Goldman Sachs Correlations

GSJY Etf

USD 38.76 0.94 2.49%

The current 90-days correlation between Goldman Sachs ActiveBeta and Goldman Sachs ActiveBeta is 0.61 (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

Very weak diversification

The correlation between Goldman Sachs ActiveBeta and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs ActiveBeta 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 ActiveBeta. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in inflation.

Moving together with Goldman Etf

0.99	EWJ	iShares MSCI Japan	Pair Corr
0.85	BBJP	JPMorgan BetaBuilders Low Volatility	Pair Corr
0.99	FLJP	Franklin FTSE Japan	Pair Corr
0.92	DFJ	WisdomTree Japan SmallCap	Pair Corr
0.96	EWJV	iShares MSCI Japan	Pair Corr
0.92	SCJ	iShares MSCI Japan	Pair Corr
0.98	JPXN	iShares JPX Nikkei	Pair Corr
0.61	YCL	ProShares Ultra Yen	Pair Corr
0.67	VIIX	VIIX	Pair Corr
0.64	ULE	ProShares Ultra Euro	Pair Corr
0.63	FXY	Invesco CurrencyShares	Pair Corr
0.67	KO	Coca Cola Aggressive Push	Pair Corr
0.79	MMM	3M Company Fiscal Year End 28th of January 2025	Pair Corr

Moving against Goldman Etf

0.65	TSJA	TSJA	Pair Corr
0.65	DSJA	DSJA	Pair Corr
0.52	BTC	Grayscale Bitcoin Mini	Pair Corr
0.51	EOS	Eaton Vance Enhanced	Pair Corr
0.44	SIXD	AIM ETF Products	Pair Corr
0.68	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.58	T	ATT Inc Fiscal Year End 22nd of January 2025	Pair Corr
0.56	BAC	Bank of America Aggressive Push	Pair Corr
0.52	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.46	DIS	Walt Disney Sell-off Trend	Pair Corr
0.41	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.35	ETH	Grayscale Ethereum Mini	Pair Corr
0.32	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr

Related Correlations Analysis

	GSEU	GSIE	HEWU	HSCZ	FJP
GSEU		0.9	0.73	0.16	0.55	GSEU
GSIE	0.9		0.62	0.3	0.63	GSIE
HEWU	0.73	0.62		-0.27	0.35	HEWU
HSCZ	0.16	0.3	-0.27		0.47	HSCZ
FJP	0.55	0.63	0.35	0.47		FJP
	GSEU	GSIE	HEWU	HSCZ	FJP

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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

GSIE	+ 0.9	GSEU
HEWU	+ 0.73	GSEU
FJP	+ 0.63	GSIE
HEWU	+ 0.62	GSIE
FJP	+ 0.55	GSEU
FJP	+ 0.47	HSCZ

High negative correlations

HSCZ

- 0.27

HEWU

Goldman Sachs Constituents Risk-Adjusted Indicators

There is a big difference between Goldman Etf performing well and Goldman Sachs ETF 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
GSEU	0.65	(0.15)	0.00	(0.30)	0.00	0.00	1.08	(1.40)	4.11
GSIE	0.60	(0.07)	0.00	10.57	0.00	0.00	1.10	(1.21)	3.51
HEWU	0.52	(0.05)	0.00	(0.66)	0.00	0.00	1.14	(1.31)	3.62
HSCZ	0.53	(0.05)	(0.14)	0.04	0.68	(0.55)	1.42	(1.29)	3.60
FJP	1.13	(0.07)	(0.08)	0.01	1.53	(1.12)	2.15	(2.48)	6.09

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