Goldman Sachs Correlations

GCMRX Fund

USD 32.72 0.16 0.49%

The current 90-days correlation between Goldman Sachs Mid and Glg Intl Small is 0.76 (i.e., Poor 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 Mid and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Mid 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 Mid. 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

0.89	GCGIX	Goldman Sachs Large	Pair Corr
0.95	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.95	GCLLX	Goldman Sachs Flexible	Pair Corr
0.96	GCTCX	Goldman Sachs Tax	Pair Corr
0.96	GCTIX	Goldman Sachs Tax	Pair Corr
0.96	GCTSX	Goldman Sachs Tax	Pair Corr
0.96	GCSAX	Goldman Sachs Small	Pair Corr
0.8	GCVAX	Goldman Sachs Large	Pair Corr
0.82	GCVCX	Goldman Sachs Large	Pair Corr
0.79	GCVUX	Goldman Sachs Large	Pair Corr
0.96	GDSRX	Goldman Sachs Small	Pair Corr
0.92	GVIRX	Goldman Sachs Equity	Pair Corr
0.71	GEMOX	Goldman Sachs Emerging	Pair Corr
0.96	GFCUX	Goldman Sachs Flexible	Pair Corr

Moving against Goldman Mutual Fund

0.67	GCEBX	Goldman Sachs Clean	Pair Corr
0.67	GCEDX	Goldman Sachs Clean	Pair Corr
0.67	GCEEX	Goldman Sachs Clean	Pair Corr
0.67	GCEJX	Goldman Sachs Clean	Pair Corr
0.67	GCEPX	Goldman Sachs Clean	Pair Corr
0.66	GCEGX	Goldman Sachs Clean	Pair Corr
0.55	GEADX	Goldman Sachs Enhanced	Pair Corr
0.51	GCFCX	Goldman Sachs E	Pair Corr
0.49	GDIAX	Goldman Sachs Short	Pair Corr
0.49	GDICX	Goldman Sachs Short	Pair Corr
0.49	GDIUX	Goldman Sachs Short	Pair Corr
0.48	GCISX	Goldman Sachs Intern	Pair Corr
0.48	GCIAX	Goldman Sachs Intern	Pair Corr
0.47	GDFIX	Goldman Sachs Short	Pair Corr
0.37	GEBRX	Goldman Sachs Esg	Pair Corr
0.59	GGIUX	Goldman Sachs Mortgages	Pair Corr
0.58	SVPFX	Goldman Sachs Strategic	Pair Corr
0.58	GGTPX	Goldman Sachs Government	Pair Corr
0.52	GHTRX	Goldman Sachs Intern	Pair Corr
0.49	GGDPX	Goldman Sachs Intern	Pair Corr
0.37	GEBSX	Goldman Sachs Esg	Pair Corr
0.37	GEMUX	Goldman Sachs Emerging	Pair Corr
0.36	GEMCX	Goldman Sachs Emerging	Pair Corr
0.33	GGIAX	Goldman Sachs Global	Pair Corr
0.33	GGIJX	Goldman Sachs Global	Pair Corr

Related Correlations Analysis

	GLVIX	PMDDX	LMBMX	DFUKX	PSBMX	ARTSX	HSCVX
GLVIX		0.76	0.68	0.28	0.74	0.69	0.75	GLVIX
PMDDX	0.76		0.93	-0.07	0.96	0.94	0.97	PMDDX
LMBMX	0.68	0.93		-0.09	0.98	0.97	0.97	LMBMX
DFUKX	0.28	-0.07	-0.09		-0.13	-0.17	-0.03	DFUKX
PSBMX	0.74	0.96	0.98	-0.13		0.98	0.98	PSBMX
ARTSX	0.69	0.94	0.97	-0.17	0.98		0.96	ARTSX
HSCVX	0.75	0.97	0.97	-0.03	0.98	0.96		HSCVX
	GLVIX	PMDDX	LMBMX	DFUKX	PSBMX	ARTSX	HSCVX

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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

PSBMX	+ 0.98	LMBMX
ARTSX	+ 0.98	PSBMX
HSCVX	+ 0.98	PSBMX
HSCVX	+ 0.97	PMDDX
ARTSX	+ 0.97	LMBMX
HSCVX	+ 0.97	LMBMX

High negative correlations

ARTSX	- 0.17	DFUKX
PSBMX	- 0.13	DFUKX
DFUKX	- 0.09	LMBMX
DFUKX	- 0.07	PMDDX
HSCVX	- 0.03	DFUKX

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
GLVIX	0.92	(0.03)	(0.10)	1.50	(2.12)	5.60
PMDDX	0.82	(0.08)	(0.16)	1.31	(1.78)	3.94
LMBMX	1.05	(0.16)	(0.20)	1.96	(2.70)	5.60
DFUKX	0.80	0.02	(0.04)	1.96	(2.04)	6.05
PSBMX	1.01	(0.14)	(0.21)	1.64	(2.32)	5.36
ARTSX	1.15	(0.10)	(0.16)	2.22	(3.17)	5.69
HSCVX	0.79	(0.09)	(0.18)	1.42	(1.78)	3.38

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