Goldman Sachs Correlations

GCISX Fund

USD 17.51 0.08 0.46%

The current 90-days correlation between Goldman Sachs Intern and Franklin Emerging Market 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

Good diversification

The correlation between Goldman Sachs International and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs International 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 International. 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 main economic indicators.

Moving together with Goldman Mutual Fund

0.63	GCEBX	Goldman Sachs Clean	Pair Corr
0.61	GCEJX	Goldman Sachs Clean	Pair Corr
0.84	GCICX	Goldman Sachs Intern	Pair Corr
0.71	GCRTX	Goldman Sachs Absolute	Pair Corr
0.81	GCTMX	Goldman Sachs Intern	Pair Corr
0.62	GDUSX	Goldman Sachs Short	Pair Corr
0.68	GVIRX	Goldman Sachs Equity	Pair Corr
0.62	GEIAX	Goldman Sachs Enhanced	Pair Corr
0.73	GFIRX	Goldman Sachs Managed	Pair Corr
0.64	GFVAX	Goldman Sachs Focused	Pair Corr
0.74	GGTPX	Goldman Sachs Government	Pair Corr
0.61	GIFRX	Goldman Sachs Short	Pair Corr
0.7	GISTX	Goldman Sachs Technology	Pair Corr
0.73	GIRNX	Goldman Sachs Focused	Pair Corr
0.68	GLCRX	Goldman Sachs Large	Pair Corr
0.77	GSAPX	Goldman Sachs Inflation	Pair Corr
0.78	GSAWX	Goldman Sachs Long	Pair Corr
0.9	GAPAX	Goldman Sachs Equity	Pair Corr
0.82	GSBFX	Goldman Sachs Income	Pair Corr
0.85	GSBIX	Goldman Sachs Income	Pair Corr
0.85	GSDIX	Goldman Sachs Emerging	Pair Corr
0.81	GSDUX	Goldman Sachs Short	Pair Corr
0.81	GSIWX	Goldman Sachs Focused	Pair Corr
0.82	GSPCX	Goldman Sachs Capital	Pair Corr
0.68	GSPQX	Goldman Sachs Equity	Pair Corr
0.8	GSRIX	Goldman Sachs Rising	Pair Corr
0.74	GSRAX	Goldman Sachs Rising	Pair Corr
0.82	GSSRX	Goldman Sachs Short	Pair Corr
0.87	GSYPX	Goldman Sachs Small	Pair Corr
0.87	GSXPX	Goldman Sachs Small	Pair Corr
0.87	GTTUX	Goldman Sachs Small	Pair Corr
0.96	VGTSX	Vanguard Total Inter	Pair Corr

Moving against Goldman Mutual Fund

0.31	GHYCX	Goldman Sachs High	Pair Corr
0.49	GCCUX	Goldman Sachs Modity	Pair Corr

Related Correlations Analysis

	FEMDX	EPASX	XEMDX	DODEX	HLDCX	DBLEX	IGIEX	PYCIX
FEMDX		0.95	0.97	0.96	0.59	0.99	0.99	0.99	FEMDX
EPASX	0.95		0.93	0.96	0.59	0.95	0.93	0.95	EPASX
XEMDX	0.97	0.93		0.92	0.59	0.95	0.95	0.95	XEMDX
DODEX	0.96	0.96	0.92		0.59	0.96	0.94	0.96	DODEX
HLDCX	0.59	0.59	0.59	0.59		0.59	0.61	0.61	HLDCX
DBLEX	0.99	0.95	0.95	0.96	0.59		0.98	0.99	DBLEX
IGIEX	0.99	0.93	0.95	0.94	0.61	0.98		0.99	IGIEX
PYCIX	0.99	0.95	0.95	0.96	0.61	0.99	0.99		PYCIX
	FEMDX	EPASX	XEMDX	DODEX	HLDCX	DBLEX	IGIEX	PYCIX

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
FEMDX	0.14	0.08	(0.07)	(2.65)	0.00	(0.20)	0.40	(0.17)	0.91
EPASX	0.46	0.13	0.06	(5.19)	0.33	(0.55)	1.20	(0.87)	2.82
XEMDX	0.19	0.06	(0.10)	(1.30)	0.00	(0.23)	0.38	(0.37)	1.22
DODEX	0.48	0.13	0.13	0.37	0.28	(0.62)	1.14	(1.05)	2.89
HLDCX	0.24	0.03	(0.12)	0.24	0.00	(0.38)	0.61	(0.41)	1.46
DBLEX	0.08	0.05	(0.36)	1.18	0.00	(0.14)	0.22	(0.11)	0.34
IGIEX	0.21	0.09	(0.02)	(4.29)	0.00	(0.30)	0.47	(0.35)	1.17
PYCIX	0.10	0.05	(0.32)	13.24	0.00	(0.15)	0.23	(0.12)	0.47

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