Goldman Sachs Correlations

GMVAX Fund

USD 17.85 0.26 1.48%

The current 90-days correlation between Goldman Sachs Smallmid and Goldman Sachs Clean is -0.04 (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

Very poor diversification

The correlation between Goldman Sachs Smallmid and DJI is 0.87 (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 Smallmid 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 Smallmid. 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

0.91	GCGIX	Goldman Sachs Large	Pair Corr
0.95	GCLLX	Goldman Sachs Flexible	Pair Corr
0.93	GCMCX	Goldman Sachs Mid	Pair Corr
0.96	GCTAX	Goldman Sachs Tax	Pair Corr
0.99	GCSSX	Goldman Sachs Small	Pair Corr
0.99	GCSUX	Goldman Sachs Small	Pair Corr
0.96	GCVTX	Goldman Sachs Large	Pair Corr
0.94	GFCUX	Goldman Sachs Flexible	Pair Corr
0.91	GGOIX	Goldman Sachs Growth	Pair Corr
0.91	GGOSX	Goldman Sachs Growth	Pair Corr
0.71	GGNPX	Goldman Sachs High	Pair Corr
0.81	GGPPX	Goldman Sachs Growth	Pair Corr
0.73	GGSPX	Goldman Sachs Growth	Pair Corr
0.94	GGZPX	Goldman Sachs Flexible	Pair Corr
0.91	GISTX	Goldman Sachs Technology	Pair Corr
0.72	GJRTX	Goldman Sachs Absolute	Pair Corr
0.91	GLCTX	Goldman Sachs Large	Pair Corr
0.84	GLECX	Goldman Sachs Mlp	Pair Corr
0.82	GLPCX	Goldman Sachs Mlp	Pair Corr
0.82	GLPIX	Goldman Sachs Mlp	Pair Corr
0.82	GLPRX	Goldman Sachs Mlp	Pair Corr
0.82	GLPSX	Goldman Sachs Mlp	Pair Corr
0.82	GMLPX	Goldman Sachs Mlp	Pair Corr

Moving against Goldman Mutual Fund

0.68	GCEBX	Goldman Sachs Clean	Pair Corr
0.68	GCEDX	Goldman Sachs Clean	Pair Corr
0.68	GCEEX	Goldman Sachs Clean	Pair Corr
0.68	GCEGX	Goldman Sachs Clean	Pair Corr
0.68	GCEJX	Goldman Sachs Clean	Pair Corr
0.67	GCEPX	Goldman Sachs Clean	Pair Corr
0.54	GGXPX	Goldman Sachs Global	Pair Corr
0.51	GCITX	Goldman Sachs Intern	Pair Corr
0.51	GGJPX	Goldman Sachs Inflation	Pair Corr
0.39	GICIX	Goldman Sachs Intern	Pair Corr
0.6	GIDCX	Goldman Sachs Intern	Pair Corr
0.53	GARGX	Goldman Sachs Global	Pair Corr
0.52	GARSX	Goldman Sachs Global	Pair Corr

Related Correlations Analysis

	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX
GCEBX		1.0	1.0	1.0	1.0	1.0	0.0	0.0	-0.69	0.0	GCEBX
GCEDX	1.0		1.0	1.0	1.0	1.0	0.0	0.0	-0.69	0.0	GCEDX
GCEEX	1.0	1.0		1.0	1.0	1.0	0.0	0.0	-0.69	0.0	GCEEX
GCEGX	1.0	1.0	1.0		1.0	1.0	0.0	0.0	-0.69	0.0	GCEGX
GCEJX	1.0	1.0	1.0	1.0		1.0	0.0	0.0	-0.69	0.0	GCEJX
GCEPX	1.0	1.0	1.0	1.0	1.0		0.0	0.0	-0.69	0.0	GCEPX
GCGAX	0.0	0.0	0.0	0.0	0.0	0.0		-1.0	0.0	1.0	GCGAX
GCGCX	0.0	0.0	0.0	0.0	0.0	0.0	-1.0		0.0	-1.0	GCGCX
GCGIX	-0.69	-0.69	-0.69	-0.69	-0.69	-0.69	0.0	0.0		0.0	GCGIX
GCGUX	0.0	0.0	0.0	0.0	0.0	0.0	1.0	-1.0	0.0		GCGUX
	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX

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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

GCEDX	+ 1.0	GCEBX
GCEEX	+ 1.0	GCEBX
GCEGX	+ 1.0	GCEBX
GCEJX	+ 1.0	GCEBX
GCEPX	+ 1.0	GCEBX
GCEEX	+ 1.0	GCEDX

High negative correlations

GCGUX	- 1.0	GCGCX
GCGCX	- 1.0	GCGAX
GCGIX	- 0.69	GCEPX
GCGIX	- 0.69	GCEJX
GCGIX	- 0.69	GCEGX
GCGIX	- 0.69	GCEEX

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
GCEBX	0.75	(0.10)	0.00	0.73	0.00	0.00	1.36	(1.75)	8.34
GCEDX	0.76	(0.10)	0.00	0.78	0.00	0.00	1.36	(1.75)	8.22
GCEEX	0.75	(0.10)	0.00	0.70	0.00	0.00	1.36	(1.75)	8.22
GCEGX	0.76	(0.11)	0.00	0.71	0.00	0.00	1.37	(1.66)	8.28
GCEJX	0.76	(0.10)	0.00	0.76	0.00	0.00	1.36	(1.75)	8.23
GCEPX	0.76	(0.10)	0.00	0.76	0.00	0.00	1.46	(1.64)	8.33
GCGAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGIX	0.75	0.00	(0.01)	0.12	1.05	(0.75)	1.72	(1.85)	5.28
GCGUX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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