Goldman Sachs Correlations

GAPRX Fund

USD 20.91 0.44 2.15%

The current 90-days correlation between Goldman Sachs Equity and Invesco Energy Fund is 0.41 (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

Poor diversification

The correlation between Goldman Sachs Equity and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Equity 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 Equity. 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 metropolitan statistical area.

Moving together with Goldman Mutual Fund

0.66

GCRTX

Goldman Sachs Absolute

Pair Corr

Moving against Goldman Mutual Fund

0.71	GCEBX	Goldman Sachs Clean	Pair Corr
0.71	GCEGX	Goldman Sachs Clean	Pair Corr
0.7	GCEDX	Goldman Sachs Clean	Pair Corr
0.7	GCEJX	Goldman Sachs Clean	Pair Corr
0.7	GCEPX	Goldman Sachs Clean	Pair Corr
0.65	GCEEX	Goldman Sachs Clean	Pair Corr

Related Correlations Analysis

	IEFCX	FAGNX	FRNRX	SACEX	TMCLX	SMAPX
IEFCX		0.94	0.98	0.97	0.83	0.87	IEFCX
FAGNX	0.94		0.96	0.93	0.8	0.88	FAGNX
FRNRX	0.98	0.96		0.94	0.82	0.86	FRNRX
SACEX	0.97	0.93	0.94		0.9	0.96	SACEX
TMCLX	0.83	0.8	0.82	0.9		0.88	TMCLX
SMAPX	0.87	0.88	0.86	0.96	0.88		SMAPX
	IEFCX	FAGNX	FRNRX	SACEX	TMCLX	SMAPX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
IEFCX	0.86	0.00	(0.15)	1.36	(2.20)	5.65
FAGNX	1.00	(0.04)	(0.22)	1.50	(2.58)	6.62
FRNRX	0.86	(0.01)	(0.16)	1.23	(1.97)	4.96
SACEX	0.97	0.00	(0.13)	1.65	(2.41)	4.58
TMCLX	1.00	(0.04)	0.98	1.71	(2.24)	6.34
SMAPX	1.10	0.02	(0.10)	1.86	(2.46)	7.93

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