Goldman Sachs Correlations

GCTMX Fund

USD 13.09 0.01 0.08%

The current 90-days correlation between Goldman Sachs Intern and Aqr Managed Futures is -0.22 (i.e., Very good 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

Very weak diversification

The correlation between Goldman Sachs International and DJI is 0.48 (i.e., Very weak 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 population.

Moving together with Goldman Mutual Fund

0.68	GCFCX	Goldman Sachs E	Pair Corr
0.77	GCFIX	Goldman Sachs E	Pair Corr
0.77	GCFUX	Goldman Sachs E	Pair Corr
0.89	GCICX	Goldman Sachs Intern	Pair Corr
0.9	GCIIX	Goldman Sachs Intern	Pair Corr
0.89	GCIRX	Goldman Sachs Intern	Pair Corr
0.94	GCISX	Goldman Sachs Intern	Pair Corr
0.9	GCITX	Goldman Sachs Intern	Pair Corr
0.91	GCIUX	Goldman Sachs Intern	Pair Corr
0.94	GCIAX	Goldman Sachs Intern	Pair Corr
0.87	GCMDX	Goldman Sachs Local	Pair Corr
0.93	GCRTX	Goldman Sachs Absolute	Pair Corr
0.62	GCTRX	Goldman Sachs Tax	Pair Corr

Related Correlations Analysis

	QMHIX	CSQAX	ABNCX	TIILX	LIFAX	ABNTX	HIPCX	TIIHX
QMHIX		0.76	0.35	0.47	0.42	0.35	0.3	0.47	QMHIX
CSQAX	0.76		0.71	0.77	0.68	0.7	0.7	0.77	CSQAX
ABNCX	0.35	0.71		0.73	0.82	0.99	0.7	0.73	ABNCX
TIILX	0.47	0.77	0.73		0.43	0.67	0.9	1.0	TIILX
LIFAX	0.42	0.68	0.82	0.43		0.87	0.31	0.43	LIFAX
ABNTX	0.35	0.7	0.99	0.67	0.87		0.62	0.67	ABNTX
HIPCX	0.3	0.7	0.7	0.9	0.31	0.62		0.89	HIPCX
TIIHX	0.47	0.77	0.73	1.0	0.43	0.67	0.89		TIIHX
	QMHIX	CSQAX	ABNCX	TIILX	LIFAX	ABNTX	HIPCX	TIIHX

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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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
QMHIX	0.72	0.16	0.18	(4.89)	0.67	(0.85)	1.85	(1.30)	3.96
CSQAX	0.26	0.03	0.08	(2.29)	0.26	(0.34)	0.71	(0.81)	1.53
ABNCX	0.15	0.02	0.12	0.32	0.00	(0.18)	0.30	(0.30)	0.90
TIILX	0.15	0.02	0.11	0.30	0.03	(0.18)	0.28	(0.29)	0.95
LIFAX	0.10	0.02	0.18	0.70	0.00	(0.14)	0.26	(0.17)	0.70
ABNTX	0.14	0.02	0.14	0.55	0.00	(0.19)	0.30	(0.30)	0.99
HIPCX	0.13	0.01	0.07	(0.58)	0.08	(0.17)	0.31	(0.32)	0.84
TIIHX	0.15	0.02	0.11	0.26	0.04	(0.17)	0.28	(0.29)	0.95

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Goldman Sachs Correlations

Goldman Sachs Correlation With Market

Very weak diversification

Moving together with Goldman Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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