Goldman Sachs Correlations

GPIRX Fund

USD 16.26 0.05 0.31%

The current 90-days correlation between Goldman Sachs Growth and Abr 7525 Volatility is -0.01 (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

Poor diversification

The correlation between Goldman Sachs Growth and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Growth 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 Growth. 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 metropolitan statistical area.

Moving together with Goldman Mutual Fund

0.74	GCGIX	Goldman Sachs Large	Pair Corr
0.77	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.77	GCLLX	Goldman Sachs Flexible	Pair Corr
0.72	GCMAX	Goldman Sachs Mid	Pair Corr
0.72	GCMCX	Goldman Sachs Mid	Pair Corr
0.88	GCRTX	Goldman Sachs Absolute	Pair Corr
0.75	GCTAX	Goldman Sachs Tax	Pair Corr
0.67	GCTSX	Goldman Sachs Tax	Pair Corr
0.67	GCSCX	Goldman Sachs Small	Pair Corr
0.67	GCSSX	Goldman Sachs Small	Pair Corr
0.67	GCSUX	Goldman Sachs Small	Pair Corr
0.72	GCVAX	Goldman Sachs Large	Pair Corr
0.71	GCVTX	Goldman Sachs Large	Pair Corr
0.73	GEMAX	Goldman Sachs Emerging	Pair Corr
0.76	GFCUX	Goldman Sachs Flexible	Pair Corr
0.62	GGOIX	Goldman Sachs Growth	Pair Corr
0.86	TIGGX	Goldman Sachs Tax	Pair Corr
0.61	GGOAX	Goldman Sachs Growth	Pair Corr
0.98	GGPPX	Goldman Sachs Growth	Pair Corr
0.88	GGSPX	Goldman Sachs Growth	Pair Corr
0.98	GGSRX	Goldman Sachs Growth	Pair Corr
0.69	GGZPX	Goldman Sachs Flexible	Pair Corr

Related Correlations Analysis

	VOLJX	TQAAX	FIJFX	MFTFX	ADOIX	ABVCX
VOLJX		0.75	0.61	-0.11	0.69	0.78	VOLJX
TQAAX	0.75		0.66	-0.41	0.91	0.86	TQAAX
FIJFX	0.61	0.66		-0.41	0.72	0.73	FIJFX
MFTFX	-0.11	-0.41	-0.41		-0.58	-0.62	MFTFX
ADOIX	0.69	0.91	0.72	-0.58		0.89	ADOIX
ABVCX	0.78	0.86	0.73	-0.62	0.89		ABVCX
	VOLJX	TQAAX	FIJFX	MFTFX	ADOIX	ABVCX

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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

ADOIX	+ 0.91	TQAAX
ABVCX	+ 0.89	ADOIX
ABVCX	+ 0.86	TQAAX
ABVCX	+ 0.78	VOLJX
TQAAX	+ 0.75	VOLJX
ABVCX	+ 0.73	FIJFX

High negative correlations

ABVCX	- 0.62	MFTFX
ADOIX	- 0.58	MFTFX
MFTFX	- 0.41	FIJFX
MFTFX	- 0.41	TQAAX
MFTFX	- 0.11	VOLJX

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
VOLJX	0.78	0.05	(0.04)	(0.40)	1.21	(0.75)	1.47	(2.02)	4.97
TQAAX	0.83	(0.04)	(0.01)	0.07	0.98	(0.86)	1.97	(1.51)	6.10
FIJFX	0.77	0.06	(0.04)	(0.71)	0.87	(0.83)	1.90	(1.48)	5.17
MFTFX	0.93	(0.15)	0.00	(0.09)	0.00	0.00	1.68	(1.89)	5.42
ADOIX	0.45	(0.01)	(0.08)	0.07	0.63	(0.46)	1.16	(1.22)	3.31
ABVCX	0.53	0.12	0.03	(2.73)	0.31	(0.66)	1.09	(0.80)	3.88

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