Goldman Sachs Correlations

GFIRX Fund

USD 9.02 0.04 0.44%

The current 90-days correlation between Goldman Sachs Managed and Pimco Trends Managed is -0.09 (i.e., 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 Managed and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Managed 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 Managed. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with GOLDMAN Mutual Fund

0.82	AQMRX	Aqr Managed Futures	Pair Corr
0.81	PQTAX	Pimco Trends Managed	Pair Corr
0.86	PQTNX	Pimco Trends Managed	Pair Corr
0.85	AHLPX	American Beacon Ahl	Pair Corr
0.82	AMFNX	Asg Managed Futures	Pair Corr
0.85	ABYAX	Abbey Capital Futures	Pair Corr
0.84	ABYIX	Abbey Capital Futures	Pair Corr
0.9	ABYCX	Abbey Capital Futures	Pair Corr
0.81	AMFAX	Asg Managed Futures	Pair Corr
0.8	ASFCX	Asg Managed Futures	Pair Corr
0.77	XDSMX	Dreyfus Strategic	Pair Corr
0.75	XNXJX	Nuveen New Jersey	Pair Corr
0.81	NXJ	Nuveen New Jersey	Pair Corr
0.7	XNBHX	Neuberger Berman Int	Pair Corr
0.83	ETAHX	Eventide Healthcare Life Steady Growth	Pair Corr
0.84	GEMRX	Aberdeen Emerging Markets	Pair Corr
0.82	FSELX	Fidelity Select Semi	Pair Corr
0.7	TIGRX	Tiaa Cref Growth	Pair Corr
0.77	RYCCX	Nasdaq 100 2x	Pair Corr
0.9	PJHRX	Prudential Health	Pair Corr
0.88	FHTFX	Federated Municipal High	Pair Corr
0.85	GPICX	Guidepath Conservative	Pair Corr
0.77	WDIAX	Wilmington Diversified	Pair Corr
0.7	MWTNX	Metropolitan West Total	Pair Corr
0.81	FPXIX	Fidelity Advisor 529	Pair Corr
0.72	OGLIX	Oppenheimer Global	Pair Corr

Moving against GOLDMAN Mutual Fund

0.48

PCF

Putnam High Income

Pair Corr

Related Correlations Analysis

	PQTAX	PQTNX	AHLPX	ABYIX	ABYCX	AMFAX
PQTAX		0.99	0.98	0.92	0.8	0.84	PQTAX
PQTNX	0.99		0.99	0.93	0.86	0.87	PQTNX
AHLPX	0.98	0.99		0.96	0.87	0.9	AHLPX
ABYIX	0.92	0.93	0.96		0.95	0.96	ABYIX
ABYCX	0.8	0.86	0.87	0.95		0.95	ABYCX
AMFAX	0.84	0.87	0.9	0.96	0.95		AMFAX
	PQTAX	PQTNX	AHLPX	ABYIX	ABYCX	AMFAX

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
PQTAX	0.37	0.07	0.10	0.22	0.31	(0.48)	0.80	(0.79)	2.67
PQTNX	0.38	0.05	0.06	0.17	0.41	(0.46)	0.69	(0.80)	2.81
AHLPX	0.58	0.10	0.12	0.21	0.56	(0.65)	1.24	(1.23)	3.27
ABYIX	0.38	0.05	0.06	0.16	0.40	(0.45)	0.91	(0.63)	2.62
ABYCX	0.37	0.03	0.04	0.11	0.39	(0.46)	0.95	(0.67)	2.57
AMFAX	0.55	0.01	0.01	0.04	0.71	(0.60)	1.19	(1.20)	3.58

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