Goldman Sachs Correlations

GCEGX Fund

USD 9.91 0.18 1.85%

The current 90-days correlation between Goldman Sachs Clean and Scharf Global Opportunity is -0.02 (i.e., Good 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

Very weak diversification

The correlation between Goldman Sachs Clean and DJI is 0.41 (i.e., Very 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 price.

Moving together with Goldman Mutual Fund

0.73	GCEBX	Goldman Sachs Clean	Pair Corr
1.0	GCEDX	Goldman Sachs Clean	Pair Corr
1.0	GCEEX	Goldman Sachs Clean	Pair Corr
1.0	GCEJX	Goldman Sachs Clean	Pair Corr
1.0	GCEPX	Goldman Sachs Clean	Pair Corr
0.68	GGBPX	Goldman Sachs Investment	Pair Corr
0.75	GGOTX	Goldman Sachs Growth	Pair Corr
0.94	GGQPX	Goldman Sachs Growth	Pair Corr
0.93	GGRAX	Goldman Sachs Strategic	Pair Corr
0.93	GGRCX	Goldman Sachs Strategic	Pair Corr
0.75	GISTX	Goldman Sachs Technology	Pair Corr
0.74	GITAX	Goldman Sachs Technology	Pair Corr
0.68	GMJPX	Goldman Sachs Real	Pair Corr
0.94	GADPX	Goldman Sachs Equity	Pair Corr
0.78	GSHSX	Goldman Sachs High	Pair Corr
0.69	GSQTX	Goldman Sachs Small	Pair Corr
0.7	GSVTX	Goldman Sachs Large	Pair Corr
0.68	GSXPX	Goldman Sachs Small	Pair Corr
0.78	FAIRX	The Fairholme	Pair Corr
0.71	KINAX	Kinetics Internet	Pair Corr
0.71	WWWFX	Kinetics Internet	Pair Corr
0.71	KINCX	Kinetics Internet	Pair Corr
0.8	NHS	Neuberger Berman High	Pair Corr
0.91	FHKCX	Fidelity China Region	Pair Corr
0.77	PIEQX	T Rowe Price	Pair Corr
0.92	JDVVX	John Hancock Disciplined	Pair Corr
0.86	UASBX	Short Term Bond	Pair Corr
0.95	VFORX	Vanguard Target Reti	Pair Corr
0.93	MATFX	Matthews Asia Innovators	Pair Corr
0.96	BAFHX	Brown Advisory	Pair Corr
0.91	FSMDX	Fidelity Mid Cap	Pair Corr
0.96	MAPIX	Matthews Asia Dividend	Pair Corr
0.94	TILPX	Tiaa Cref Large	Pair Corr

Moving against Goldman Mutual Fund

0.37

GFIRX

Goldman Sachs Managed

Pair Corr

Related Correlations Analysis

	WRLDX	CABIX	CBSYX	GLOIX	RGELX	GMADX	XAWFX
WRLDX		0.98	0.98	0.95	0.98	0.99	0.95	WRLDX
CABIX	0.98		1.0	0.96	0.97	0.99	0.98	CABIX
CBSYX	0.98	1.0		0.95	0.97	0.99	0.98	CBSYX
GLOIX	0.95	0.96	0.95		0.93	0.95	0.93	GLOIX
RGELX	0.98	0.97	0.97	0.93		0.99	0.96	RGELX
GMADX	0.99	0.99	0.99	0.95	0.99		0.97	GMADX
XAWFX	0.95	0.98	0.98	0.93	0.96	0.97		XAWFX
	WRLDX	CABIX	CBSYX	GLOIX	RGELX	GMADX	XAWFX

Click cells to compare fundamentals

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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
WRLDX	0.61	0.25	0.21	(1.87)	0.17	(0.75)	1.37	(0.84)	6.56
CABIX	0.34	0.16	0.11	(2.09)	0.00	(0.42)	0.93	(0.54)	3.47
CBSYX	0.33	0.16	0.12	(2.45)	0.00	(0.42)	0.86	(0.57)	3.39
GLOIX	0.66	0.36	0.33	(10.43)	0.00	(0.87)	1.48	(0.98)	6.04
RGELX	0.78	0.33	0.20	(2.29)	0.53	(0.89)	2.02	(1.43)	10.08
GMADX	0.67	0.35	0.27	(2.11)	0.10	(0.83)	1.78	(1.11)	8.63
XAWFX	0.17	0.07	(0.07)	2.78	0.00	(0.23)	0.46	(0.36)	1.44

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