Goldman Sachs Correlations

GSXPX Fund

USD 60.29 0.25 0.42%

The current 90-days correlation between Goldman Sachs Small and T Rowe Price is 0.69 (i.e., 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 Small and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Small 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 Small. 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 metropolitan statistical area.

Moving together with Goldman Mutual Fund

0.88	VSIIX	Vanguard Small Cap	Pair Corr
0.88	VISVX	Vanguard Small Cap	Pair Corr
0.88	DFSVX	Us Small Cap	Pair Corr
0.89	DFFVX	Us Targeted Value	Pair Corr
0.7	UBVCX	Undiscovered Managers	Pair Corr
0.82	UBVAX	Undiscovered Managers	Pair Corr
0.72	UBVSX	Undiscovered Managers	Pair Corr
0.85	AVFIX	American Beacon Small	Pair Corr
0.82	FSMMX	Fs Multi Strategy	Pair Corr
0.9	BTMPX	Ishares Msci Eafe	Pair Corr
0.9	BTMKX	Blackrock International	Pair Corr
0.8	MDIIX	Blackrock Intern Index	Pair Corr
0.99	TSLAX	Transamerica Small Cap	Pair Corr
0.71	ABNTX	Ab Bond Inflation	Pair Corr
0.79	PIFCX	Prudential Short Term	Pair Corr
0.84	VWENX	Vanguard Wellington	Pair Corr
0.88	TRRWX	T Rowe Price	Pair Corr
0.88	RRTBX	Trowe Price Retirement	Pair Corr
0.84	PYCRX	Payden California	Pair Corr
0.74	FHNFX	Fidelity Series Gove	Pair Corr
0.9	VIVAX	Vanguard Value Index	Pair Corr
0.73	WAFRX	Western Asset Inflation	Pair Corr
0.96	HWMZX	Hotchkis Wiley Mid	Pair Corr
0.81	PFTEX	Riskproreg; Tactical	Pair Corr
0.83	JDIRX	Janus Overseas	Pair Corr
0.85	STRGX	Sterling Capital Stratton	Pair Corr
0.91	RBNNX	Robinson Opportunistic	Pair Corr
0.77	TETAX	Rbc Enterprise	Pair Corr
0.67	FOF	Cohen Steers Closed	Pair Corr
0.86	DSIBX	Dreyfus Short Interm	Pair Corr
0.79	VCFVX	Foreign Value	Pair Corr
0.82	HGLB	Highland Global Allo	Pair Corr
0.97	RYBMX	Basic Materials	Pair Corr
0.92	HWSZX	Hotchkis Wiley Small	Pair Corr

Moving against Goldman Mutual Fund

0.32	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.4	BTCVX	Cboe Vest Bitcoin Steady Growth	Pair Corr

Related Correlations Analysis

	PAGLX	LGLSX	TAAEX	MSSGX	TFAGX	ATGAX	AFNIX	LANIX
PAGLX		0.94	0.92	0.94	0.95	0.92	0.95	0.96	PAGLX
LGLSX	0.94		0.93	0.89	0.93	0.91	0.87	0.91	LGLSX
TAAEX	0.92	0.93		0.96	0.93	0.92	0.87	0.9	TAAEX
MSSGX	0.94	0.89	0.96		0.93	0.89	0.87	0.9	MSSGX
TFAGX	0.95	0.93	0.93	0.93		0.97	0.89	0.96	TFAGX
ATGAX	0.92	0.91	0.92	0.89	0.97		0.91	0.95	ATGAX
AFNIX	0.95	0.87	0.87	0.87	0.89	0.91		0.94	AFNIX
LANIX	0.96	0.91	0.9	0.9	0.96	0.95	0.94		LANIX
	PAGLX	LGLSX	TAAEX	MSSGX	TFAGX	ATGAX	AFNIX	LANIX

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
PAGLX	0.39	0.05	0.07	0.13	0.34	(0.42)	0.95	(0.64)	2.44
LGLSX	0.75	0.15	0.13	0.28	0.76	(0.85)	1.54	(1.43)	4.96
TAAEX	1.01	0.20	0.15	0.25	1.04	(1.14)	2.55	(1.52)	6.89
MSSGX	1.08	0.17	0.15	0.17	1.11	(1.18)	2.80	(1.98)	6.55
TFAGX	0.59	0.20	0.18	(0.72)	0.38	(0.70)	1.17	(0.87)	3.60
ATGAX	0.56	0.15	0.11	(0.65)	0.54	(0.65)	1.34	(0.80)	3.28
AFNIX	0.38	0.04	0.04	0.13	0.29	(0.44)	0.86	(0.63)	2.07
LANIX	0.39	0.10	0.07	(0.51)	0.26	(0.47)	0.96	(0.56)	2.33

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