Goldman Sachs Correlations

GCMTX Fund

USD 36.62 0.72 1.93%

The current 90-days correlation between Goldman Sachs Mid and Goldman Sachs Clean is -0.23 (i.e., Very 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

Good diversification

The correlation between Goldman Sachs Mid and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Mid 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 Mid. 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 manufacturing.

Moving together with Goldman Mutual Fund

0.61	GCMRX	Goldman Sachs Mid	Pair Corr
0.61	GCMAX	Goldman Sachs Mid	Pair Corr

Related Correlations Analysis

	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGIX	GCFCX	GCFIX	GCFUX
GCEBX		1.0	1.0	1.0	0.98	1.0	0.73	0.75	0.76	0.73	GCEBX
GCEDX	1.0		1.0	1.0	0.98	1.0	0.73	0.75	0.76	0.73	GCEDX
GCEEX	1.0	1.0		1.0	0.98	1.0	0.73	0.75	0.76	0.73	GCEEX
GCEGX	1.0	1.0	1.0		0.98	1.0	0.73	0.75	0.76	0.73	GCEGX
GCEJX	0.98	0.98	0.98	0.98		0.98	0.77	0.75	0.76	0.74	GCEJX
GCEPX	1.0	1.0	1.0	1.0	0.98		0.73	0.75	0.76	0.73	GCEPX
GCGIX	0.73	0.73	0.73	0.73	0.77	0.73		0.87	0.87	0.84	GCGIX
GCFCX	0.75	0.75	0.75	0.75	0.75	0.75	0.87		1.0	0.97	GCFCX
GCFIX	0.76	0.76	0.76	0.76	0.76	0.76	0.87	1.0		0.97	GCFIX
GCFUX	0.73	0.73	0.73	0.73	0.74	0.73	0.84	0.97	0.97		GCFUX
	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGIX	GCFCX	GCFIX	GCFUX

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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
GCEBX	0.78	0.23	0.15	(0.86)	0.72	(0.90)	2.12	(0.97)	4.04
GCEDX	0.78	0.24	0.14	(0.83)	0.76	(0.94)	2.12	(0.97)	4.14
GCEEX	0.78	0.23	0.15	(0.90)	0.72	(0.88)	2.12	(0.97)	4.04
GCEGX	0.78	0.23	0.14	(0.80)	0.76	(0.91)	2.13	(0.98)	4.07
GCEJX	0.76	0.19	0.16	0.33	0.73	(0.89)	2.12	(1.06)	6.31
GCEPX	0.78	0.23	0.15	(0.90)	0.74	(0.88)	2.12	(1.06)	4.04
GCGIX	0.70	0.00	0.00	0.07	1.01	(0.66)	1.54	(1.70)	4.64
GCFCX	0.18	0.02	(0.20)	0.81	0.11	(0.22)	0.43	(0.32)	1.08
GCFIX	0.19	0.02	(0.19)	1.14	0.10	(0.22)	0.43	(0.32)	0.97
GCFUX	0.19	0.02	(0.18)	0.47	0.08	(0.23)	0.43	(0.32)	1.08

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Goldman Sachs Correlations

Goldman Sachs Correlation With Market

Good diversification

Moving together with Goldman Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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