Goldman Sachs Correlations

GGIRX Fund  USD 9.00  0.01  0.11%   
The current 90-days correlation between Goldman Sachs Mortgages and Goldman Sachs Clean is 0.48 (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 Mortgages and DJI is 0.21 (i.e., Modest 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

  0.99GCFCX Goldman Sachs EPairCorr
  0.98GCFIX Goldman Sachs EPairCorr
  0.98GCFUX Goldman Sachs EPairCorr
  0.82GCICX Goldman Sachs InternPairCorr
  0.8GCIIX Goldman Sachs InternPairCorr
  0.82GCIRX Goldman Sachs InternPairCorr
  0.81GCISX Goldman Sachs InternPairCorr
  0.81GCITX Goldman Sachs InternPairCorr
  0.8GCIUX Goldman Sachs InternPairCorr
  0.81GCIAX Goldman Sachs InternPairCorr
  0.7GCMDX Goldman Sachs LocalPairCorr
  0.66GCTMX Goldman Sachs InternPairCorr

Related Correlations Analysis

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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   
GCEDXGCEBX
GCEEXGCEBX
GCEGXGCEBX
GCEJXGCEBX
GCEPXGCEBX
GCEEXGCEDX
  
High negative correlations   
GCGUXGCGCX
GCGCXGCGAX
GCGUXGCGIX
GCGIXGCGCX
GCGIXGCGAX
GCGUXGCEPX

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCEBX  0.77 (0.09) 0.00 (0.24) 0.00 
 1.48 
 4.21 
GCEDX  0.77 (0.09) 0.00 (0.23) 0.00 
 1.45 
 4.33 
GCEEX  0.77 (0.09) 0.00 (0.24) 0.00 
 1.45 
 4.20 
GCEGX  0.76 (0.09) 0.00 (0.24) 0.00 
 1.37 
 4.36 
GCEJX  0.76 (0.09) 0.00 (0.23) 0.00 
 1.37 
 4.33 
GCEPX  0.76 (0.09) 0.00 (0.24) 0.00 
 1.37 
 4.21 
GCGAX  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 
GCGIX  1.06 (0.18) 0.00 (0.33) 0.00 
 1.50 
 12.51 
GCGUX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00