Goldman Sachs Correlations

GCEEX Fund

USD 9.94 0.01 0.10%

The current 90-days correlation between Goldman Sachs Clean and Astor Longshort Fund is 0.42 (i.e., Very weak 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 0.37 (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 consumer price index.

Moving together with Goldman Mutual Fund

0.66	GCEBX	Goldman Sachs Clean	Pair Corr
0.91	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
0.62	GCLLX	Goldman Sachs Flexible	Pair Corr
0.71	GGQPX	Goldman Sachs Growth	Pair Corr
0.8	GGRAX	Goldman Sachs Strategic	Pair Corr
0.79	GGRCX	Goldman Sachs Strategic	Pair Corr
0.77	GSDTX	Goldman Sachs Short	Pair Corr
0.86	GSLIX	Goldman Sachs Large	Pair Corr
0.79	GSQTX	Goldman Sachs Small	Pair Corr
0.83	FAIRX	The Fairholme	Pair Corr
0.85	VTSAX	Vanguard Total Stock	Pair Corr
0.8	VFIAX	Vanguard 500 Index	Pair Corr
0.81	VTSMX	Vanguard Total Stock	Pair Corr
0.85	VSMPX	Vanguard Total Stock	Pair Corr
0.85	VSTSX	Vanguard Total Stock	Pair Corr
0.81	VITSX	Vanguard Total Stock	Pair Corr
0.8	VFINX	Vanguard 500 Index	Pair Corr
0.85	VFFSX	Vanguard 500 Index	Pair Corr
0.77	VGTSX	Vanguard Total Inter	Pair Corr
0.77	VTIAX	Vanguard Total Inter	Pair Corr
0.78	PSNSX	Pimco Stocksplus Small	Pair Corr
0.67	JPM	JPMorgan Chase	Pair Corr

Moving against Goldman Mutual Fund

0.36

Procter Gamble

Pair Corr

Related Correlations Analysis

	ASTIX	PRMDX	LSYIX	ASDCX	FTFZX	FSHAX	DMBAX	BXDCX
ASTIX		0.91	0.95	0.9	0.91	0.91	0.93	0.91	ASTIX
PRMDX	0.91		0.96	0.95	0.99	0.99	0.99	0.97	PRMDX
LSYIX	0.95	0.96		0.92	0.96	0.95	0.97	0.96	LSYIX
ASDCX	0.9	0.95	0.92		0.95	0.94	0.96	0.96	ASDCX
FTFZX	0.91	0.99	0.96	0.95		0.99	0.99	0.99	FTFZX
FSHAX	0.91	0.99	0.95	0.94	0.99		0.99	0.97	FSHAX
DMBAX	0.93	0.99	0.97	0.96	0.99	0.99		0.99	DMBAX
BXDCX	0.91	0.97	0.96	0.96	0.99	0.97	0.99		BXDCX
	ASTIX	PRMDX	LSYIX	ASDCX	FTFZX	FSHAX	DMBAX	BXDCX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ASTIX	0.26	0.02	(0.14)	0.19	(0.32)	0.69	(0.46)	1.57
PRMDX	0.05	0.02	0.00	1.46	0.00	0.20	0.00	0.39
LSYIX	0.13	0.05	(0.61)	0.59	(0.21)	0.43	(0.10)	1.14
ASDCX	0.07	0.01	(1.12)	0.46	(0.11)	0.10	(0.10)	0.40
FTFZX	0.06	0.00	0.00	0.00	0.00	0.19	(0.10)	0.39
FSHAX	0.05	0.01	0.00	(1.67)	0.00	0.20	0.00	0.41
DMBAX	0.05	0.02	0.00	(18.87)	0.00	0.16	0.00	0.31
BXDCX	0.09	0.02	(0.85)	1.75	(0.17)	0.32	(0.11)	0.76

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