Goldman Sachs Correlations

GGIRX Fund

USD 8.90 0.05 0.56%

The current 90-days correlation between Goldman Sachs Mortgages and Goldman Sachs Clean is 0.01 (i.e., Significant 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 good diversification

The correlation between Goldman Sachs Mortgages and DJI is -0.24 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Mortgages 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 Mortgages. 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

0.63	GCEBX	Goldman Sachs Clean	Pair Corr
0.86	GCFCX	Goldman Sachs E	Pair Corr
0.87	GCFIX	Goldman Sachs E	Pair Corr
0.78	GCISX	Goldman Sachs Intern	Pair Corr
0.81	GCIAX	Goldman Sachs Intern	Pair Corr
0.85	GDFIX	Goldman Sachs Short	Pair Corr
0.84	GDIAX	Goldman Sachs Short	Pair Corr
0.85	GDICX	Goldman Sachs Short	Pair Corr
0.85	GDIUX	Goldman Sachs Short	Pair Corr
0.85	GEADX	Goldman Sachs Enhanced	Pair Corr
0.67	GEBRX	Goldman Sachs Esg	Pair Corr
0.63	GEBSX	Goldman Sachs Esg	Pair Corr
0.66	GEMUX	Goldman Sachs Emerging	Pair Corr
0.61	GEMCX	Goldman Sachs Emerging	Pair Corr
0.66	GERUX	Goldman Sachs Emerging	Pair Corr

Moving against Goldman Mutual Fund

0.69	GCMRX	Goldman Sachs Mid	Pair Corr
0.67	GCGIX	Goldman Sachs Large	Pair Corr
0.66	GCTCX	Goldman Sachs Tax	Pair Corr
0.66	GCSAX	Goldman Sachs Small	Pair Corr
0.66	GCSSX	Goldman Sachs Small	Pair Corr
0.65	GCTIX	Goldman Sachs Tax	Pair Corr
0.65	GCTSX	Goldman Sachs Tax	Pair Corr
0.6	GCLLX	Goldman Sachs Flexible	Pair Corr
0.59	GCMUX	Goldman Sachs Mid	Pair Corr
0.58	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.68	GEMOX	Goldman Sachs Emerging	Pair Corr
0.66	GDSRX	Goldman Sachs Small	Pair Corr
0.64	GGOUX	Goldman Sachs Growth	Pair Corr
0.64	GGQPX	Goldman Sachs Growth	Pair Corr
0.63	GGGPX	Goldman Sachs Capital	Pair Corr
0.63	GGOTX	Goldman Sachs Growth	Pair Corr
0.61	GGRAX	Goldman Sachs Strategic	Pair Corr
0.61	GGRCX	Goldman Sachs Strategic	Pair Corr
0.59	GFCUX	Goldman Sachs Flexible	Pair Corr
0.58	GVIRX	Goldman Sachs Equity	Pair Corr

Related Correlations Analysis

	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX
GCEBX		0.84	0.84	0.85	0.84	0.84	0.0	0.0	-0.68	0.0	GCEBX
GCEDX	0.84		1.0	1.0	1.0	1.0	0.0	0.0	-0.8	0.0	GCEDX
GCEEX	0.84	1.0		1.0	1.0	1.0	0.0	0.0	-0.8	0.0	GCEEX
GCEGX	0.85	1.0	1.0		1.0	1.0	0.0	0.0	-0.79	0.0	GCEGX
GCEJX	0.84	1.0	1.0	1.0		1.0	0.0	0.0	-0.79	0.0	GCEJX
GCEPX	0.84	1.0	1.0	1.0	1.0		0.0	0.0	-0.79	0.0	GCEPX
GCGAX	0.0	0.0	0.0	0.0	0.0	0.0		-1.0	0.0	-1.0	GCGAX
GCGCX	0.0	0.0	0.0	0.0	0.0	0.0	-1.0		0.0	1.0	GCGCX
GCGIX	-0.68	-0.8	-0.8	-0.79	-0.79	-0.79	0.0	0.0		0.0	GCGIX
GCGUX	0.0	0.0	0.0	0.0	0.0	0.0	-1.0	1.0	0.0		GCGUX
	GCEBX	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

GCEEX	+ 1.0	GCEDX
GCEGX	+ 1.0	GCEDX
GCEJX	+ 1.0	GCEDX
GCEPX	+ 1.0	GCEDX
GCEGX	+ 1.0	GCEEX
GCEJX	+ 1.0	GCEEX

High negative correlations

GCGUX	- 1.0	GCGAX
GCGCX	- 1.0	GCGAX
GCGIX	- 0.8	GCEEX
GCGIX	- 0.8	GCEDX
GCGIX	- 0.79	GCEPX
GCGIX	- 0.79	GCEJX

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
GCEBX	0.73	0.03	0.04	0.08	1.10	(0.74)	1.49	(2.40)	4.21
GCEDX	0.70	0.03	0.06	(0.37)	1.00	(0.76)	1.47	(2.26)	4.33
GCEEX	0.70	0.03	0.06	(0.35)	1.02	(0.74)	1.45	(2.26)	4.20
GCEGX	0.69	0.03	0.06	(0.37)	1.02	(0.72)	1.47	(2.28)	4.36
GCEJX	0.70	0.04	0.06	(0.38)	1.00	(0.76)	1.45	(2.26)	4.33
GCEPX	0.70	0.04	0.06	(0.38)	1.03	(0.74)	1.42	(2.26)	4.21
GCGAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGIX	1.06	(0.19)	0.00	(0.24)	0.00	0.00	1.76	(2.66)	6.50
GCGUX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC