Goldman Sachs Correlations

GRRTX Fund

USD 9.34 0.04 0.43%

The current 90-days correlation between Goldman Sachs Absolute and Enhanced Fixed Income 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

Weak diversification

The correlation between Goldman Sachs Absolute and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Absolute 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 Absolute. 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 estimate.

Moving together with Goldman Mutual Fund

0.86	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.63	GCFIX	Goldman Sachs E	Pair Corr
0.64	GCFUX	Goldman Sachs E	Pair Corr
0.86	GCLLX	Goldman Sachs Flexible	Pair Corr
0.65	GCMDX	Goldman Sachs Local	Pair Corr
0.95	GCRTX	Goldman Sachs Absolute	Pair Corr
0.83	GCTAX	Goldman Sachs Tax	Pair Corr
0.91	GCTCX	Goldman Sachs Tax	Pair Corr
0.83	GCTIX	Goldman Sachs Tax	Pair Corr
0.76	GCTRX	Goldman Sachs Tax	Pair Corr
0.92	GCTSX	Goldman Sachs Tax	Pair Corr

Related Correlations Analysis

	AAEZX	PATFX	ARTFX	PRFHX	MDMTX	NHCCX	TFBIX	BTFRX
AAEZX		0.74	0.55	0.66	0.82	0.77	0.79	0.84	AAEZX
PATFX	0.74		0.32	0.92	0.95	0.97	0.95	0.68	PATFX
ARTFX	0.55	0.32		0.41	0.51	0.45	0.53	0.71	ARTFX
PRFHX	0.66	0.92	0.41		0.9	0.9	0.9	0.68	PRFHX
MDMTX	0.82	0.95	0.51	0.9		0.98	0.98	0.75	MDMTX
NHCCX	0.77	0.97	0.45	0.9	0.98		0.99	0.72	NHCCX
TFBIX	0.79	0.95	0.53	0.9	0.98	0.99		0.75	TFBIX
BTFRX	0.84	0.68	0.71	0.68	0.75	0.72	0.75		BTFRX
	AAEZX	PATFX	ARTFX	PRFHX	MDMTX	NHCCX	TFBIX	BTFRX

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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
AAEZX	0.26	(0.01)	(0.07)	(0.01)	0.33	(0.30)	0.61	(0.60)	2.01
PATFX	0.22	(0.02)	0.00	(0.43)	0.00	0.00	0.45	(0.45)	1.79
ARTFX	0.12	0.01	(0.07)	1.34	0.00	(0.18)	0.44	(0.22)	1.10
PRFHX	0.21	(0.02)	0.00	(0.86)	0.00	0.00	0.45	(0.54)	1.62
MDMTX	0.21	(0.02)	0.00	(0.20)	0.00	0.00	0.48	(0.57)	1.72
NHCCX	0.28	(0.02)	0.00	(0.26)	0.00	0.00	0.61	(0.74)	2.18
TFBIX	0.20	(0.02)	0.00	(0.25)	0.00	0.00	0.40	(0.50)	1.59
BTFRX	0.20	0.00	(0.06)	0.14	0.26	(0.25)	0.39	(0.51)	1.54

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Goldman Sachs Correlations

Goldman Sachs Correlation With Market

Weak diversification

Moving together with Goldman Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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