Goldman Sachs Correlations

GMBPX Fund

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The current 90-days correlation between Goldman Sachs Short and SCOR PK is -0.28 (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

Good diversification

The correlation between Goldman Sachs Short Term and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Short Term 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 Term. 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 american community survey.

Moving together with Goldman Mutual Fund

0.81	GCGIX	Goldman Sachs Large	Pair Corr
0.84	GCMRX	Goldman Sachs Mid	Pair Corr
0.84	GCMTX	Goldman Sachs Mid	Pair Corr
0.84	GCMUX	Goldman Sachs Mid	Pair Corr
0.77	GCLSX	Goldman Sachs Large	Pair Corr
0.84	GCMAX	Goldman Sachs Mid	Pair Corr
0.84	GCMCX	Goldman Sachs Mid	Pair Corr
0.81	GCTIX	Goldman Sachs Tax	Pair Corr
0.81	GCTSX	Goldman Sachs Tax	Pair Corr
0.78	GCSAX	Goldman Sachs Small	Pair Corr
0.78	GCSCX	Goldman Sachs Small	Pair Corr
0.78	GCSSX	Goldman Sachs Small	Pair Corr
0.77	GCVAX	Goldman Sachs Large	Pair Corr
0.76	GCVCX	Goldman Sachs Large	Pair Corr
0.82	GDEUX	Goldman Sachs Dynamic	Pair Corr
0.78	GDSTX	Goldman Sachs Small	Pair Corr
0.85	GVIRX	Goldman Sachs Equity	Pair Corr

Moving against Goldman Mutual Fund

0.83	GCEBX	Goldman Sachs Clean	Pair Corr
0.83	GCEDX	Goldman Sachs Clean	Pair Corr
0.83	GCEEX	Goldman Sachs Clean	Pair Corr
0.83	GCEGX	Goldman Sachs Clean	Pair Corr
0.83	GCEJX	Goldman Sachs Clean	Pair Corr
0.83	GCEPX	Goldman Sachs Clean	Pair Corr
0.76	GCFCX	Goldman Sachs E	Pair Corr
0.75	GCFIX	Goldman Sachs E	Pair Corr
0.74	GCFUX	Goldman Sachs E	Pair Corr
0.72	GCICX	Goldman Sachs Intern	Pair Corr
0.72	GCIAX	Goldman Sachs Intern	Pair Corr
0.69	GCIIX	Goldman Sachs Intern	Pair Corr
0.76	GGIRX	Goldman Sachs Mortgages	Pair Corr
0.75	GDFTX	Goldman Sachs E	Pair Corr
0.72	GGJPX	Goldman Sachs Inflation	Pair Corr
0.45	GDICX	Goldman Sachs Short	Pair Corr
0.4	GDIUX	Goldman Sachs Short	Pair Corr

Related Correlations Analysis

	SCRYY	MSTSX	VIASP	XTWO	SVII	70082LAB3	XTWY	SEGI	FPCG	KMX
SCRYY		0.4	0.76	-0.21	-0.34	0.51	-0.38	0.4	0.0	0.61	SCRYY
MSTSX	0.4		0.08	-0.12	0.13	0.23	-0.36	0.09	0.0	0.1	MSTSX
VIASP	0.76	0.08		-0.33	-0.14	0.71	-0.43	0.66	0.0	0.63	VIASP
XTWO	-0.21	-0.12	-0.33		-0.6	-0.7	0.91	-0.75	0.0	0.27	XTWO
SVII	-0.34	0.13	-0.14	-0.6		0.37	-0.49	0.44	0.0	-0.43	SVII
70082LAB3	0.51	0.23	0.71	-0.7	0.37		-0.75	0.93	0.0	0.35	70082LAB3
XTWY	-0.38	-0.36	-0.43	0.91	-0.49	-0.75		-0.78	0.0	0.15	XTWY
SEGI	0.4	0.09	0.66	-0.75	0.44	0.93	-0.78		0.0	0.23	SEGI
FPCG	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	FPCG
KMX	0.61	0.1	0.63	0.27	-0.43	0.35	0.15	0.23	0.0		KMX
	SCRYY	MSTSX	VIASP	XTWO	SVII	70082LAB3	XTWY	SEGI	FPCG	KMX

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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

SEGI	+ 0.93	70082LAB3
XTWY	+ 0.91	XTWO
VIASP	+ 0.76	SCRYY
70082LAB3	+ 0.71	VIASP
SEGI	+ 0.66	VIASP
KMX	+ 0.63	VIASP

High negative correlations

SEGI	- 0.78	XTWY
XTWY	- 0.75	70082LAB3
SEGI	- 0.75	XTWO
70082LAB3	- 0.7	XTWO
SVII	- 0.6	XTWO
XTWY	- 0.49	SVII

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
SCRYY	1.93	0.45	0.12	(0.71)	1.74	(2.85)	5.61	(3.52)	12.99
MSTSX	0.45	(0.01)	(0.11)	0.10	0.39	(0.59)	1.21	(0.84)	2.80
VIASP	0.75	0.10	(0.02)	(1.58)	1.11	(0.81)	2.28	(1.20)	7.18
XTWO	0.08	(0.01)	0.00	1.07	0.00	0.00	0.14	(0.12)	0.55
SVII	0.18	0.00	(0.17)	0.24	0.39	(0.29)	0.44	(0.53)	4.77
70082LAB3	0.70	0.09	(0.03)	(0.69)	0.99	(0.84)	1.75	(1.19)	6.86
XTWY	0.76	(0.10)	0.00	0.98	0.00	0.00	1.33	(1.70)	5.49
SEGI	10.19	2.80	0.16	(1.15)	9.90	(16.01)	28.57	(18.18)	62.86
FPCG	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
KMX	1.43	0.14	0.02	1.44	1.64	(1.55)	4.14	(3.24)	8.69

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