Goldman Sachs Correlations

GCEDX Fund

USD 9.74 0.02 0.20%

The current 90-days correlation between Goldman Sachs Clean and Goldman Sachs Clean is 1.0 (i.e., No risk reduction). 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

Good diversification

The correlation between Goldman Sachs Clean and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Clean 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 Clean. 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 unemployment.

Moving together with Goldman Mutual Fund

0.78	GCEBX	Goldman Sachs Clean	Pair Corr
1.0	GCEEX	Goldman Sachs Clean	Pair Corr
0.9	GCEGX	Goldman Sachs Clean	Pair Corr
0.9	GCEJX	Goldman Sachs Clean	Pair Corr
0.9	GCEPX	Goldman Sachs Clean	Pair Corr
0.91	GGQPX	Goldman Sachs Growth	Pair Corr
0.85	GGRAX	Goldman Sachs Strategic	Pair Corr
0.85	GGRCX	Goldman Sachs Strategic	Pair Corr
0.77	GPPSX	Goldman Sachs Short	Pair Corr
0.92	FAIRX	The Fairholme	Pair Corr
0.96	EVFCX	Evaluator Conservative	Pair Corr
0.79	VMNVX	Vanguard Global Minimum	Pair Corr
0.84	RYPIX	Transportation Fund	Pair Corr
0.94	PLFIX	Largecap Sp 500	Pair Corr
0.76	OCMAX	Ocm Mutual Fund	Pair Corr
0.94	VPACX	Vanguard Pacific Stock	Pair Corr
0.87	PSILX	Spectrum International	Pair Corr
0.97	WAYRX	Western Asset High	Pair Corr
0.84	TEQAX	Touchstone Sustainability	Pair Corr
0.94	IAF	Aberdeen Australia	Pair Corr
0.8	XWDIX	Western Asset Diversified	Pair Corr
0.94	IISPX	Voya Solution 2055	Pair Corr
0.81	SIVIX	State Street Institu	Pair Corr

Related Correlations Analysis

	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGIX	GCGUX	GCGVX	GCFCX
GCEDX		1.0	0.9	0.9	0.9	0.85	0.0	0.37	0.67	GCEDX
GCEEX	1.0		0.9	0.9	0.9	0.85	0.0	0.37	0.67	GCEEX
GCEGX	0.9	0.9		1.0	1.0	0.92	0.0	0.07	0.57	GCEGX
GCEJX	0.9	0.9	1.0		1.0	0.92	0.0	0.07	0.57	GCEJX
GCEPX	0.9	0.9	1.0	1.0		0.92	0.0	0.07	0.57	GCEPX
GCGIX	0.85	0.85	0.92	0.92	0.92		0.0	0.18	0.46	GCGIX
GCGUX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	GCGUX
GCGVX	0.37	0.37	0.07	0.07	0.07	0.18	0.0		0.35	GCGVX
GCFCX	0.67	0.67	0.57	0.57	0.57	0.46	0.0	0.35		GCFCX
	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGIX	GCGUX	GCGVX	GCFCX

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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

GCEEX	+ 1.0	GCEDX
GCEJX	+ 1.0	GCEGX
GCEPX	+ 1.0	GCEGX
GCEPX	+ 1.0	GCEJX
GCGIX	+ 0.92	GCEGX
GCGIX	+ 0.92	GCEJX

High negative correlations

GCFCX	- 0.0	GCGUX
GCGVX	- 0.0	GCGUX
GCGUX	- 0.0	GCGIX
GCGUX	- 0.0	GCEPX
GCGUX	- 0.0	GCEJX
GCGUX	- 0.0	GCEGX

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
GCEDX	0.66	0.20	0.06	(3.51)	0.61	(0.84)	1.84	(1.40)	4.41
GCEEX	0.67	0.20	0.05	(3.51)	0.64	(0.83)	1.74	(1.40)	4.52
GCEGX	0.68	0.16	0.06	0.93	0.65	(0.87)	1.75	(1.41)	4.44
GCEJX	0.67	0.16	0.06	0.89	0.60	(0.82)	1.74	(1.40)	4.42
GCEPX	0.68	0.17	0.06	0.96	0.66	(0.88)	1.74	(1.40)	4.42
GCGIX	0.76	0.32	0.39	0.57	0.00	(1.00)	2.54	(1.13)	5.96
GCGUX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGVX	0.22	0.11	0.00	(4.50)	0.00	0.00	0.72	0.00	2.68
GCFCX	0.24	0.02	(0.33)	15.40	0.21	(0.30)	0.55	(0.44)	1.22

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