Goldman Sachs Correlations

GCEEX Fund

USD 11.20 0.06 0.53%

The current 90-days correlation between Goldman Sachs Clean and Goldman Sachs E is 0.12 (i.e., Average 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

Weak diversification

The correlation between Goldman Sachs Clean and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Clean 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 Clean. 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 interest.

Moving together with Goldman Mutual Fund

0.98	GCEBX	Goldman Sachs Clean	Pair Corr
1.0	GCEDX	Goldman Sachs Clean	Pair Corr
1.0	GCEGX	Goldman Sachs Clean	Pair Corr
1.0	GCEJX	Goldman Sachs Clean	Pair Corr
1.0	GCEPX	Goldman Sachs Clean	Pair Corr
0.73	GCLLX	Goldman Sachs Flexible	Pair Corr
0.8	GDFRX	Goldman Sachs E	Pair Corr
0.79	GGRAX	Goldman Sachs Strategic	Pair Corr
0.79	GGRCX	Goldman Sachs Strategic	Pair Corr
0.82	GISTX	Goldman Sachs Technology	Pair Corr
0.85	GIRPX	Goldman Sachs Emerging	Pair Corr
0.81	GPIRX	Goldman Sachs Growth	Pair Corr
0.66	GSAPX	Goldman Sachs Inflation	Pair Corr
0.75	GATMX	Goldman Sachs Structured	Pair Corr
0.63	GSXPX	Goldman Sachs Small	Pair Corr
0.8	XDSMX	Dreyfus Strategic	Pair Corr
0.77	XNXJX	Nuveen New Jersey	Pair Corr
0.84	NXJ	Nuveen New Jersey	Pair Corr
0.75	XNBHX	Neuberger Berman Int	Pair Corr
0.82	EVSYX	Wells Fargo Disciplined	Pair Corr
0.78	VFIIX	Vanguard Gnma	Pair Corr
0.63	GSITX	Goldman Sachs Small	Pair Corr
0.79	MECDX	Mainstay Epoch Capital	Pair Corr
0.79	FCNYX	Fidelity Advisor Cnsv	Pair Corr
0.89	IPBAX	Inflation Protected	Pair Corr

Moving against Goldman Mutual Fund

0.43

FAIRX

Fairholme Fund

Pair Corr

Related Correlations Analysis

	GDFRX	EPGFX	SGDLX	AGGWX	IOGYX	GCEBX
GDFRX		0.87	0.91	0.89	0.89	0.79	GDFRX
EPGFX	0.87		0.99	1.0	1.0	0.72	EPGFX
SGDLX	0.91	0.99		1.0	0.99	0.8	SGDLX
AGGWX	0.89	1.0	1.0		1.0	0.77	AGGWX
IOGYX	0.89	1.0	0.99	1.0		0.75	IOGYX
GCEBX	0.79	0.72	0.8	0.77	0.75		GCEBX
	GDFRX	EPGFX	SGDLX	AGGWX	IOGYX	GCEBX

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
GDFRX	0.18	0.03	(0.25)	(31.51)	0.00	(0.25)	0.43	(0.22)	0.99
EPGFX	1.41	0.31	0.09	0.88	2.27	(1.42)	2.78	(3.41)	11.04
SGDLX	1.51	0.46	0.14	1.18	2.11	(1.54)	3.18	(3.17)	11.76
AGGWX	1.67	0.43	0.13	0.97	2.27	(1.71)	3.47	(3.73)	13.14
IOGYX	1.54	0.39	0.13	0.97	2.15	(1.61)	2.96	(3.65)	12.40
GCEBX	0.65	0.19	0.12	(2.61)	0.47	(0.77)	1.74	(0.92)	4.04

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