Goldman Sachs Correlations

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

0.61	DFSVX	Us Small Cap	Pair Corr
0.61	DFFVX	Us Targeted Value	Pair Corr
0.61	AVFIX	American Beacon Small	Pair Corr
0.65	SPGSX	State Street Premier	Pair Corr
0.61	DIS	Walt Disney	Pair Corr

Moving against Goldman Mutual Fund

0.48

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Pair Corr

Related Correlations Analysis

	FGDIX	SGDIX	EPGFX	OGMCX	FRGOX	FEGOX	RYPMX
FGDIX		0.94	0.96	0.93	0.96	0.99	0.96	FGDIX
SGDIX	0.94		0.93	0.99	0.99	0.93	0.91	SGDIX
EPGFX	0.96	0.93		0.91	0.95	0.93	1.0	EPGFX
OGMCX	0.93	0.99	0.91		0.99	0.93	0.89	OGMCX
FRGOX	0.96	0.99	0.95	0.99		0.95	0.94	FRGOX
FEGOX	0.99	0.93	0.93	0.93	0.95		0.93	FEGOX
RYPMX	0.96	0.91	1.0	0.89	0.94	0.93		RYPMX
	FGDIX	SGDIX	EPGFX	OGMCX	FRGOX	FEGOX	RYPMX

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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
FGDIX	1.59	0.08	(0.04)	0.77	2.25	(1.57)	2.97	(3.72)	12.28
SGDIX	1.42	0.11	(0.04)	0.92	2.08	(1.38)	3.31	(2.90)	11.33
EPGFX	1.37	0.14	(0.02)	1.03	1.92	(1.38)	2.35	(2.87)	10.25
OGMCX	1.41	0.08	(0.06)	1.18	2.00	(1.39)	2.72	(3.69)	10.45
FRGOX	1.52	0.12	(0.04)	2.14	2.08	(1.49)	3.01	(3.21)	11.91
FEGOX	1.40	0.03	(0.08)	0.50	1.89	(1.47)	2.46	(2.99)	9.95
RYPMX	1.61	0.14	(0.02)	0.99	2.20	(1.61)	3.04	(3.64)	10.87

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Goldman Sachs Correlations

Moving together with Goldman Mutual Fund

Moving against Goldman Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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