Goldman Sachs Correlations

GCEBX Fund

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The current 90-days correlation between Goldman Sachs Clean and Schwab Small Cap Index is 0.28 (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

Weak diversification

The correlation between Goldman Sachs Clean and DJI is 0.36 (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 bureau of labor statistics.

Moving together with Goldman Mutual Fund

1.0	GCEDX	Goldman Sachs Clean	Pair Corr
0.96	GCEEX	Goldman Sachs Clean	Pair Corr
1.0	GCEGX	Goldman Sachs Clean	Pair Corr
1.0	GCEJX	Goldman Sachs Clean	Pair Corr
0.96	GCEPX	Goldman Sachs Clean	Pair Corr
0.74	GCGIX	Goldman Sachs Large	Pair Corr
0.89	GCICX	Goldman Sachs Intern	Pair Corr
0.87	GCIIX	Goldman Sachs Intern	Pair Corr
0.89	GCIRX	Goldman Sachs Intern	Pair Corr
0.89	GCISX	Goldman Sachs Intern	Pair Corr
0.89	GCITX	Goldman Sachs Intern	Pair Corr
0.89	GCIUX	Goldman Sachs Intern	Pair Corr
0.89	GCIAX	Goldman Sachs Intern	Pair Corr
0.65	GCMRX	Goldman Sachs Mid	Pair Corr
0.65	GCMTX	Goldman Sachs Mid	Pair Corr
0.65	GCMUX	Goldman Sachs Mid	Pair Corr
0.69	GCLLX	Goldman Sachs Flexible	Pair Corr
0.65	GCMAX	Goldman Sachs Mid	Pair Corr
0.64	GCMCX	Goldman Sachs Mid	Pair Corr
0.7	GCTAX	Goldman Sachs Tax	Pair Corr
0.65	GCTCX	Goldman Sachs Tax	Pair Corr
0.66	GCTIX	Goldman Sachs Tax	Pair Corr
0.87	GCTMX	Goldman Sachs Intern	Pair Corr
0.7	GCTRX	Goldman Sachs Tax	Pair Corr
0.66	GCTSX	Goldman Sachs Tax	Pair Corr

Moving against Goldman Mutual Fund

0.31	GCFCX	Goldman Sachs E	Pair Corr
0.35	GUIRX	Goldman Sachs Dynamic	Pair Corr

Related Correlations Analysis

	SWSSX	TSCHX	LIGFX	TRHBX	FARIX	ADANX
SWSSX		0.91	0.96	0.91	0.14	0.51	SWSSX
TSCHX	0.91		0.93	0.99	0.22	0.58	TSCHX
LIGFX	0.96	0.93		0.91	0.32	0.66	LIGFX
TRHBX	0.91	0.99	0.91		0.09	0.47	TRHBX
FARIX	0.14	0.22	0.32	0.09		0.88	FARIX
ADANX	0.51	0.58	0.66	0.47	0.88		ADANX
	SWSSX	TSCHX	LIGFX	TRHBX	FARIX	ADANX

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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
SWSSX	1.33	0.06	0.03	0.06	1.84	(1.45)	2.56	(2.80)	12.91
TSCHX	1.24	0.05	0.02	0.55	1.89	(1.26)	2.57	(2.70)	9.11
LIGFX	0.38	0.01	0.01	0.06	0.60	(0.37)	0.74	(1.09)	3.18
TRHBX	1.24	0.03	0.01	0.58	1.81	(1.32)	2.58	(2.73)	9.16
FARIX	0.33	0.05	0.07	0.98	0.44	(0.36)	0.63	(0.63)	2.88
ADANX	0.08	0.00	0.09	0.00	0.00	(0.12)	0.16	(0.08)	0.56

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