pair Corr
0.51	DX	Dynex Capital	Pair Corr
0.51	CDR-PC	Cedar Realty Trust	Pair Corr

Related Correlations Analysis

	FYAIX	NEAIX	TAHFX	MFHVX	XHIEX	GHVIX	ARTFX	AQRRX
FYAIX		0.78	0.84	0.77	0.46	0.81	0.71	0.91	FYAIX
NEAIX	0.78		0.8	0.76	0.65	0.79	0.75	0.85	NEAIX
TAHFX	0.84	0.8		0.87	0.56	0.92	0.92	0.89	TAHFX
MFHVX	0.77	0.76	0.87		0.68	0.87	0.91	0.87	MFHVX
XHIEX	0.46	0.65	0.56	0.68		0.62	0.63	0.6	XHIEX
GHVIX	0.81	0.79	0.92	0.87	0.62		0.92	0.9	GHVIX
ARTFX	0.71	0.75	0.92	0.91	0.63	0.92		0.85	ARTFX
AQRRX	0.91	0.85	0.89	0.87	0.6	0.9	0.85		AQRRX
	FYAIX	NEAIX	TAHFX	MFHVX	XHIEX	GHVIX	ARTFX	AQRRX

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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
FYAIX	0.19	0.00	(0.26)	0.12	0.24	(0.21)	0.30	(0.37)	1.44
NEAIX	1.16	0.05	0.01	0.19	1.43	(1.20)	2.28	(2.27)	9.37
TAHFX	0.14	0.02	(0.31)	0.54	0.00	(0.22)	0.37	(0.24)	1.22
MFHVX	0.11	0.01	(0.29)	0.79	0.00	(0.16)	0.24	(0.12)	0.59
XHIEX	0.13	0.01	(0.18)	0.21	0.08	(0.38)	0.32	(0.32)	2.41
GHVIX	0.15	0.02	(0.26)	1.19	0.07	(0.17)	0.24	(0.36)	0.96
ARTFX	0.11	0.02	(0.31)	(11.49)	0.00	(0.18)	0.44	(0.22)	1.10
AQRRX	0.43	0.05	(0.03)	0.34	0.46	(0.51)	0.93	(0.86)	3.04

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