Goldman Sachs Correlations

GSPIX Fund

USD 38.13 0.05 0.13%

The current 90-days correlation between Goldman Sachs Capital and Blackrock All Cap Energy 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

Poor diversification

The correlation between Goldman Sachs Capital and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Capital 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 Capital. 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 gross domestic product.

Moving together with Goldman Mutual Fund

0.93	GCGIX	Goldman Sachs Large	Pair Corr
0.99	GCGVX	Goldman Sachs Dynamic	Pair Corr
0.96	GCMRX	Goldman Sachs Mid	Pair Corr
0.96	GCMTX	Goldman Sachs Mid	Pair Corr
0.96	GCMUX	Goldman Sachs Mid	Pair Corr
0.99	GCLLX	Goldman Sachs Flexible	Pair Corr
0.83	GCLSX	Goldman Sachs Large	Pair Corr
0.96	GCMAX	Goldman Sachs Mid	Pair Corr
0.96	GCMCX	Goldman Sachs Mid	Pair Corr
1.0	GCTAX	Goldman Sachs Tax	Pair Corr
1.0	GCTCX	Goldman Sachs Tax	Pair Corr
1.0	GCTIX	Goldman Sachs Tax	Pair Corr
1.0	GCTRX	Goldman Sachs Tax	Pair Corr
1.0	GCTSX	Goldman Sachs Tax	Pair Corr
0.96	GCSAX	Goldman Sachs Small	Pair Corr
0.95	GCSCX	Goldman Sachs Small	Pair Corr
0.96	GCSIX	Goldman Sachs Small	Pair Corr

Moving against Goldman Mutual Fund

0.72	GCEDX	Goldman Sachs Clean	Pair Corr
0.72	GCEEX	Goldman Sachs Clean	Pair Corr
0.72	GCEPX	Goldman Sachs Clean	Pair Corr
0.71	GCEBX	Goldman Sachs Clean	Pair Corr
0.71	GCEGX	Goldman Sachs Clean	Pair Corr
0.71	GCEJX	Goldman Sachs Clean	Pair Corr
0.5	GCFIX	Goldman Sachs E	Pair Corr
0.5	GCFUX	Goldman Sachs E	Pair Corr
0.48	GCFCX	Goldman Sachs E	Pair Corr
0.45	GCIIX	Goldman Sachs Intern	Pair Corr
0.45	GCIRX	Goldman Sachs Intern	Pair Corr
0.44	GCICX	Goldman Sachs Intern	Pair Corr
0.49	GCMDX	Goldman Sachs Local	Pair Corr
0.45	GCISX	Goldman Sachs Intern	Pair Corr
0.45	GCITX	Goldman Sachs Intern	Pair Corr
0.45	GCIUX	Goldman Sachs Intern	Pair Corr
0.45	GCIAX	Goldman Sachs Intern	Pair Corr
0.5	GDFRX	Goldman Sachs E	Pair Corr
0.44	GCTMX	Goldman Sachs Intern	Pair Corr
0.44	GDFIX	Goldman Sachs Short	Pair Corr

Related Correlations Analysis

	BACCX	ALEFX	ENPSX	SMAPX	XGNTX	VENAX	PEO
BACCX		0.92	0.98	0.9	0.63	0.98	0.95	BACCX
ALEFX	0.92		0.92	0.98	0.65	0.92	0.89	ALEFX
ENPSX	0.98	0.92		0.91	0.66	0.99	0.97	ENPSX
SMAPX	0.9	0.98	0.91		0.54	0.93	0.88	SMAPX
XGNTX	0.63	0.65	0.66	0.54		0.57	0.69	XGNTX
VENAX	0.98	0.92	0.99	0.93	0.57		0.96	VENAX
PEO	0.95	0.89	0.97	0.88	0.69	0.96		PEO
	BACCX	ALEFX	ENPSX	SMAPX	XGNTX	VENAX	PEO

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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
BACCX	0.85	0.10	0.10	0.12	1.26	(0.81)	1.49	(2.08)	5.48
ALEFX	0.98	0.14	0.11	0.16	1.29	(1.03)	1.96	(2.27)	6.21
ENPSX	1.53	0.14	0.06	0.09	2.19	(1.39)	3.17	(3.59)	8.59
SMAPX	1.11	0.11	0.09	0.12	1.50	(1.19)	2.13	(2.32)	7.93
XGNTX	0.56	0.10	0.16	0.22	0.75	(0.60)	1.26	(1.07)	3.07
VENAX	1.01	0.08	0.07	0.07	1.51	(0.91)	2.08	(2.51)	6.05
PEO	0.87	0.09	0.10	0.14	1.20	(0.77)	1.79	(1.87)	5.71

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