Goldman Sachs Correlations

GEBCX Fund

USD 11.06 0.06 0.55%

The current 90-days correlation between Goldman Sachs Esg and Vanguard Health Care is 0.24 (i.e., Modest 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 Esg and DJI is 0.41 (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 Esg 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 Esg. 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 main economic indicators.

Moving together with Goldman Mutual Fund

0.62	SMPIX	Semiconductor Ultrasector	Pair Corr
0.62	SMPSX	Semiconductor Ultrasector	Pair Corr
0.61	RSNRX	Victory Global Natural	Pair Corr
0.61	RSNYX	Victory Global Natural	Pair Corr
0.61	RGNCX	Victory Global Natural	Pair Corr
0.62	CAT	Caterpillar	Pair Corr

Moving against Goldman Mutual Fund

0.58	MCD	McDonalds	Pair Corr
0.37	TRV	The Travelers Companies	Pair Corr

Related Correlations Analysis

	VHCIX	LHCCX	PJHRX	HHCZX	ETAHX	DLHAX
VHCIX		0.64	0.68	0.21	0.34	0.67	VHCIX
LHCCX	0.64		0.94	0.58	0.81	0.87	LHCCX
PJHRX	0.68	0.94		0.51	0.76	0.9	PJHRX
HHCZX	0.21	0.58	0.51		0.88	0.37	HHCZX
ETAHX	0.34	0.81	0.76	0.88		0.6	ETAHX
DLHAX	0.67	0.87	0.9	0.37	0.6		DLHAX
	VHCIX	LHCCX	PJHRX	HHCZX	ETAHX	DLHAX

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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
VHCIX	0.91	(0.17)	(0.13)	0.04	1.31	(0.88)	1.88	(2.43)	5.33
LHCCX	0.82	0.09	(0.13)	(0.33)	1.06	(0.82)	1.74	(1.76)	4.63
PJHRX	0.98	0.12	(0.10)	(0.26)	1.33	(0.92)	1.88	(2.25)	5.39
HHCZX	0.18	0.04	(0.58)	0.41	0.00	(0.24)	0.43	(0.35)	1.03
ETAHX	1.14	0.33	0.04	(0.98)	1.25	(1.21)	2.41	(1.87)	7.62
DLHAX	0.95	0.13	(0.10)	(0.23)	1.28	(0.99)	1.75	(2.13)	5.80

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