Goldman Sachs Correlations

GMJPX Fund

USD 13.19 0.04 0.30%

The current 90-days correlation between Goldman Sachs Real and John Hancock Government is -0.19 (i.e., Good 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

Significant diversification

The correlation between Goldman Sachs Real and DJI is 0.04 (i.e., Significant 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

0.93	VGSIX	Vanguard Reit Index	Pair Corr
0.72	VGSNX	Vanguard Reit Index	Pair Corr
0.71	DFREX	Dfa Real Estate	Pair Corr
0.86	CSCIX	Cohen Steers Real	Pair Corr
0.86	CSEIX	Cohen Steers Real	Pair Corr
0.67	CSDIX	Cohen Steers Real	Pair Corr
0.72	VRTPX	Vanguard Reit Ii	Pair Corr
0.72	PIREX	Real Estate Securities	Pair Corr

Moving against Goldman Mutual Fund

0.37

XOM

Exxon Mobil Corp Aggressive Push

Pair Corr

Related Correlations Analysis

	JGIFX	ICAXX	USGFX	VSBSX	LCCXX	RGVCX
JGIFX		0.0	0.92	0.75	0.0	0.91	JGIFX
ICAXX	0.0		0.0	0.0	0.0	0.0	ICAXX
USGFX	0.92	0.0		0.75	0.0	0.96	USGFX
VSBSX	0.75	0.0	0.75		0.0	0.81	VSBSX
LCCXX	0.0	0.0	0.0	0.0		0.0	LCCXX
RGVCX	0.91	0.0	0.96	0.81	0.0		RGVCX
	JGIFX	ICAXX	USGFX	VSBSX	LCCXX	RGVCX

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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

RGVCX	+ 0.96	USGFX
USGFX	+ 0.92	JGIFX
RGVCX	+ 0.91	JGIFX
RGVCX	+ 0.81	VSBSX
VSBSX	+ 0.75	JGIFX
VSBSX	+ 0.75	USGFX

High negative correlations

RGVCX	- 0.0	LCCXX
LCCXX	- 0.0	VSBSX
LCCXX	- 0.0	USGFX
RGVCX	- 0.0	ICAXX
LCCXX	- 0.0	ICAXX
VSBSX	- 0.0	ICAXX

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
JGIFX	0.24	(0.05)	0.00	(0.96)	0.00	0.00	0.50	(0.51)	1.41
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
USGFX	0.21	(0.05)	0.00	(1.04)	0.00	0.00	0.34	(0.42)	1.48
VSBSX	0.07	0.00	(0.96)	0.26	0.08	(0.09)	0.15	(0.10)	0.62
LCCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RGVCX	0.21	(0.04)	0.00	0.55	0.00	0.00	0.33	(0.42)	1.48

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