Goldman Sachs Correlations

GMMPX Fund

USD 11.40 0.05 0.44%

The current 90-days correlation between Goldman Sachs Multi and Franklin Real Estate is 0.02 (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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios. 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

0.81	BXMYX	Blackstone Alternative	Pair Corr
0.81	BXMIX	Blackstone Alternative	Pair Corr
0.81	BXMDX	Blackstone Alternative	Pair Corr
0.73	GARTX	Goldman Sachs Absolute	Pair Corr
0.72	GCRTX	Goldman Sachs Absolute	Pair Corr
0.68	FPXIX	Fidelity Advisor 529	Pair Corr
0.76	GPICX	Guidepath Conservative	Pair Corr
0.66	CSCO	Cisco Systems	Pair Corr
0.84	CAT	Caterpillar	Pair Corr
0.74	GE	GE Aerospace	Pair Corr
0.8	IBM	International Business	Pair Corr

Moving against Goldman Mutual Fund

0.86	T	ATT Inc	Pair Corr
0.84	PG	Procter Gamble	Pair Corr
0.76	VZ	Verizon Communications	Pair Corr
0.63	DIS	Walt Disney	Pair Corr
0.6	BA	Boeing	Pair Corr
0.43	CVX	Chevron Corp Sell-off Trend	Pair Corr

Related Correlations Analysis

	FSERX	SRPIX	NMMRF	FREAX	VREQX
FSERX		-0.81	0.04	0.88	0.94	FSERX
SRPIX	-0.81		-0.06	-0.47	-0.66	SRPIX
NMMRF	0.04	-0.06		0.11	-0.03	NMMRF
FREAX	0.88	-0.47	0.11		0.89	FREAX
VREQX	0.94	-0.66	-0.03	0.89		VREQX
	FSERX	SRPIX	NMMRF	FREAX	VREQX

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

VREQX	+ 0.94	FSERX
VREQX	+ 0.89	FREAX
FREAX	+ 0.88	FSERX
FREAX	+ 0.11	NMMRF
NMMRF	+ 0.04	FSERX

High negative correlations

SRPIX	- 0.81	FSERX
VREQX	- 0.66	SRPIX
FREAX	- 0.47	SRPIX
NMMRF	- 0.06	SRPIX
VREQX	- 0.03	NMMRF

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
FSERX	0.58	(0.02)	(0.04)	(0.02)	0.76	(0.66)	1.29	(1.20)	3.78
SRPIX	0.61	0.05	0.02	(0.08)	0.69	(0.68)	1.38	(1.34)	4.15
NMMRF	0.07	0.02	0.00	2.39	0.00	0.00	0.00	0.00	2.32
FREAX	0.61	0.01	0.00	0.04	0.76	(0.68)	1.37	(1.18)	3.83
VREQX	0.61	(0.01)	(0.03)	(0.01)	0.79	(0.66)	1.27	(1.27)	3.72

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