Goldman Sachs Correlations

GSXPX Fund

USD 69.30 2.10 3.12%

The current 90-days correlation between Goldman Sachs Small and Mesirow Financial Small is 0.92 (i.e., Almost no 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 Small and DJI is 0.84 (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 Small 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 Small. 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

0.8	GCGIX	Goldman Sachs Large	Pair Corr
0.77	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.82	GCMRX	Goldman Sachs Mid	Pair Corr
0.81	GCMTX	Goldman Sachs Mid	Pair Corr
0.81	GCMUX	Goldman Sachs Mid	Pair Corr
0.84	GCLLX	Goldman Sachs Flexible	Pair Corr
0.89	GCLSX	Goldman Sachs Large	Pair Corr
0.82	GCMAX	Goldman Sachs Mid	Pair Corr
0.82	GCMCX	Goldman Sachs Mid	Pair Corr
0.87	GCTAX	Goldman Sachs Tax	Pair Corr
0.87	GCTCX	Goldman Sachs Tax	Pair Corr
0.87	GCTIX	Goldman Sachs Tax	Pair Corr
0.87	GCTRX	Goldman Sachs Tax	Pair Corr
0.87	GCTSX	Goldman Sachs Tax	Pair Corr
0.98	GCSAX	Goldman Sachs Small	Pair Corr
0.98	GCSCX	Goldman Sachs Small	Pair Corr
0.98	GCSIX	Goldman Sachs Small	Pair Corr

Moving against Goldman Mutual Fund

0.64	GCEBX	Goldman Sachs Clean	Pair Corr
0.64	GCEDX	Goldman Sachs Clean	Pair Corr
0.64	GCEEX	Goldman Sachs Clean	Pair Corr
0.64	GCEGX	Goldman Sachs Clean	Pair Corr
0.64	GCEJX	Goldman Sachs Clean	Pair Corr
0.64	GCEPX	Goldman Sachs Clean	Pair Corr
0.58	GCFCX	Goldman Sachs E	Pair Corr
0.57	GCFIX	Goldman Sachs E	Pair Corr
0.57	GCFUX	Goldman Sachs E	Pair Corr
0.44	GCICX	Goldman Sachs Intern	Pair Corr
0.44	GCIRX	Goldman Sachs Intern	Pair Corr
0.44	GCISX	Goldman Sachs Intern	Pair Corr
0.44	GCIAX	Goldman Sachs Intern	Pair Corr
0.43	GCIIX	Goldman Sachs Intern	Pair Corr
0.43	GCITX	Goldman Sachs Intern	Pair Corr
0.43	GCIUX	Goldman Sachs Intern	Pair Corr
0.57	GDFRX	Goldman Sachs E	Pair Corr
0.57	GDFTX	Goldman Sachs E	Pair Corr
0.37	GCTMX	Goldman Sachs Intern	Pair Corr
0.33	GDICX	Goldman Sachs Short	Pair Corr

Related Correlations Analysis

	MSVIX	RGFIX	FTIXX	VFAIX	BTO	SBFAX
MSVIX		0.0	0.19	0.77	0.77	0.76	MSVIX
RGFIX	0.0		0.0	0.0	0.0	0.0	RGFIX
FTIXX	0.19	0.0		0.34	0.29	0.35	FTIXX
VFAIX	0.77	0.0	0.34		0.98	1.0	VFAIX
BTO	0.77	0.0	0.29	0.98		0.99	BTO
SBFAX	0.76	0.0	0.35	1.0	0.99		SBFAX
	MSVIX	RGFIX	FTIXX	VFAIX	BTO	SBFAX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

SBFAX	+ 1.0	VFAIX
SBFAX	+ 0.99	BTO
BTO	+ 0.98	VFAIX
VFAIX	+ 0.77	MSVIX
BTO	+ 0.77	MSVIX
SBFAX	+ 0.76	MSVIX

High negative correlations

SBFAX	- 0.0	RGFIX
BTO	- 0.0	RGFIX
VFAIX	- 0.0	RGFIX
FTIXX	- 0.0	RGFIX
RGFIX	- 0.0	MSVIX

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
MSVIX	0.82	(0.06)	(0.02)	0.08	0.83	(0.95)	2.14	(1.41)	5.71
RGFIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FTIXX	0.03	0.01	0.00	(0.30)	0.00	0.00	0.00	0.00	1.01
VFAIX	0.78	0.08	0.15	0.18	0.51	(0.93)	1.77	(1.22)	8.51
BTO	0.98	0.16	0.20	0.23	0.67	(1.10)	2.02	(1.32)	9.88
SBFAX	0.82	0.09	0.15	0.19	0.49	(0.97)	1.73	(1.44)	8.60

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC