Goldman Sachs Correlations

GEADX Fund

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The current 90-days correlation between Goldman Sachs Enhanced and Goldman Sachs Clean is 0.07 (i.e., Significant 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

Significant diversification

The correlation between Goldman Sachs Enhanced and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Enhanced 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 Enhanced. 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

0.92	GCEBX	Goldman Sachs Clean	Pair Corr
0.93	GCEDX	Goldman Sachs Clean	Pair Corr
0.93	GCEEX	Goldman Sachs Clean	Pair Corr
0.92	GCEGX	Goldman Sachs Clean	Pair Corr
0.93	GCEJX	Goldman Sachs Clean	Pair Corr
0.93	GCEPX	Goldman Sachs Clean	Pair Corr
0.91	GCIAX	Goldman Sachs Intern	Pair Corr
0.92	GCSAX	Goldman Sachs Small	Pair Corr
0.91	GCVAX	Goldman Sachs Large	Pair Corr
0.92	GDSRX	Goldman Sachs Small	Pair Corr
0.91	GEMAX	Goldman Sachs Emerging	Pair Corr
0.61	GGIDX	Goldman Sachs Global	Pair Corr
0.9	GGOTX	Goldman Sachs Growth	Pair Corr
0.9	GGQPX	Goldman Sachs Growth	Pair Corr
0.92	GGRAX	Goldman Sachs Strategic	Pair Corr
0.92	GGRCX	Goldman Sachs Strategic	Pair Corr
0.91	GISTX	Goldman Sachs Technology	Pair Corr
0.91	GLCGX	Goldman Sachs Large	Pair Corr
0.97	GMCPX	Goldman Sachs Short	Pair Corr
0.73	GMJPX	Goldman Sachs Real	Pair Corr
0.9	GMPPX	Goldman Sachs Mid	Pair Corr
0.95	GPPSX	Goldman Sachs Short	Pair Corr
0.75	GREAX	Goldman Sachs Real	Pair Corr
0.74	GREIX	Goldman Sachs Real	Pair Corr
0.92	GAHPX	Goldman Sachs Emerging	Pair Corr
0.79	GSAPX	Goldman Sachs Inflation	Pair Corr
0.91	GSESX	Goldman Sachs Equity	Pair Corr
0.77	GSUAX	Goldman Sachs Mortgages	Pair Corr
0.89	GSYPX	Goldman Sachs Small	Pair Corr
0.91	GSXPX	Goldman Sachs Small	Pair Corr
0.94	PTSPX	Pimco Short Term	Pair Corr
0.94	PTSHX	Short Term Fund	Pair Corr
0.97	PSFAX	Short Term Fund	Pair Corr
0.93	PTSRX	Short Term Fund	Pair Corr
0.98	PSDNX	Putnam Ultra Short	Pair Corr
0.99	LUSNX	Lord Abbett Ultra	Pair Corr
0.95	VUBFX	Vanguard Ultra Short	Pair Corr
0.96	PSDRX	Putnam Short Duration	Pair Corr

Related Correlations Analysis

	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGIX	GCGUX	GCGVX	GCFCX
GCEBX		0.98	0.98	0.98	0.98	0.98	0.93	0.0	0.53	0.71	GCEBX
GCEDX	0.98		1.0	1.0	1.0	1.0	0.94	0.0	0.52	0.71	GCEDX
GCEEX	0.98	1.0		1.0	1.0	1.0	0.94	0.0	0.52	0.71	GCEEX
GCEGX	0.98	1.0	1.0		1.0	1.0	0.93	0.0	0.52	0.71	GCEGX
GCEJX	0.98	1.0	1.0	1.0		1.0	0.94	0.0	0.52	0.71	GCEJX
GCEPX	0.98	1.0	1.0	1.0	1.0		0.94	0.0	0.52	0.71	GCEPX
GCGIX	0.93	0.94	0.94	0.93	0.94	0.94		0.0	0.71	0.61	GCGIX
GCGUX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	GCGUX
GCGVX	0.53	0.52	0.52	0.52	0.52	0.52	0.71	0.0		0.44	GCGVX
GCFCX	0.71	0.71	0.71	0.71	0.71	0.71	0.61	0.0	0.44		GCFCX
	GCEBX	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
GCEGX	+ 1.0	GCEDX
GCEJX	+ 1.0	GCEDX
GCEPX	+ 1.0	GCEDX
GCEGX	+ 1.0	GCEEX
GCEJX	+ 1.0	GCEEX

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
GCEBX	0.68	0.23	0.08	(3.67)	0.60	(0.84)	1.84	(1.31)	4.42
GCEDX	0.66	0.17	0.06	1.02	0.61	(0.82)	1.84	(1.40)	4.41
GCEEX	0.67	0.18	0.06	1.16	0.65	(0.81)	1.74	(1.40)	4.52
GCEGX	0.67	0.17	0.06	1.09	0.64	(0.85)	1.75	(1.41)	4.44
GCEJX	0.66	0.17	0.06	1.03	0.60	(0.80)	1.74	(1.40)	4.42
GCEPX	0.66	0.17	0.06	1.14	0.65	(0.85)	1.74	(1.40)	4.42
GCGIX	0.81	0.31	0.16	(6.42)	0.66	(0.99)	2.54	(1.32)	5.96
GCGUX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGVX	0.24	0.04	0.00	1.42	0.00	0.00	0.73	(0.06)	3.10
GCFCX	0.26	0.02	(0.32)	(2.87)	0.22	(0.31)	0.55	(0.55)	1.22

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