Goldman Sachs Correlations

GCEJX Fund

USD 8.54 0.05 0.58%

The current 90-days correlation between Goldman Sachs Clean and Applied Finance Explorer is 0.49 (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

Modest diversification

The correlation between Goldman Sachs Clean and DJI is 0.27 (i.e., Modest 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 inflation.

Moving together with Goldman Mutual Fund

1.0	GCEBX	Goldman Sachs Clean	Pair Corr
1.0	GCEDX	Goldman Sachs Clean	Pair Corr
1.0	GCEEX	Goldman Sachs Clean	Pair Corr
1.0	GCEGX	Goldman Sachs Clean	Pair Corr
1.0	GCEPX	Goldman Sachs Clean	Pair Corr

Moving against Goldman Mutual Fund

0.73	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.71	GCTAX	Goldman Sachs Tax	Pair Corr
0.71	GCTCX	Goldman Sachs Tax	Pair Corr
0.71	GCTIX	Goldman Sachs Tax	Pair Corr
0.7	GCLLX	Goldman Sachs Flexible	Pair Corr
0.68	GCGIX	Goldman Sachs Large	Pair Corr
0.67	GCMRX	Goldman Sachs Mid	Pair Corr
0.67	GCMTX	Goldman Sachs Mid	Pair Corr
0.67	GCMUX	Goldman Sachs Mid	Pair Corr
0.67	GCMAX	Goldman Sachs Mid	Pair Corr
0.67	GCMCX	Goldman Sachs Mid	Pair Corr
0.31	GCRTX	Goldman Sachs Absolute	Pair Corr
0.71	GCTRX	Goldman Sachs Tax	Pair Corr
0.71	GCTSX	Goldman Sachs Tax	Pair Corr
0.69	GVIRX	Goldman Sachs Equity	Pair Corr
0.68	GCSAX	Goldman Sachs Small	Pair Corr
0.68	GCSCX	Goldman Sachs Small	Pair Corr
0.68	GCSIX	Goldman Sachs Small	Pair Corr
0.68	GCSSX	Goldman Sachs Small	Pair Corr
0.68	GCSUX	Goldman Sachs Small	Pair Corr
0.68	GDSRX	Goldman Sachs Small	Pair Corr

Related Correlations Analysis

	AFDVX	ARSMX	SMVTX	ARSVX	TIMVX	LVAQX	AOPAX
AFDVX		0.89	0.95	0.93	0.94	0.96	-0.23	AFDVX
ARSMX	0.89		0.91	0.98	0.85	0.88	-0.12	ARSMX
SMVTX	0.95	0.91		0.92	0.94	0.93	-0.11	SMVTX
ARSVX	0.93	0.98	0.92		0.9	0.9	-0.22	ARSVX
TIMVX	0.94	0.85	0.94	0.9		0.87	-0.17	TIMVX
LVAQX	0.96	0.88	0.93	0.9	0.87		-0.26	LVAQX
AOPAX	-0.23	-0.12	-0.11	-0.22	-0.17	-0.26		AOPAX
	AFDVX	ARSMX	SMVTX	ARSVX	TIMVX	LVAQX	AOPAX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ARSVX	+ 0.98	ARSMX
LVAQX	+ 0.96	AFDVX
SMVTX	+ 0.95	AFDVX
TIMVX	+ 0.94	AFDVX
TIMVX	+ 0.94	SMVTX
ARSVX	+ 0.93	AFDVX

High negative correlations

AOPAX	- 0.26	LVAQX
AOPAX	- 0.23	AFDVX
AOPAX	- 0.22	ARSVX
AOPAX	- 0.17	TIMVX
AOPAX	- 0.12	ARSMX
AOPAX	- 0.11	SMVTX

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
AFDVX	0.81	(0.11)	0.00	(0.19)	0.00	0.00	1.55	(1.93)	4.58
ARSMX	0.82	(0.17)	0.00	(0.29)	0.00	0.00	1.13	(1.56)	8.46
SMVTX	1.01	(0.15)	0.00	(0.22)	0.00	0.00	1.39	(2.22)	9.55
ARSVX	0.81	(0.16)	0.00	(0.27)	0.00	0.00	1.19	(1.54)	7.70
TIMVX	0.76	(0.05)	0.00	(0.12)	0.00	0.00	1.41	(1.75)	3.55
LVAQX	0.83	(0.14)	0.00	(0.24)	0.00	0.00	1.18	(1.87)	3.80
AOPAX	0.48	0.05	0.12	0.04	0.67	(0.51)	1.15	(1.14)	3.90

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