Goldman Sachs Correlations

GS Stock

USD 789.65 7.13 0.89%

The current 90-days correlation between Goldman Sachs Group and Morgan Stanley is 0.89 (i.e., Very poor 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

Poor diversification

The correlation between Goldman Sachs Group and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Group and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Goldman Stock

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Goldman Sachs Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in manufacturing.

Moving together with Goldman Stock

0.86	TLKMF	Telkom Indonesia Tbk	Pair Corr
0.83	PTAIY	Astra International Tbk	Pair Corr
0.73	MBI	MBIA Inc	Pair Corr
0.87	FOLD	Amicus Therapeutics	Pair Corr
0.79	NPSKY	NSK Ltd ADR	Pair Corr
0.78	AGZNF	Aegean Airlines SA	Pair Corr
0.61	PHVS	Pharvaris BV	Pair Corr
0.82	OBE	Obsidian Energy	Pair Corr
0.73	ESEA	Euroseas	Pair Corr
0.84	REI	Ring Energy	Pair Corr
0.91	BTE	Baytex Energy Corp Aggressive Push	Pair Corr
0.81	HOOD	Robinhood Markets	Pair Corr
0.86	IDR	Idaho Strategic Resources Downward Rally	Pair Corr
0.92	ENTO	Entero Therapeutics,	Pair Corr
0.84	RMCO	Royalty Management	Pair Corr
0.81	WBTNF	Weebit Nano Limited Tech Boost	Pair Corr
0.71	EMMS	Emmis Communications Corp Earnings Call Tomorrow	Pair Corr

Moving against Goldman Stock

0.75	PPERY	Bank Mandiri Persero	Pair Corr
0.65	PBCRF	PT Bank Central	Pair Corr
0.6	PTAIF	PT Astra International	Pair Corr
0.54	PPERF	Bank Mandiri Persero	Pair Corr
0.53	BKRKF	PT Bank Rakyat	Pair Corr
0.4	CREQF	China Rare Earth	Pair Corr
0.54	VRPX	Virpax Pharmaceuticals	Pair Corr
0.37	WSNAF	Wesana Health Holdings	Pair Corr

Related Correlations Analysis

	MS	JPM	WFC	C	AXP
MS		0.92	0.55	0.88	0.85	MS
JPM	0.92		0.66	0.92	0.79	JPM
WFC	0.55	0.66		0.51	0.74	WFC
C	0.88	0.92	0.51		0.65	C
AXP	0.85	0.79	0.74	0.65		AXP
	MS	JPM	WFC	C	AXP

Risk-Adjusted Indicators

There is a big difference between Goldman Stock performing well and Goldman Sachs Company 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
MS	0.86	0.05	0.05	0.11	1.05	(0.86)	1.63	(1.79)	4.98
JPM	0.77	0.01	0.01	0.08	1.08	(0.77)	1.69	(1.51)	4.93
WFC	1.08	(0.09)	0.00	(0.01)	0.00	0.00	1.95	(3.51)	6.53
C	1.09	0.10	0.09	0.14	1.16	(1.21)	2.88	(2.00)	6.46
AXP	1.01	(0.09)	(0.03)	0.01	1.25	(1.14)	2.36	(2.26)	6.53

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