Goldman Sachs Correlations

GCEGX Fund

USD 9.70 0.05 0.52%

The current 90-days correlation between Goldman Sachs Clean and Precious Metals And is 0.26 (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 0.39 (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 rate.

Moving together with Goldman Mutual Fund

0.84	GCEBX	Goldman Sachs Clean Potential Growth	Pair Corr
1.0	GCEJX	Goldman Sachs Clean	Pair Corr
1.0	GCEPX	Goldman Sachs Clean	Pair Corr
0.62	GCICX	Goldman Sachs Intern	Pair Corr
0.76	GCRTX	Goldman Sachs Absolute	Pair Corr
0.61	GDUSX	Goldman Sachs Short	Pair Corr
0.73	GVIRX	Goldman Sachs Equity	Pair Corr
0.69	GFIRX	Goldman Sachs Managed	Pair Corr
0.76	GFRIX	Goldman Sachs High	Pair Corr
0.66	GISTX	Goldman Sachs Technology	Pair Corr
0.72	GLCRX	Goldman Sachs Large	Pair Corr
0.63	GSAPX	Goldman Sachs Inflation	Pair Corr
0.7	GAPAX	Goldman Sachs Equity	Pair Corr
0.69	GSBFX	Goldman Sachs Income	Pair Corr
0.71	GSBIX	Goldman Sachs Income	Pair Corr
0.76	GARTX	Goldman Sachs Absolute	Pair Corr
0.61	GSYPX	Goldman Sachs Small	Pair Corr
0.64	GSXPX	Goldman Sachs Small	Pair Corr
0.61	GTTUX	Goldman Sachs Small	Pair Corr
0.72	FAIRX	Fairholme Fund	Pair Corr
0.84	GCEDX	Goldman Sachs Clean	Pair Corr
1.0	GCEEX	Goldman Sachs Clean	Pair Corr
0.73	FTCAX	Templeton Strained Bond	Pair Corr
0.71	FSRIX	Fidelity Advisor Str	Pair Corr

Moving against Goldman Mutual Fund

0.77	UIPIX	Ultrashort Mid Cap	Pair Corr
0.75	USPSX	Profunds Ultrashort	Pair Corr
0.75	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	UIPMX	EPGFX	FEGOX	FGDAX	IIGCX	SGDIX
UIPMX		0.67	0.95	0.95	1.0	0.93	UIPMX
EPGFX	0.67		0.69	0.66	0.66	0.71	EPGFX
FEGOX	0.95	0.69		1.0	0.96	0.98	FEGOX
FGDAX	0.95	0.66	1.0		0.95	0.97	FGDAX
IIGCX	1.0	0.66	0.96	0.95		0.94	IIGCX
SGDIX	0.93	0.71	0.98	0.97	0.94		SGDIX
	UIPMX	EPGFX	FEGOX	FGDAX	IIGCX	SGDIX

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
UIPMX	1.32	0.28	0.10	(1.99)	1.35	(1.40)	3.26	(2.54)	7.64
EPGFX	1.18	0.31	0.14	1.14	1.25	(1.32)	2.78	(2.79)	6.42
FEGOX	1.16	0.27	0.13	1.21	1.15	(1.31)	2.48	(2.47)	8.00
FGDAX	1.34	0.33	0.15	1.35	1.37	(1.49)	3.09	(2.83)	9.76
IIGCX	1.27	0.29	0.09	(1.88)	1.40	(1.36)	3.08	(2.71)	7.46
SGDIX	1.21	0.32	0.15	1.22	1.26	(1.28)	2.72	(2.72)	8.28

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