Goldman Sachs Correlations

GHYSX Fund

USD 9.21 0.02 0.22%

The current 90-days correlation between Goldman Sachs High and Gabelli Gold Fund is 0.12 (i.e., Average 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

Average diversification

The correlation between Goldman Sachs High and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs High 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 High. 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 state.

Moving together with Goldman Mutual Fund

0.64	GCGIX	Goldman Sachs Large	Pair Corr
0.78	GCFCX	Goldman Sachs E	Pair Corr
0.8	GCFIX	Goldman Sachs E	Pair Corr
0.82	GCFUX	Goldman Sachs E	Pair Corr
0.68	GCLLX	Goldman Sachs Flexible	Pair Corr
0.82	GCMDX	Goldman Sachs Local	Pair Corr
0.68	GCRTX	Goldman Sachs Absolute	Pair Corr
0.61	GCTCX	Goldman Sachs Tax	Pair Corr

Related Correlations Analysis

	GLDAX	EPGFX	OGMCX	SPPIX	FRGOX	GLRBX	MXKJX	FGDIX
GLDAX		0.98	0.99	-0.99	0.99	0.51	-0.33	1.0	GLDAX
EPGFX	0.98		0.98	-0.98	0.98	0.59	-0.29	0.98	EPGFX
OGMCX	0.99	0.98		-0.99	0.98	0.57	-0.31	0.99	OGMCX
SPPIX	-0.99	-0.98	-0.99		-0.98	-0.56	0.33	-0.99	SPPIX
FRGOX	0.99	0.98	0.98	-0.98		0.48	-0.37	0.99	FRGOX
GLRBX	0.51	0.59	0.57	-0.56	0.48		0.1	0.5	GLRBX
MXKJX	-0.33	-0.29	-0.31	0.33	-0.37	0.1		-0.33	MXKJX
FGDIX	1.0	0.98	0.99	-0.99	0.99	0.5	-0.33		FGDIX
	GLDAX	EPGFX	OGMCX	SPPIX	FRGOX	GLRBX	MXKJX	FGDIX

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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

FGDIX	+ 1.0	GLDAX
OGMCX	+ 0.99	GLDAX
FRGOX	+ 0.99	GLDAX
FGDIX	+ 0.99	OGMCX
FGDIX	+ 0.99	FRGOX
EPGFX	+ 0.98	GLDAX

High negative correlations

FGDIX	- 0.99	SPPIX
SPPIX	- 0.99	OGMCX
SPPIX	- 0.99	GLDAX
FRGOX	- 0.98	SPPIX
SPPIX	- 0.98	EPGFX
GLRBX	- 0.56	SPPIX

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
GLDAX	1.32	(0.07)	0.00	(0.26)	0.00	0.00	2.99	(2.88)	8.37
EPGFX	1.46	(0.13)	0.00	(0.98)	0.00	0.00	3.28	(3.15)	10.21
OGMCX	1.33	(0.10)	0.00	(0.35)	0.00	0.00	2.69	(2.77)	8.94
SPPIX	1.53	0.12	0.05	(0.48)	1.79	(1.60)	3.25	(3.35)	10.57
FRGOX	1.33	(0.12)	0.00	(0.58)	0.00	0.00	2.77	(2.73)	8.02
GLRBX	0.38	(0.05)	0.00	(0.20)	0.00	0.00	0.62	(0.90)	3.20
MXKJX	0.95	0.01	0.00	0.08	2.37	(1.14)	1.42	(1.64)	26.05
FGDIX	1.40	(0.07)	0.00	(0.26)	0.00	0.00	2.69	(2.96)	9.33

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