Goldman Sachs Correlations

GSDIX Fund

USD 9.74 0.04 0.41%

The current 90-days correlation between Goldman Sachs Emerging and Barings Active Short is 0.56 (i.e., Very weak 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

Average diversification

The correlation between Goldman Sachs Emerging and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Emerging 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 Emerging. 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

0.61	GCEBX	Goldman Sachs Clean	Pair Corr
0.62	GCEDX	Goldman Sachs Clean	Pair Corr
0.61	GCEEX	Goldman Sachs Clean	Pair Corr
0.61	GCEGX	Goldman Sachs Clean	Pair Corr
0.62	GCEJX	Goldman Sachs Clean	Pair Corr
0.62	GCEPX	Goldman Sachs Clean	Pair Corr
0.67	GCFCX	Goldman Sachs E	Pair Corr
0.68	GCFIX	Goldman Sachs E	Pair Corr
0.69	GCFUX	Goldman Sachs E	Pair Corr
0.78	GCMDX	Goldman Sachs Local	Pair Corr

Related Correlations Analysis

	BXDCX	BSGAX	JSNIX	CDICX	LCSAX
BXDCX		0.87	0.79	0.46	-0.4	BXDCX
BSGAX	0.87		0.91	0.79	-0.02	BSGAX
JSNIX	0.79	0.91		0.77	0.06	JSNIX
CDICX	0.46	0.79	0.77		0.51	CDICX
LCSAX	-0.4	-0.02	0.06	0.51		LCSAX
	BXDCX	BSGAX	JSNIX	CDICX	LCSAX

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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

JSNIX	+ 0.91	BSGAX
BSGAX	+ 0.87	BXDCX
JSNIX	+ 0.79	BXDCX
CDICX	+ 0.79	BSGAX
CDICX	+ 0.77	JSNIX
LCSAX	+ 0.51	CDICX

High negative correlations

LCSAX	- 0.4	BXDCX
LCSAX	- 0.02	BSGAX

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
BXDCX	0.09	0.01	(0.83)	(0.50)	0.00	(0.16)	0.22	(0.11)	0.65
BSGAX	0.09	0.00	(0.76)	(0.12)	0.00	(0.16)	0.24	(0.12)	0.72
JSNIX	0.08	0.00	(0.90)	0.15	0.00	(0.17)	0.21	(0.11)	0.64
CDICX	0.09	0.00	(0.97)	0.27	0.06	(0.13)	0.26	(0.13)	0.64
LCSAX	0.25	(0.07)	0.00	(3.29)	0.00	0.00	0.33	(0.54)	1.69

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