Goldman Sachs Correlations

GS Stock

USD 613.54 0.00 0.00%

The current 90-days correlation between Goldman Sachs Group and Morgan Stanley is 0.98 (i.e., Almost no 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

Almost no diversification

The correlation between Goldman Sachs Group and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Group and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Goldman Stock

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Goldman Sachs Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Goldman Stock

0.93	V	Visa Class A	Pair Corr
0.62	DHIL	Diamond Hill Investment	Pair Corr
0.84	AB	AllianceBernstein	Pair Corr
0.86	AC	Associated Capital	Pair Corr
0.97	BN	Brookfield Corp	Pair Corr
0.71	BX	Blackstone Group	Pair Corr
0.91	CG	Carlyle Group	Pair Corr
0.93	DB	Deutsche Bank AG	Pair Corr
0.62	LC	LendingClub Corp	Pair Corr
0.95	MA	Mastercard	Pair Corr
0.75	MC	Moelis	Pair Corr
0.99	MS	Morgan Stanley	Pair Corr
0.88	QD	Qudian Inc	Pair Corr
0.81	SF	Stifel Financial	Pair Corr
0.95	WT	WisdomTree	Pair Corr
0.91	XP	Xp Inc	Pair Corr
0.8	DMYY	dMY Squared Technology	Pair Corr
0.68	DOMH	Dominari Holdings	Pair Corr
0.97	VCTR	Victory Capital Holdings	Pair Corr
0.79	VIRT	Virtu Financial	Pair Corr
0.81	VRTS	Virtus Investment	Pair Corr
0.8	EARN	Ellington Residential	Pair Corr

Moving against Goldman Stock

0.51	PT	Pintec Technology	Pair Corr
0.39	RM	Regional Management Corp	Pair Corr
0.33	WD	Walker Dunlop	Pair Corr
0.33	WU	Western Union	Pair Corr
0.7	EZPW	EZCORP Inc	Pair Corr
0.46	LGHLW	Lion Financial Group	Pair Corr
0.45	ANSCW	Agriculture Natural	Pair Corr

Related Correlations Analysis

	MS	JPM	WFC	C	AXP
MS		0.96	0.95	0.98	0.99	MS
JPM	0.96		0.88	0.92	0.97	JPM
WFC	0.95	0.88		0.96	0.94	WFC
C	0.98	0.92	0.96		0.96	C
AXP	0.99	0.97	0.94	0.96		AXP
	MS	JPM	WFC	C	AXP

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Risk-Adjusted Indicators

There is a big difference between Goldman Stock performing well and Goldman Sachs Company 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
MS	1.73	0.18	0.07	0.16	2.61	(1.73)	3.44	(3.08)	15.94
JPM	1.34	0.21	0.09	0.22	1.96	(1.39)	2.88	(2.12)	11.14
WFC	1.49	0.06	0.03	0.09	2.32	(1.69)	3.35	(3.09)	12.61
C	1.64	0.17	0.06	0.15	2.90	(1.72)	3.26	(3.46)	14.99
AXP	1.75	0.13	0.06	0.11	2.48	(1.87)	3.59	(3.50)	19.28

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