Goldman Sachs Correlations
| GSMIX Fund | USD 15.00 0.00 0.00% |
The current 90-days correlation between Goldman Sachs Dynamic and Sa Real Estate 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
Good diversification
The correlation between Goldman Sachs Dynamic and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Dynamic and DJI in the same portfolio, assuming nothing else is changed.
Goldman |
Moving together with Goldman Mutual Fund
| 0.66 | GCEEX | Goldman Sachs Clean | PairCorr |
| 0.66 | GCEGX | Goldman Sachs Clean | PairCorr |
| 0.68 | GCGIX | Goldman Sachs Large | PairCorr |
| 0.65 | GCGVX | Goldman Sachs Dynamic | PairCorr |
| 0.65 | GCFCX | Goldman Sachs E | PairCorr |
| 0.71 | GCFIX | Goldman Sachs E | PairCorr |
| 0.69 | GCISX | Goldman Sachs Intern | PairCorr |
| 0.65 | GCMTX | Goldman Sachs Mid | PairCorr |
| 0.65 | GCMUX | Goldman Sachs Mid | PairCorr |
| 0.68 | GCLLX | Goldman Sachs Flexible | PairCorr |
| 0.66 | GCLSX | Goldman Sachs Large | PairCorr |
| 0.74 | GCMAX | Goldman Sachs Mid | PairCorr |
| 0.65 | GCMCX | Goldman Sachs Mid | PairCorr |
| 0.64 | GCMDX | Goldman Sachs Local | PairCorr |
| 0.76 | GCRTX | Goldman Sachs Absolute | PairCorr |
| 0.75 | GCTAX | Goldman Sachs Tax | PairCorr |
| 0.75 | GCTCX | Goldman Sachs Tax | PairCorr |
| 0.75 | GCTIX | Goldman Sachs Tax | PairCorr |
| 0.75 | GCTRX | Goldman Sachs Tax | PairCorr |
| 0.75 | GCSAX | Goldman Sachs Small | PairCorr |
| 0.75 | GCSCX | Goldman Sachs Small | PairCorr |
| 0.67 | GCSSX | Goldman Sachs Small | PairCorr |
| 0.67 | GCSUX | Goldman Sachs Small | PairCorr |
| 0.66 | GCVAX | Goldman Sachs Large | PairCorr |
Related Correlations Analysis
| 0.96 | 0.92 | 0.8 | 0.93 | 0.67 | 1.0 | SAREX | ||
| 0.96 | 0.89 | 0.88 | 0.95 | 0.82 | 0.97 | NRCFX | ||
| 0.92 | 0.89 | 0.72 | 0.94 | 0.66 | 0.92 | XPGZX | ||
| 0.8 | 0.88 | 0.72 | 0.82 | 0.79 | 0.81 | CNREX | ||
| 0.93 | 0.95 | 0.94 | 0.82 | 0.83 | 0.93 | FIKMX | ||
| 0.67 | 0.82 | 0.66 | 0.79 | 0.83 | 0.69 | PNDIX | ||
| 1.0 | 0.97 | 0.92 | 0.81 | 0.93 | 0.69 | DFREX | ||
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SAREX | 0.91 | 0.00 | 0.00 | 0.18 | 0.00 | 1.80 | 8.27 | |||
| NRCFX | 0.81 | 0.04 | (0.07) | (0.48) | 1.35 | 1.58 | 7.17 | |||
| XPGZX | 0.40 | (0.03) | 0.00 | 1.40 | 0.00 | 0.62 | 2.55 | |||
| CNREX | 0.92 | 0.01 | (0.02) | 0.15 | 1.25 | 1.68 | 8.29 | |||
| FIKMX | 0.29 | 0.01 | (0.22) | (0.03) | 0.48 | 0.50 | 1.95 | |||
| PNDIX | 0.04 | 0.00 | 0.00 | 0.00 | 0.00 | 0.10 | 0.20 | |||
| DFREX | 0.90 | 0.00 | 0.00 | 0.14 | 0.00 | 1.78 | 8.42 |