Goldman Sachs Correlations

GDIRX Fund

USD 10.36 0.01 0.1%

The current 90-days correlation between Goldman Sachs Short and Putnam Global Financials is 0.21 (i.e., Modest 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

Significant diversification

The correlation between Goldman Sachs Short and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Short 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 Short. 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

0.91	GCFCX	Goldman Sachs E	Pair Corr
0.92	GCFIX	Goldman Sachs E	Pair Corr
0.92	GCFUX	Goldman Sachs E	Pair Corr
0.89	GCICX	Goldman Sachs Intern	Pair Corr
0.89	GCIIX	Goldman Sachs Intern	Pair Corr
0.89	GCIRX	Goldman Sachs Intern	Pair Corr
0.89	GCISX	Goldman Sachs Intern	Pair Corr
0.89	GCITX	Goldman Sachs Intern	Pair Corr
0.89	GCIUX	Goldman Sachs Intern	Pair Corr
0.89	GCIAX	Goldman Sachs Intern	Pair Corr
0.96	GCMDX	Goldman Sachs Local	Pair Corr
0.88	GCTMX	Goldman Sachs Intern	Pair Corr

Moving against Goldman Mutual Fund

0.61	GCGIX	Goldman Sachs Large	Pair Corr
0.43	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.46	GCLLX	Goldman Sachs Flexible	Pair Corr
0.41	GCMCX	Goldman Sachs Mid	Pair Corr
0.4	GCMRX	Goldman Sachs Mid	Pair Corr
0.4	GCMAX	Goldman Sachs Mid	Pair Corr
0.4	GCTCX	Goldman Sachs Tax	Pair Corr
0.39	GCMTX	Goldman Sachs Mid	Pair Corr
0.39	GCMUX	Goldman Sachs Mid	Pair Corr
0.39	GCTAX	Goldman Sachs Tax	Pair Corr
0.39	GCTIX	Goldman Sachs Tax	Pair Corr
0.52	GCSCX	Goldman Sachs Small	Pair Corr
0.51	GCSAX	Goldman Sachs Small	Pair Corr
0.51	GCSIX	Goldman Sachs Small	Pair Corr
0.51	GCSSX	Goldman Sachs Small	Pair Corr
0.51	GCSUX	Goldman Sachs Small	Pair Corr
0.4	GCTSX	Goldman Sachs Tax	Pair Corr

Related Correlations Analysis

	PGFMX	RMBKX	FTIXX	XFINX	GCFSX	VFAIX	SBFAX
PGFMX		0.54	0.0	0.55	0.9	0.83	0.85	PGFMX
RMBKX	0.54		0.0	0.62	0.23	0.78	0.81	RMBKX
FTIXX	0.0	0.0		0.0	0.0	0.0	0.0	FTIXX
XFINX	0.55	0.62	0.0		0.45	0.7	0.74	XFINX
GCFSX	0.9	0.23	0.0	0.45		0.67	0.69	GCFSX
VFAIX	0.83	0.78	0.0	0.7	0.67		0.99	VFAIX
SBFAX	0.85	0.81	0.0	0.74	0.69	0.99		SBFAX
	PGFMX	RMBKX	FTIXX	XFINX	GCFSX	VFAIX	SBFAX

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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

SBFAX	+ 0.99	VFAIX
GCFSX	+ 0.9	PGFMX
SBFAX	+ 0.85	PGFMX
VFAIX	+ 0.83	PGFMX
SBFAX	+ 0.81	RMBKX
VFAIX	+ 0.78	RMBKX

High negative correlations

SBFAX	- 0.0	FTIXX
VFAIX	- 0.0	FTIXX
GCFSX	- 0.0	FTIXX
XFINX	- 0.0	FTIXX
FTIXX	- 0.0	RMBKX
FTIXX	- 0.0	PGFMX

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
PGFMX	0.39	0.01	0.00	(0.05)	0.00	0.00	0.85	(0.86)	2.21
RMBKX	1.12	(0.13)	0.00	(0.20)	0.00	0.00	2.19	(3.08)	6.79
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
XFINX	0.14	(0.01)	0.00	(0.14)	0.00	0.00	0.28	(0.64)	1.27
GCFSX	0.75	0.10	0.10	0.06	1.04	(0.76)	1.80	(2.41)	4.68
VFAIX	0.83	0.04	0.00	(0.03)	0.00	0.00	1.46	(2.51)	6.10
SBFAX	0.76	0.01	0.00	(0.06)	0.00	0.00	1.65	(1.92)	5.22

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