Goldman Sachs Correlations

GMJPX Fund

USD 11.98 0.03 0.25%

The current 90-days correlation between Goldman Sachs Real and Matson Money Equity is -0.14 (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 Real and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Real 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 Real. 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 american community survey.

Moving together with Goldman Mutual Fund

0.66	DX	Dynex Capital Earnings Call This Week	Pair Corr
0.71	FR	First Industrial Realty	Pair Corr
0.67	OZ	Belpointe PREP LLC	Pair Corr
0.63	AHT-PH	Ashford Hospitality Trust	Pair Corr
0.64	AHT-PI	Ashford Hospitality Trust	Pair Corr
0.68	AHT-PD	Ashford Hospitality Trust	Pair Corr
0.66	AHT-PF	Ashford Hospitality Trust	Pair Corr
0.69	AHT-PG	Ashford Hospitality Trust	Pair Corr
0.62	DOUG	Douglas Elliman	Pair Corr
0.76	VNO-PL	Vornado Realty Trust	Pair Corr
0.74	VNO-PM	Vornado Realty Trust	Pair Corr
0.71	VNO-PN	Vornado Realty Trust	Pair Corr
0.62	MITT-PA	AG Mortgage Investment	Pair Corr
0.77	MITT-PB	AG Mortgage Investment	Pair Corr
0.78	MITT-PC	AG Mortgage Investment	Pair Corr
0.75	ELME	Elme Communities	Pair Corr
0.61	WELL	Welltower	Pair Corr
0.64	ESBA	Empire State Realty	Pair Corr
0.69	CDR-PC	Cedar Realty Trust	Pair Corr
0.63	ESRT	Empire State Realty Earnings Call This Week	Pair Corr

Moving against Goldman Mutual Fund

0.33	UK	Ucommune International	Pair Corr
0.67	WETH	Wetouch Technology Common	Pair Corr
0.6	WHLR	Wheeler Real Estate	Pair Corr
0.54	ADC	Agree Realty Earnings Call This Week	Pair Corr

Related Correlations Analysis

	FMVUX	VMRXX	PBMXX	STSEX	NSIOX	TIMTX
FMVUX		0.76	0.76	0.98	0.74	0.84	FMVUX
VMRXX	0.76		1.0	0.81	0.84	0.82	VMRXX
PBMXX	0.76	1.0		0.81	0.84	0.82	PBMXX
STSEX	0.98	0.81	0.81		0.76	0.84	STSEX
NSIOX	0.74	0.84	0.84	0.76		0.96	NSIOX
TIMTX	0.84	0.82	0.82	0.84	0.96		TIMTX
	FMVUX	VMRXX	PBMXX	STSEX	NSIOX	TIMTX

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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
FMVUX	0.77	0.08	0.08	0.21	0.70	(0.89)	1.98	(1.37)	5.60
VMRXX	0.03	0.01	0.00	4.42	0.00	0.00	0.00	0.00	1.01
PBMXX	0.03	0.01	0.00	4.42	0.00	0.00	0.00	0.00	1.01
STSEX	0.57	0.07	0.04	0.22	0.45	(0.62)	1.60	(0.93)	3.33
NSIOX	0.18	0.02	(0.41)	(0.26)	0.15	(0.25)	0.42	(0.31)	1.58
TIMTX	0.14	0.02	(0.53)	(0.63)	0.00	(0.19)	0.29	(0.29)	1.17

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